Unconventional Monetary Policy and the Portfolio Choice of International Mutual Funds
41 Pages Posted: 22 Jun 2020
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Unconventional Monetary Policy and the Portfolio Choice of International Mutual Funds
Date Written: May 27, 2020
Abstract
This paper analyses how unconventional monetary policy by the major central banks in developed markets affects the geographical portfolio choice of international mutual fund managers. We find that large-scale asset purchases have significant international spillover effects, in contrast to unconventional monetary policy announcement surprises. Specifically, we document that mutual fund managers rebalance their portfolios away from the developed country conducting large-scale asset purchases and towards other developed markets. We find little evidence for fund managers contributing to QE-induced capital flows to emerging markets.
Keywords: Asset allocation, portfolio rebalancing, international spillovers, unconventional monetary policy, mutual funds
JEL Classification: F30, G11, G15, G23
Suggested Citation: Suggested Citation