The Portfolio of Euro Area Fund Investors and ECB Monetary Policy Announcements

47 Pages Posted: 8 Dec 2017

See all articles by Johannes Bubeck

Johannes Bubeck

Deutsche Bundesbank

Maurizio Michael Habib

European Central Bank (ECB)

Simone Manganelli

European Central Bank (ECB)

Date Written: December 6, 2017

Abstract

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.

Keywords: monetary policy, euro area, European Central Bank, asset allocation, investment funds

JEL Classification: E2, F3, G11, G15

Suggested Citation

Bubeck, Johannes and Habib, Maurizio Michael and Manganelli, Simone, The Portfolio of Euro Area Fund Investors and ECB Monetary Policy Announcements (December 6, 2017). ECB Working Paper No. 2116, ISBN: 978-92-899-3039-0, Available at SSRN: https://ssrn.com/abstract=3083920 or http://dx.doi.org/10.2139/ssrn.3083920

Johannes Bubeck (Contact Author)

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

HOME PAGE: http://https://sites.google.com/view/johannesbubeck

Maurizio Michael Habib

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Simone Manganelli

European Central Bank (ECB) ( email )

Kaiserstrasse 29
Frankfurt am Main, 60311
Germany

HOME PAGE: http://www.simonemanganelli.org

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