Alzuabi, R., Brown, S., Kontonikas, A. et al. (1 more author) (2020) Household portfolios and monetary policy. Working Paper. Sheffield Economic Research Paper Series, 2020001 (2020001). Department of Economics, University of Sheffield ISSN 1749-8368
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.
Metadata
Item Type: | Monograph |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2020 The Author(s). For reuse permissions, please contact the Author(s). |
Keywords: | Household Financial Portfolio Allocation; Monetary Policy |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) > Sheffield Economics Research Papers Series The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 17 Jan 2020 12:02 |
Last Modified: | 03 Mar 2021 12:43 |
Published Version: | https://www.sheffield.ac.uk/media/7908/download |
Status: | Published |
Publisher: | Department of Economics, University of Sheffield |
Series Name: | Sheffield Economic Research Paper Series |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:155593 |