Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/246182 
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2605
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
We examine the transmission of monetary policy via the euro area investment fund sector using a BVAR framework. We find that expansionary shocks are associated with net inflows and that these are strongest for riskier fund types, reflecting search for yield among euro area investors. Search for yield behaviour by fund managers is also evident, as they shift away from low yielding cash assets following an expansionary shock. While higher risk-taking is an intended consequence of expansionary monetary policy, this dynamic may give rise to a build-up in liquidity risk over time, leaving the fund sector less resilient to large outflows in the face of a crisis.
Subjects: 
Monetary policy
non-bank financial intermediation
liquidity management
ECB
JEL: 
E32
G11
G23
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4858-6
Document Type: 
Working Paper

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