Unconventional monetary policy and the portfolio choice of international mutual funds
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- John M. Griffin & Federico Nardari & René M. Stulz, 2004. "Are Daily Cross-Border Equity Flows Pushed or Pulled?," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 641-657, August.
- Stefania D’Amico & William English & David López‐Salido & Edward Nelson, 2012.
"The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects,"
Economic Journal,
Royal Economic Society, vol. 122(564), pages 415-446, November.
- D'Amico, Stefania & English, William & López-Salido, J David & Nelson, Edward, 2012. "The Federal Reserve’s Large-Scale Asset Purchase Programs: Rationale and Effects," CEPR Discussion Papers 9145, C.E.P.R. Discussion Papers.
- Stefania D'Amico & William B. English & David López-Salido & Edward Nelson, 2012. "The Federal Reserve's large-scale asset purchase programs: rationale and effects," Finance and Economics Discussion Series 2012-85, Board of Governors of the Federal Reserve System (US).
- Hashem Pesaran, M. & Smith, Ron P., 2016.
"Counterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easing,"
Research in Economics,
Elsevier, vol. 70(2), pages 262-280.
- Pesaran, M. Hashem & Smith, Ron P., 2012. "Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing," IZA Discussion Papers 6618, Institute of Labor Economics (IZA).
- M. Hashem Pesaran & Ron P Smith, 2014. "Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing," Birkbeck Working Papers in Economics and Finance 1406, Birkbeck, Department of Economics, Mathematics & Statistics.
- M. Hashem Pesaran & Ron P. Smith, 2012. "Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing," Working Paper series 37_12, Rimini Centre for Economic Analysis.
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2012.
"The Aggregate Demand for Treasury Debt,"
Journal of Political Economy,
University of Chicago Press, vol. 120(2), pages 233-267.
- Annette Vissing-Jorgensen & Arvind Krishnamurthy, 2008. "The Aggregate Demand for Treasury Debt," 2008 Meeting Papers 713, Society for Economic Dynamics.
- Raddatz, Claudio & Schmukler, Sergio L., 2012.
"On the international transmission of shocks: Micro-evidence from mutual fund portfolios,"
Journal of International Economics,
Elsevier, vol. 88(2), pages 357-374.
- Claudio Raddatz & Sergio L. Schmukler, 2011. "On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios," NBER Chapters, in: Global Financial Crisis, National Bureau of Economic Research, Inc.
- Claudio Raddatz & Sergio L. Schmukler, 2011. "On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios," NBER Working Papers 17358, National Bureau of Economic Research, Inc.
- Raddatz, Claudio & Schmukler, Sergio L., 2012. "On the international transmission of shocks : micro-evidence from mutual fund portfolios," Policy Research Working Paper Series 6072, The World Bank.
- Claudio Raddatz ; & Sergio L. Schmukler, 2012. "On the International Transmission of Shocks: Micro – Evidence From Mutual Fund Portfolios," Working Papers Central Bank of Chile 668, Central Bank of Chile.
- Paul R. Krugman, 1998. "It's Baaack: Japan's Slump and the Return of the Liquidity Trap," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 29(2), pages 137-206.
- Harald Hau & Helene Rey, 2008.
"Home Bias at the Fund Level,"
American Economic Review,
American Economic Association, vol. 98(2), pages 333-338, May.
- Harald Hau & Helene Rey, 2008. "Home Bias at the Fund Level," NBER Working Papers 14172, National Bureau of Economic Research, Inc.
- Hau, Harald & Rey, Hélène, 2008. "Home Bias at the Fund Level," CEPR Discussion Papers 6721, C.E.P.R. Discussion Papers.
- O’Connell, Paul G. J. & Teo, Melvyn, 2009. "Institutional Investors, Past Performance, and Dynamic Loss Aversion," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 155-188, February.
- Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
- Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011.
"US International Equity Investment and Past and Prospective Returns,"
American Economic Review,
American Economic Association, vol. 101(7), pages 3440-3455, December.
- Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "U.S. International Equity Investment and Past and Prospective Returns," NBER Working Papers 16677, National Bureau of Economic Research, Inc.
- Ken Miyajima & Madhusudan Mohanty & James Yetman, 2014. "Spillovers of US unconventional monetary policy to Asia: the role of long-term interest rates," BIS Working Papers 478, Bank for International Settlements.
- Olivier Jeanne & Lars E. O. Svensson, 2007.
"Credible Commitment to Optimal Escape from a Liquidity Trap: The Role of the Balance Sheet of an Independent Central Bank,"
American Economic Review,
American Economic Association, vol. 97(1), pages 474-490, March.
