| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8099 |
| DP8099 Monetary Policy Shocks and Portfolio Choice | |
| Marcel Fratzscher; Roland Straub; Christian Saborowski | |
| 发表日期 | 2010-11-08 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of their time variation. Monetary policy easing causes positive returns to both equities and bonds. Yet such a monetary policy easing shock also induces a shift in portfolio composition out of equities and into bonds, implying a negative conditional correlation between flows in equities and bonds. Moreover, such shocks induce a negative conditional correlation between equity flows and equity returns, but a positive conditional correlation between bond flows and bond returns. The findings thus provide evidence for the presence of a portfolio rebalancing motive behind investment decisions in equities, but the dominance of what is akin to a return chasing motive for bonds, conditional on monetary policy shocks. The results also shed light on the puzzle of the strongly time-varying equity-bond return correlations found in the literature. |
| 主题 | International Macroeconomics |
| 关键词 | Asset prices Capital flows monetary policy Portfolio choice Sign restrictions Trade balance United states Vector autoregressions |
| URL | https://cepr.org/publications/dp8099 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536959 |
| 推荐引用方式 GB/T 7714 | Marcel Fratzscher,Roland Straub,Christian Saborowski. DP8099 Monetary Policy Shocks and Portfolio Choice. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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