| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9581 |
| DP9581 Asset Allocation and Monetary Policy: Evidence from the Eurozone | |
| Harald Hau; Sandy Lai | |
| 发表日期 | 2013-08-11 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by either real short-term interest rates or Taylor rule residuals varied substantially across countries in the period from 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. A ten-basis-point lower real short-term interest rate is associated with a 0.8% incremental money market outflow and a 1% incremental equity market inflow by local investors relative to asset under management. The latter produces the strongest equity price increase in countries where domestic institutional investors represent a large share of the countries' stock market capitalization. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | monetary policy Asset price inflation Risk seeking Taylor rule residuals |
| URL | https://cepr.org/publications/dp9581 |
| 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/538419 |
| 推荐引用方式 GB/T 7714 | Harald Hau,Sandy Lai. DP9581 Asset Allocation and Monetary Policy: Evidence from the Eurozone. 2013. |
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