UNIGE document Scientific Article
previous document  unige:87708  next document
add to browser collection
Title

Asset allocation and monetary policy: evidence from the eurozone

Authors
Lai, Sandy
Published in Journal of Financial Economics. 2016, vol. 120, p. 309-329
Abstract The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003–2010. We use this cross-country variation in the (local)tightness of monetary policy to examine its influence on equity and money market flows. In line with a powerful risk-shifting channel, we find that fund investors in countries with decreased real interest rates shift their portfolio investment out of the money market and into the riskier equity market,causing significant equity price inflation in countries where investment home bias is the strongest
Keywords MonetaryPolicyAssetPriceInflationRisk-shiftingTaylorRuleResiduals
Full text
Article (Published version) (834 Kb) - public document Free access
Structures
Citation
(ISO format)
HAU, Harald, LAI, Sandy. Asset allocation and monetary policy: evidence from the eurozone. In: Journal of Finance Economics, 2016, vol. 120, p. 309-329. https://archive-ouverte.unige.ch/unige:87708

97 hits

65 downloads

Update

Deposited on : 2016-09-23

Export document
Format :
Citation style :