Unconventional Monetary Policy and the Portfolio Choice of International Mutual Funds

41 Pages Posted: 22 Jun 2020

See all articles by Gino Cenedese

Gino Cenedese

Fulcrum Asset Management

Ilaf Elard

New York University Shanghai

Multiple version iconThere are 2 versions of this paper

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

Cenedese, Gino and Elard, Ilaf, Unconventional Monetary Policy and the Portfolio Choice of International Mutual Funds (May 27, 2020). Available at SSRN: https://ssrn.com/abstract=3606408 or http://dx.doi.org/10.2139/ssrn.3606408

Gino Cenedese (Contact Author)

Fulcrum Asset Management ( email )

66 Seymour Street
London, W1H 5BT
United Kingdom

Ilaf Elard

New York University Shanghai ( email )

1555 Century Avenue
Pudong New District
Shanghai, 200120
China

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