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Article: Asset Allocation and Monetary Policy: Evidence from the Eurozone

TitleAsset Allocation and Monetary Policy: Evidence from the Eurozone
Authors
Issue Date2016
Citation
Journal of Financial Economics, 2016 How to Cite?
AbstractThe 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 Identifierhttp://hdl.handle.net/10722/214692
SSRN

 

DC FieldValueLanguage
dc.contributor.authorHau, H-
dc.contributor.authorLai, SCS-
dc.date.accessioned2015-08-21T11:51:49Z-
dc.date.available2015-08-21T11:51:49Z-
dc.date.issued2016-
dc.identifier.citationJournal of Financial Economics, 2016-
dc.identifier.urihttp://hdl.handle.net/10722/214692-
dc.description.abstractThe 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.languageeng-
dc.relation.ispartofJournal of Financial Economics-
dc.titleAsset Allocation and Monetary Policy: Evidence from the Eurozone-
dc.typeArticle-
dc.identifier.emailLai, SCS: sandy_lai@hku.hk-
dc.identifier.authorityLai, SCS=rp01620-
dc.identifier.doi10.1016/j.jfineco.2016.01.014-
dc.identifier.hkuros246104-
dc.identifier.ssrn2512723-

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