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Unconventional monetary policy and the portfolio choice of international mutual funds

Gino Cenedese () and Ilaf Elard ()
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Ilaf Elard: Shanghai University of International Business and Economics

No 705, Bank of England working papers from Bank of England

Abstract: Unconventional monetary policy (UMP) by the US Federal Reserve, Bank of England, Bank of Japan, and European Central Bank affects the geographical portfolio choice of international mutual fund managers. UMP prompts managers of mutual funds to rebalance their portfolios away from the country conducting UMP, and increase their geographical allocation to other developed markets; there is little evidence of rebalancing towards emerging markets. The international spillover effects from UMP announcement surprises are of small economic magnitude, in contrast to the effects of actual UMP operations in the form of large-scale asset purchases (LSAPs). The results imply that while not contributing to QE-induced capital flows to emerging markets, mutual fund managers play a role in the transmission of unconventional monetary policy, in particular LSAPs, across developed markets.

Keywords: Unconventional monetary policy; portfolio rebalancing; international spillovers; asset allocation; mutual funds (search for similar items in EconPapers)
JEL-codes: F30 G11 G15 G23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac and nep-mon
Date: 2018-01-18
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