- Olivier D Jeanne & Lars E. O. Svensson, 2004. "Credible Commitment to Optimal Escape from a Liquidity Trap; The Role of the Balance Sheet of an Independent Central Bank," IMF Working Papers 04/162, International Monetary Fund.
- Olivier Jeanne & Lars E.O. Svensson, 2004. "Credible Commitment to Optimal Escape from a Liquidity Trap: The Role of the Balance Sheet of an Independent Central Bank," NBER Working Papers 10679, National Bureau of Economic Research, Inc.
- Jeanne, Olivier & Svensson, Lars E O, 2004. "Credible Commitment to Optimal Escape from a Liquidity Trap: The Role of the Balance Sheet of an Independent Central Bank," CEPR Discussion Papers 4599, C.E.P.R. Discussion Papers.
- Cerutti, Eugenio & Claessens, Stijn & Puy, Damien, 2019.
"Push factors and capital flows to emerging markets: why knowing your lender matters more than fundamentals,"
Journal of International Economics,
Elsevier, vol. 119(C), pages 133-149.
- Eugenio M Cerutti & Stijn Claessens & Damien Puy, 2015. "Push Factors and Capital Flows to Emerging Markets; Why Knowing Your Lender Matters More Than Fundamentals," IMF Working Papers 15/127, International Monetary Fund.
- Cerutti, Eugenio & Claessens, Stijn & Puy, Damien, 2017. "Push Factors and Capital Flows to Emerging Markets: Why Knowing Your Lender Matters More Than Fundamentals," ADB Economics Working Paper Series 528, Asian Development Bank.
- John H. Rogers & Chiara Scotti & Jonathan H. Wright, 2014. "Evaluating asset-market effects of unconventional monetary policy: a multi-country review," Economic Policy, CEPR;CES;MSH, vol. 29(80), pages 749-799, October.
- Malika Pant & Yanliang Miao, 2012. "Coincident Indicators of Capital Flows," IMF Working Papers 12/55, International Monetary Fund.
- Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
- R. S.J. Koijen & F. Koulischer & B. Nguyen & M. Yogo, 2016. "Quantitative Easing in the Euro Area: The Dynamics of Risk Exposures and the Impact on Asset Prices," Working papers 601, Banque de France.
- Ellison, Martin & Tischbirek, Andreas, 2014.
"Unconventional government debt purchases as a supplement to conventional monetary policy,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 43(C), pages 199-217.
- Ellison, Martin & Tischbirek, Andreas, 2013. "Unconventional government debt purchases as a supplement to conventional monetary policy," Research Discussion Papers 3/2013, Bank of Finland.
- Martin Ellison, 2013. "Unconventional government debt purchases as a supplement to conventional monetary policy," Economics Series Working Papers 679, University of Oxford, Department of Economics.
- Kaminsky, Graciela & Lyons, Richard K. & Schmukler, Sergio L., 2004.
"Managers, investors, and crises: mutual fund strategies in emerging markets,"
Journal of International Economics,
Elsevier, vol. 64(1), pages 113-134, October.
- Graciela Kaminsky & Richard K. Lyons & Sergio Schmukler, 2000. "Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets," NBER Working Papers 7855, National Bureau of Economic Research, Inc.
- Kaminsky,Graciela & Lyons,Richard K. & Schmukler,Sergio L., 2000. "Managers, investors, and crises : mutual fund strategies in emerging markets," Policy Research Working Paper Series 2399, The World Bank.
- Dedola, Luca & Karadi, Peter & Lombardo, Giovanni, 2013. "Global implications of national unconventional policies," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 66-85.
- David O. Lucca & Emanuel Moench, 2015.
"The Pre-FOMC Announcement Drift,"
Journal of Finance,
American Finance Association, vol. 70(1), pages 329-371, February.
- David O. Lucca & Emanuel Moench, 2011. "The pre-FOMC announcement drift," Staff Reports 512, Federal Reserve Bank of New York.
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011.
"The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy,"
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 42(2 (Fall)), pages 215-287.
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," NBER Working Papers 17555, National Bureau of Economic Research, Inc.
- Guillermo A. Calvo & Leonardo Leiderman & Carmen M. Reinhart, 1993.
"Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors,"
IMF Staff Papers,
Palgrave Macmillan, vol. 40(1), pages 108-151, March.
- Leonardo Leiderman & Carmen Reinhart & Guillermo Calvo, 1992. "Capital Inflows and Real Exchange Rate Appreciation in Latin America; The Role of External Factors," IMF Working Papers 92/62, International Monetary Fund.
- Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1993. "“Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors," MPRA Paper 7125, University Library of Munich, Germany.
- Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1993.
"Af1uencia de capital y apreciacion del tipo de cambio real en America Latina: E1 papel de los factores externos
[Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of Ex," MPRA Paper 13681, University Library of Munich, Germany.
- Borio, Claudio & Zhu, Haibin, 2012.
"Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?,"
Journal of Financial Stability,
Elsevier, vol. 8(4), pages 236-251.
- Claudio Borio & Haibin Zhu, 2008. "Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?," BIS Working Papers 268, Bank for International Settlements.
- repec:eee:inecon:v:108:y:2017:i:c:p:413-430 is not listed on IDEAS
- Robin Greenwood & Dimitri Vayanos, 2014.
"Bond Supply and Excess Bond Returns,"
Review of Financial Studies,
Society for Financial Studies, vol. 27(3), pages 663-713.
- Dimitri Vayanos & Robin Greenwood, 2008. "Bond Supply and Excess Bond Returns," FMG Discussion Papers dp607, Financial Markets Group.
- Greenwood, Robin & Vayanos, Dimitri, 2008. "Bond Supply and Excess Bond Returns," CEPR Discussion Papers 6694, C.E.P.R. Discussion Papers.
- Robin Greenwood & Dimitri Vayanos, 2008. "Bond Supply and Excess Bond Returns," NBER Working Papers 13806, National Bureau of Economic Research, Inc.
- Greenwood, Robin & Vayanos, Dimitri, 2008. "Bond supply and excess bond returns," LSE Research Online Documents on Economics 24425, London School of Economics and Political Science, LSE Library.
- Hau, Harald & Lai, Sandy, 2016.
"Asset allocation and monetary policy: Evidence from the eurozone,"
Journal of Financial Economics,
Elsevier, vol. 120(2), pages 309-329.
- Harald Hau & Sandy Lai, 2013. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," Swiss Finance Institute Research Paper Series 13-39, Swiss Finance Institute, revised Dec 2018.
- Harald Hau & Sandy Lai, 2014. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," CESifo Working Paper Series 5005, CESifo Group Munich.
- Harald Hau & Sandy Lai, 2013. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," Working Papers 222013, Hong Kong Institute for Monetary Research.
- Hau, Harald & Lai, Sandy, 2013. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," CEPR Discussion Papers 9581, C.E.P.R. Discussion Papers.
- Gauvin, L. & McLoughlin, C. & Reinhardt, D., 2013.
"Policy Uncertainty Spillovers to Emerging Markets - Evidence from Capital Flows,"
Working papers
435, Banque de France.
- Gauvin, Ludovic & McLoughlin, Cameron & Reinhardt, Dennis, 2014. "Policy uncertainty spillovers to emerging markets – evidence from capital flows," Bank of England working papers 512, Bank of England.
- Robin Greenwood & Andrei Shleifer, 2014.
"Expectations of Returns and Expected Returns,"
Review of Financial Studies,
Society for Financial Studies, vol. 27(3), pages 714-746.
- Robin Greenwood & Andrei Shleifer, "undated". "Expectations of Returns and Expected Returns," Working Paper 102501, Harvard University OpenScholar.
- Greenwood, Robin Marc & Shleifer, Andrei, 2014. "Expectations of Returns and Expected Returns," Scholarly Articles 11880390, Harvard University Department of Economics.
- Robin Greenwood & Andrei Shleifer, 2013. "Expectations of Returns and Expected Returns," NBER Working Papers 18686, National Bureau of Economic Research, Inc.
- Raddatz, Claudio & Schmukler, Sergio L. & Williams, Tomás, 2017.
"International asset allocations and capital flows: The benchmark effect,"
Journal of International Economics,
Elsevier, vol. 108(C), pages 413-430.
- Raddatz, Claudio & Schmukler, Sergio L. & Williams, Tomas, 2014. "International asset allocations and capital flows : the benchmark effect," Policy Research Working Paper Series 6866, The World Bank.
- Claudio Raddatz & Sergio L. Schmukler & Tomas Williams, 2015. "International Asset Allocations and Capital Flows: The Benchmark Effect," Working Papers 042015, Hong Kong Institute for Monetary Research.
- Tomas Williams & Claudio Raddatz & Sergio L. Schmukler, 2017. "International Asset Allocations and Capital Flows: The Benchmark Effect," Working Papers 2017-10, The George Washington University, Institute for International Economic Policy.
- Claudio Raddatz & Sergio Luis Schmukler & Tomas Williams, 2017. "International Asset Allocations and Capital Flows: The Benchmark Effect," Mo.Fi.R. Working Papers 141, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
- Fratzscher, Marcel, 2012.
