An ECB report introduces a systematic framework for measuring home bias in sovereign and corporate bond holdings of European insurers. The authors use four metrics and visual comparisons to benchmark EU insurance portfolios against outstanding bonds. Shift‑share regressions, based on 2017‑2024 EIOPA Solvency II data, assess how ECB quantitative easing influences life insurers’ allocations, controlling for country and time fixed effects. A duration‑gap analysis (Figure A5) highlights potential mismatches between assets and liabilities, while an extended regression (Figure A6) incorporates this gap. Additional regressions (Figure A7) show how flood damage changes non‑life insurers’ balance‑sheet positions in corporate bonds, equities, cash, and borrowings. The study also presents the impact of floods on sovereign bond yields with 90 % confidence intervals.
© European Central Bank, 2025.
Summary derived from the ECB website (https://www.ecb.europa.eu ).
https://www.ecb.europa.eu/pub/pdf/scpdps/ecb.dp28~03966255e7.en.pdf
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