Investment Funds, Monetary Policy, and the Global Financial Cycle

• 成果类型: Article
• 署名作者: Kaufmann, Christoph
• 署名单位: European Central Bank
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvac043
• 发表日期: 2023
• 页码: 593-636
• 关键词: vector autoregressions; credit spreads; capital flows; transmission; IMPACT; yield

摘要

This paper examines the role of international investment funds in the transmission of global financial conditions to the euro area using structural Bayesian vector auto regressions. While cross-border banking sector capital flows receded significantly in the aftermath of the global financial crisis, portfolio flows from investors actively searching for yield on financial markets worldwide gained importance during the post-crisis second phase of global liquidity. The analysis presented in this paper shows that a loosening of US monetary policy leads to higher investment fund inflows to equities and debt globally. Focussing on the euro area, these inflows not only imply elevated asset prices but also coincide with increased debt and equity issuance. The findings demonstrate the growing importance of non-bank financial intermediation over the past decade and hold important policy implications for monetary and financial stability.