"Capital flows, push versus pull factors and the global financial crisis,"
Journal of International Economics,
Elsevier, vol. 88(2), pages 341-356.
- Marcel Fratzscher, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," NBER Chapters, in: Global Financial Crisis, National Bureau of Economic Research, Inc.
- Marcel Fratzscher, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," NBER Working Papers 17357, National Bureau of Economic Research, Inc.
- Fratzscher, Marcel, 2011. "Capital flows, push versus pull factors and the global financial crisis," Working Paper Series 1364, European Central Bank.
- Fratzscher, Marcel, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," CEPR Discussion Papers 8496, C.E.P.R. Discussion Papers.
- Rakowski, David, 2010. "Fund Flow Volatility and Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(1), pages 223-237, February.
- Bauer, Michael D. & Neely, Christopher J., 2014.
"International channels of the Fed's unconventional monetary policy,"
Journal of International Money and Finance,
Elsevier, vol. 44(C), pages 24-46.
- Michael D. Bauer & Christopher J. Neely, 2012. "International channels of the Fed’s unconventional monetary policy," Working Papers 2012-028, Federal Reserve Bank of St. Louis.
- Michael D. Bauer & Christopher J. Neely, 2012. "International channels of the Fed’s unconventional monetary policy," Working Paper Series 2012-12, Federal Reserve Bank of San Francisco.
- Chotibhak Jotikasthira & Christian Lundblad & Tarun Ramadorai, 2012. "Asset Fire Sales and Purchases and the International Transmission of Funding Shocks," Journal of Finance, American Finance Association, vol. 67(6), pages 2015-2050, December.
- Krippner, Leo, 2013.
"Measuring the stance of monetary policy in zero lower bound environments,"
Economics Letters,
Elsevier, vol. 118(1), pages 135-138.
- Leo Krippner, 2012. "Measuring the stance of monetary policy in zero lower bound environments," CAMA Working Papers 2012-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Leo Krippner, 2012. "Measuring the stance of monetary policy in zero lower bound environments," Reserve Bank of New Zealand Discussion Paper Series DP2012/04, Reserve Bank of New Zealand.
- Joseph E. Gagnon & Matthew Raskin & Julie Remache & Brian P. Sack, 2011.
"Large-scale asset purchases by the Federal Reserve: did they work?,"
Economic Policy Review,
Federal Reserve Bank of New York, issue May, pages 41-59.
- Joseph E. Gagnon & Matthew Raskin & Julie Remache & Brian P. Sack, 2010. "Large-scale asset purchases by the Federal Reserve: did they work?," Staff Reports 441, Federal Reserve Bank of New York.
- Clouse James & Henderson Dale & Orphanides Athanasios & Small David H. & Tinsley P.A., 2003.
"Monetary Policy When the Nominal Short-Term Interest Rate is Zero,"
The B.E. Journal of Macroeconomics,
De Gruyter, vol. 3(1), pages 1-65, September.
- James A. Clouse & Dale W. Henderson & Athanasios Orphanides & David H. Small & Peter A. Tinsley, 2000. "Monetary policy when the nominal short-term interest rate is zero," Finance and Economics Discussion Series 2000-51, Board of Governors of the Federal Reserve System (US).
- K. J. Martijn Cremers & Antti Petajisto, 2009. "How Active Is Your Fund Manager? A New Measure That Predicts Performance," Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3329-3365, September.
- John C. Driscoll & Aart C. Kraay, 1998. "Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 549-560, November.
- Leonardo Gambacorta, 2009. "Monetary policy and the risk-taking channel," BIS Quarterly Review, Bank for International Settlements, December.
- Marcel Fratzscher & Marco Lo Duca & Roland Straub, 2016. "ECB Unconventional Monetary Policy: Market Impact and International Spillovers," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(1), pages 36-74, May.
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 43(2 (Fall)), pages 215-287.
- Hashem Pesaran, M. & Smith, Ron P., 2016.
"Counterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easing,"
Research in Economics,
Elsevier, vol. 70(2), pages 262-280.
- Pesaran, M. Hashem & Smith, Ron P., 2012. "Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing," IZA Discussion Papers 6618, Institute of Labor Economics (IZA).
- M. Hashem Pesaran & Ron P Smith, 2014. "Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing," Birkbeck Working Papers in Economics and Finance 1406, Birkbeck, Department of Economics, Mathematics & Statistics.
- M. Hashem Pesaran & Ron P. Smith, 2012. "Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing," CESifo Working Paper Series 3879, CESifo Group Munich.
