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- Publisher Website: 10.1016/j.jfineco.2016.01.014
- Scopus: eid_2-s2.0-84957402096
- WOS: WOS:000375522900006
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Article: Asset Allocation and Monetary Policy: Evidence from the Eurozone
Title | Asset Allocation and Monetary Policy: Evidence from the Eurozone |
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Authors | |
Keywords | Asset price inflation Monetary policy Risk-shifting Taylor rule residuals |
Issue Date | 2016 |
Citation | Journal of Financial Economics, 2016, v. 120 n. 2, p. 309-329 How to Cite? |
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. |
Persistent Identifier | http://hdl.handle.net/10722/214692 |
SSRN | |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Hau, H | - |
dc.contributor.author | Lai, SCS | - |
dc.date.accessioned | 2015-08-21T11:51:49Z | - |
dc.date.available | 2015-08-21T11:51:49Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Journal of Financial Economics, 2016, v. 120 n. 2, p. 309-329 | - |
dc.identifier.uri | http://hdl.handle.net/10722/214692 | - |
dc.description.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. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Financial Economics | - |
dc.subject | Asset price inflation | - |
dc.subject | Monetary policy | - |
dc.subject | Risk-shifting | - |
dc.subject | Taylor rule residuals | - |
dc.title | Asset Allocation and Monetary Policy: Evidence from the Eurozone | - |
dc.type | Article | - |
dc.identifier.email | Lai, SCS: sandy_lai@hku.hk | - |
dc.identifier.authority | Lai, SCS=rp01620 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jfineco.2016.01.014 | - |
dc.identifier.scopus | eid_2-s2.0-84957402096 | - |
dc.identifier.hkuros | 246104 | - |
dc.identifier.volume | 120 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 309 | - |
dc.identifier.epage | 329 | - |
dc.identifier.isi | WOS:000375522900006 | - |
dc.identifier.ssrn | 2512723 | - |