Bond funds' risk taking and monetary policy

Sofia Anyfantaki, Haris Giannakidis, Dimitris Malliaropulos, Petros Migiakis and Filippos Petroulakis
Additional contact information
Sofia Anyfantaki: European Central Bank and Bank of Greece
Haris Giannakidis: Bank of Greece
Dimitris Malliaropulos: Bank of Greece and Dept of Banking and Finance, University of Piraeus
Petros Migiakis: Bank of Greece
Filippos Petroulakis: Bank of Greece

No 358, Working Papers from Bank of Greece

Abstract: Using granular security-level data from bond funds domiciled in the US and the euro area, we identify a market-based risk-taking channel of monetary policy transmission via the credit-risk and the maturity structure of bond funds' portfolios. We measure credit risk at the fund level as the weighted average credit rating of the fund's bond holdings. We find that accommodative monetary policies by the Fed and the ECB are associated with increased risk in bond funds' portfolios. Interestingly, risk-taking is more pronounced for funds with longer-term holdings relative to short-term ones and unconventional monetary policy exerts stronger market-based risk-taking effects than interest rate policy. Finally, we find that Fed's monetary policy has a stronger impact on funds' risk-taking behaviour than the ECB's, highlighting the dominant role of US monetary policy in global financial markets.

Keywords: Monetary policy; non-bank financial institutions; investment funds; risk taking (search for similar items in EconPapers)
JEL-codes: E52 G12 G15 G20 (search for similar items in EconPapers)
Pages: 50
Date: 2026-02
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.52903/wp2026358 Full Text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bog:wpaper:358

Access Statistics for this paper

More papers in Working Papers from Bank of Greece Contact information at EDIRC.
Bibliographic data for series maintained by Anastasios Rizos ().