全球或区域安全资产：来自债券替代模式的证据

Global orregionalsafeassets: Evidence frombondsubstitutionpatterns by Tsvetelina Nenova Monetary and Economic Department April 2025 JEL classification: F30, G11, G15Keywords: international finance, portfolio choice, safeassets BISWorking Papers are written by members of the Monetary and EconomicDepartment of the Bank for International Settlements, and from time to time by othereconomists, and are published by the Bank. The papers are on subjects of topicalinterest and are technical in character. The views expressed in them are those of theirauthors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). ©Bank for International Settlements 2025. All rights reserved. Brief excerpts may bereproduced or translated provided the source is stated. Global or Regional Safe Assets:Evidence from Bond Substitution Patterns∗ Tsvetelina Nenova† This version: March 17, 2025First draft: November 19, 2023 (click here for the latest version) Abstract This paper provides novel empirical evidence on portfolio rebalancing in internationalbond markets through the prism of investors’ demand for bonds. Using a granular datasetof global government and corporate bond holdings by mutual funds domiciled in the world’stwo largest currency areas, I estimate heterogeneous and time varying demand elasticities forbonds. Safe assets such as US Treasuries or German Bunds face especially inelastic demandfrom investment funds compared to riskier bonds.But spillovers from these safe assets toglobal bond markets are strikingly different.Funds substitute US Treasuries with globalbonds, including risky corporate and emerging market bonds, whereas German Bunds areprimarily substitutable within a narrow set of euro area safe government bonds.Substi-tutability deteriorates in times of stress, impairing the transmission of monetary policy. Keywords:International Finance, Portfolio Choice, Safe AssetsJEL Classification:F30, G11, G15 1Introduction International bond markets play a key role in the transmission of monetary policy both domes-tically and internationally. That is not only due to their sheer size, being the largest securitiesmarket in the world1, but also because they are home to many of the world’s safe assets – thegovernment bonds of advanced economies with low credit risk.The monetary policies of theworld’s largest economies such as the US and euro area can often directly affect the returns ontheir domestic safe assets (through short-term interest rate changes or direct asset purchases)but most of the time only indirectly influence the broader bond market, including domesticrisky corporate bonds or foreign sovereign bonds.One important channel of global monetarypolicy transmission is the portfolio rebalancing of international investors between safe assetsand the rest of the bond market. To systematically characterize this rebalacing, knowledge ofthe demand elasticities and substitutability of fixed income assets – especially, with respect tosafe assets – is key for policy makers. However, both the literature on safe assets and that onmonetary policy transmission have an important gap as they lack carefully estimated rich ownand cross demand elasticities for the world’s safe assets. This paper fills the gap in our understanding of safe asset demand and portfolio rebalancing ininternational bond markets by directly estimating elasticities for global government and corpo-rate bonds held by mutual funds domiciled in the world’s two largest currency areas – US andthe euro area. I recover the funds’ own and substitution elasticities that vary in the cross-sectionof international bonds as well as over time for approximately 5,000 granular bond portfolios witha face value of$74 trillions or nearly 60% of global debt securities outstanding. Not only can Idescribe how elastic demand for this diverse set of bonds is but also I can discuss how substi-tutable safe assets are with other bonds. In other words, these elasticity estimates allow me tocharacterize not only thedegreeof portfolio rebalancing following shocks to the world’s leadingsafe assets (via theownelasticities of safe assets) but also thecompositionof this rebalancingacross the bond market (via bond-specificsubstitutionelasticities with respect to the safe assetreturns).These are the first estimates of substitution elasticities in global bond markets, ata granular bond level, and offer a new and more systematic approach to capturing portfoliorebalancing than traditional approaches of tracing flows to ineligible securities in the immediateaftermath of asset purchase programmes2. Furthermore, the demand elasticities captured withthis paper’s methodology can be estimated continuously rather that around specific events suchas QE programme announcements. Thus, they offer a unique view of financial turmoil though-out a sample period spanning 2007 to 2020 – during the Global Financial Crisis of 2007-08, theeuro area sovereign deb