Investment funds and euro disaster risk
Tehnologie
Investment funds are important players in global financial markets. This column examines their behaviour and interaction with other investors during stress periods on European sovereign bond markets. It shows that investment funds are the only investor group that exhibits a distinctly procyclical behaviour by persistently selling euro periphery sovereign debt in response to euro disaster risk. This debt is picked up by other investors domiciled in the issuing country, namely banks in the short
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