Asset allocation and monetary policy: Evidence from the eurozone

• 成果类型: Article
• 署名作者: Hau, Harald; Lai, Sandy
• 署名单位: University of Geneva; University of Geneva; University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.01.014
• 发表日期: 2016
• 页码: 309-329
• 关键词: Monetary policy; Asset price inflation; Risk-shifting; Taylor rule residuals

摘要

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. (C) 2016 Elsevier B.V. All rights reserved.