- M. Hashem Pesaran & Ron P. Smith, 2012. "Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing," Working Paper series 37_12, Rimini Centre for Economic Analysis.
- Carpenter, Seth & Demiralp, Selva & Ihrig, Jane & Klee, Elizabeth, 2015.
"Analyzing Federal Reserve asset purchases: From whom does the Fed buy?,"
Journal of Banking & Finance,
Elsevier, vol. 52(C), pages 230-244.
- Seth B. Carpenter & Selva Demiralp & Jane E. Ihrig & Elizabeth C. Klee, 2013. "Analyzing Federal Reserve asset purchases: from whom does the Fed buy?," Finance and Economics Discussion Series 2013-32, Board of Governors of the Federal Reserve System (US).
- Joyce, Michael & Tong, Matthew & Woods, Robert, 2011. "The United Kingdom’s quantitative easing policy: design, operation and impact," Bank of England Quarterly Bulletin, Bank of England, vol. 51(3), pages 200-212.
- Jinjarak, Yothin & Wongswan, Jon & Zheng, Huanhuan, 2011. "International fund investment and local market returns," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 572-587, March.
- William F. Sharpe, 1967. "A Linear Programming Algorithm for Mutual Fund Portfolio Selection," Management Science, INFORMS, vol. 13(7), pages 499-510, March.
- Martijn Cremers & Antti Petajisto, 2006. "How Active is Your Fund Manager? A New Measure That Predicts Performance," Yale School of Management Working Papers amz2370, Yale School of Management, revised 01 May 2009.
- Tim A Kroencke & Maik Schmeling & Andreas Schrimpf, 2015. "Global Asset Allocation Shifts," BIS Working Papers 497, Bank for International Settlements.
- Barakchian, S. Mahdi & Crowe, Christopher, 2013. "Monetary policy matters: Evidence from new shocks data," Journal of Monetary Economics, Elsevier, vol. 60(8), pages 950-966.
- Jeffrey Moore & Sunwoo Nam & Myeongguk Suh & Alexander Tepper, 2013. "Estimating the impacts of U.S. LSAPs on emerging market economies’ local currency bond markets," Staff Reports 595, Federal Reserve Bank of New York.
- Raghuram G. Rajan, 2006. "Has Finance Made the World Riskier?," European Financial Management, European Financial Management Association, vol. 12(4), pages 499-533, September.
- Gauti B. Eggertsson & Michael Woodford, 2003. "The Zero Bound on Interest Rates and Optimal Monetary Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 139-235.
- Puy, Damien, 2016. "Mutual funds flows and the geography of contagion," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 73-93.
- Rogers, John H. & Scotti, Chiara & Wright, Jonathan H., 2014. "Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison," International Finance Discussion Papers 1101, Board of Governors of the Federal Reserve System (U.S.).
- Jonathan H. Wright, 2012. "What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?," Economic Journal, Royal Economic Society, vol. 122(564), pages 447-466, November.
- Andrés, Javier & López-Salido, J David & Nelson, Edward, 2004.
"Tobin's Imperfect Asset Substitution in Optimizing General Equilibrium,"
CEPR Discussion Papers
4336, C.E.P.R. Discussion Papers.
- Javier Andres & J. David López-Salido & Edward Nelson, 2004. "Tobin's imperfect asset substitution in optimizing general equilibrium," Working Papers 2004-003, Federal Reserve Bank of St. Louis.
- Chen, Hsiu-lang & Pennacchi, George G., 2009. "Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(4), pages 745-775, August.
- Fawley, Brett W. & Neely, Christopher J., 2013. "Four stories of quantitative easing," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 51-88.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Bubeck, Johannes & Habib, Maurizio Michael & Manganelli, Simone, 2018.
"The portfolio of euro area fund investors and ECB monetary policy announcements,"
Journal of International Money and Finance,
Elsevier, vol. 89(C), pages 103-126.
- Bubeck, Johannes & Habib, Maurizio Michael & Manganelli, Simone, 2017. "The portfolio of euro area fund investors and ECB monetary policy announcements," Working Paper Series 2116, European Central Bank.
More about this item
Keywords
Unconventional monetary policy; portfolio rebalancing; international spillovers; asset allocation; mutual funds;JEL classification:
- F30 - International Economics - - International Finance - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2018-01-22 (Central Banking)
- NEP-IFN-2018-01-22 (International Finance)
- NEP-MAC-2018-01-22 (Macroeconomics)
- NEP-MON-2018-01-22 (Monetary Economics)
Statistics
Access and download statisticsCorrections
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:boe:boeewp:0705. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Digital Media Team). General contact details of provider: http://edirc.repec.org/data/boegvuk.html .
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.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.