The portfolio of euro area fund investors and ECB monetary policy announcements

Johannes Bubeck, Maurizio Michael Habib and Simone Manganelli

No 2116, Working Paper Series from European Central Bank

Abstract: This paper studies the impact of major ECB monetary policy announcements on the portfolio allocation of euro area fund investors, using daily data between 2012 and mid-2016, a period that includes a variety of unconventional measures. We distinguish between active portfolio reallocation, driven by redemptions or injections of investors, and passive portfolio rebalancing, triggered by valuation effects related to changes in asset prices and exchange rates. We find that, for this class of fund investors, policy announcements work mainly through valuation effects (the signalling channel), rather than via active reallocation (the portfolio rebalancing channel). Notably, since the autumn of 2014, monetary policy shocks triggered large asset price and exchange rate effects and prompted a passive shift of euro area investors into riskier assets, in particular European and Emerging Market equity funds and out of bond funds. JEL Classification: G11, G15

Keywords: asset allocation; euro area; European Central Bank; investment funds; monetary policy (search for similar items in EconPapers)
Date: 2017-12
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mon
Note: 334027
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Related works:
Journal Article: The portfolio of euro area fund investors and ECB monetary policy announcements (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20172116

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