Wealth shocks, credit-supply shocks, and asset allocation: evidence from household and firm portfolios

Thomas Kick, Enrico Onali, Benedikt Ruprecht, Klaus Schaeck

Research output: Preprint or Working paperWorking paper


We use a unique dataset with bank clients’ security holdings for all German banks to examine how macroeconomic shocks affect asset allocation preferences of households and non-financial firms. Our analysis focuses on two alternative mechanisms which can influence portfolio choice: wealth shocks, which are represented by the sovereign debt crisis in the Euro area, and credit-supply shocks which arise from reductions in borrowing abilities during bank distress. While households with large holdings of securities from stressed Euro area countries (Greece, Ireland, Italy, Portugal, and Spain) de-crease the degree of concentration in their security portfolio as a result of the Euro area crisis, non-financial firms with similar levels of holdings from stressed Euro area countries do not. Credit-supply shocks at the bank level result in lower concentration, for both households and non-financial corporations. Only shocks to corporate credit bear ramifications on bank clients’ portfolio concentration. Our results are robust to falsification tests, and instrumental variables estimation.
Original languageEnglish
Place of PublicationFrankfurt (DE)
PublisherEuropean Central Bank
Number of pages48
Publication statusPublished - Apr 2014

Publication series

NameECB Working Paper Series
PublisherEuropean Central Bank
ISSN (Print)1725-2806


  • asset allocation
  • sovereign debt crisis
  • credit-supply shocks
  • bank distress


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