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dc.contributor.author
Banegas, Ayelen
dc.contributor.author
Montes Rojas, Gabriel Victorio
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dc.contributor.author
Siga, Lucas
dc.date.available
2023-07-19T15:55:27Z
dc.date.issued
2022-05
dc.identifier.citation
Banegas, Ayelen; Montes Rojas, Gabriel Victorio; Siga, Lucas; The effects of U.S. monetary policy shocks on mutual fund investing; Elsevier; Journal of International Money and Finance; 123; 102595; 5-2022; 1-24
dc.identifier.issn
0261-5606
dc.identifier.uri
http://hdl.handle.net/11336/204471
dc.description.abstract
We study the effects of unexpected changes in the stance of U.S. monetary policy on the performance and flows of mutual funds investing in domestic and international financial markets over the recent period of unconventional monetary policy. Taking an agnostic approach on the transmission mechanism of monetary policy, we find that monetary policy shocks have a direct effect on fund performance and flow dynamics, and that the effect of these surprises differs by investment strategy. Results show that an unexpected tightening of the stance of policy is associated with negative performance and outflows from fixed-income funds, in particular those investing in international, government and investment grade bond markets. Results also point to a negative relationship between equity fund performance and policy tightening. Moreover, our findings indicate that Federal Reserve's expansionary balance sheet policy (i.e. large-scale asset purchases) has a strong positive effect on the performance and flows of equity funds, especially on those investing in emerging markets.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Elsevier
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dc.rights
info:eu-repo/semantics/restrictedAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
dc.subject
MONETARY POLICY SHOCKS
dc.subject
MUTUAL FUND PERFORMANCE AND FLOWS
dc.subject.classification
Economía, Econometría
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dc.subject.classification
Economía y Negocios
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dc.subject.classification
CIENCIAS SOCIALES
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dc.title
The effects of U.S. monetary policy shocks on mutual fund investing
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2023-07-07T23:01:12Z
dc.journal.volume
123
dc.journal.number
102595
dc.journal.pagination
1-24
dc.journal.pais
Países Bajos
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dc.journal.ciudad
Amsterdam
dc.description.fil
Fil: Banegas, Ayelen. Federal Reserve Board; Estados Unidos
dc.description.fil
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina
dc.description.fil
Fil: Siga, Lucas. University of Essex; Reino Unido
dc.journal.title
Journal of International Money and Finance
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1016/j.jimonfin.2021.102595
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/abs/pii/S0261560621002461
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