Alzuabi, Raslan and Brown, Sarah and Kontonikas, Alexandros and Montagnoli, Alberto (2025) Household Portfolios and Monetary Policy. International Journal of Finance and Economics. DOI https://doi.org/10.1002/ijfe.3125
Alzuabi, Raslan and Brown, Sarah and Kontonikas, Alexandros and Montagnoli, Alberto (2025) Household Portfolios and Monetary Policy. International Journal of Finance and Economics. DOI https://doi.org/10.1002/ijfe.3125
Alzuabi, Raslan and Brown, Sarah and Kontonikas, Alexandros and Montagnoli, Alberto (2025) Household Portfolios and Monetary Policy. International Journal of Finance and Economics. DOI https://doi.org/10.1002/ijfe.3125
Abstract
We show that expansionary monetary policy is positively (negatively) associated with household portfolio allocation to high-risk (low-risk) assets, in line with ‘reaching for yield’ behaviour. Our main findings are based on an analysis of US household-level data using alternative measures of monetary policy shifts over the period 1999–2007. Using the two-part Fractional Response Model, we show that changes in the Federal Funds Rate (FFR) have a stronger impact on the decision to hold high-risk assets relative to the impact on the decision to hold low-risk assets. In addition, our findings indicate that the impact of FFR changes is stronger for active investors. Finally, our findings are robust over an extended time period (1999–2019) that includes the global financial crisis using a monetary policy measure that accounts for the post-crisis ZLB period.
Item Type: | Article |
---|---|
Uncontrolled Keywords: | fractional response models; household financial portfolio allocation; monetary policy |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 15 Jan 2025 13:37 |
Last Modified: | 11 Apr 2025 11:21 |
URI: | http://repository.essex.ac.uk/id/eprint/40029 |
Available files
Filename: Int J Fin Econ - 2025 - Alzuabi - Household Portfolios and Monetary Policy.pdf
Licence: Creative Commons: Attribution 4.0