IDEAS home Printed from https://ideas.repec.org/p/shf/wpaper/2020001.html
   My bibliography  Save this paper

Household Portfolios and Monetary Policy

Author

Listed:
  • Raslan Alzuabi

    (Department of Economics, University of Sheffield, UK)

  • Sarah Brown

    (Department of Economics, University of Sheffield, UK)

  • Alexandros Kontonikas

    (Essex Business School, University of Essex, UK)

  • Alberto Montagnoli

    (Department of Economics, University of Sheffield)

Abstract

We show that expansionary monetary policy is associated with higher household portfolio allocation to high risk assets and lower allocation to low risk assets, in line with “reaching for yield” behaviour. Our findings are based on analysis of US household level panel data using two measures of monetary policy shifts over the period 1999-2007. We also show that the impact of monetary policy changes is stronger for active investors. In addition, our hurdle model estimates reveal that monetary shocks strongly affect the decision to hold high risk assets, but not the decision to hold low risk assets. Finally, our results highlight the role of self-reported risk attitudes as well as that of mortgage-holder status in affecting the response of household portfolios to monetary policy changes.

Suggested Citation

  • Raslan Alzuabi & Sarah Brown & Alexandros Kontonikas & Alberto Montagnoli, 2020. "Household Portfolios and Monetary Policy," Working Papers 2020001, The University of Sheffield, Department of Economics.
    • Handle: RePEc:shf:wpaper:2020001
    as

    Download full text from publisher

    File URL: https://www.sheffield.ac.uk/economics/research/serps
    File Function: First version, December 2019
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Xiaomeng Lu & Jiaojiao Guo & Hailing Zhou, 2021. "Digital financial inclusion development, investment diversification, and household extreme portfolio risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(5), pages 6225-6261, December.

    More about this item

    Keywords

    Household Financial Portfolio Allocation; Monetary Policy;

    JEL classification:

    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:shf:wpaper:2020001. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mike Crabtree (email available below). General contact details of provider: https://edirc.repec.org/data/desheuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.