Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/179331 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
ECB Working Paper No. 2116
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
monetary policy
euro area
European Central Bank
asset allocation
investment funds
JEL: 
E2
F3
G11
G15
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-3039-0
Dokumentart: 
Working Paper

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