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...

This article surveys the literature on consumption risk sharing, focusing on the findings for the euro area and for the United States, but also presenting evidence for other countries. The literature examined found that risk sharing is higher in more mature federations, such as the United...

This paper compares the performance of various diversification strategies regarding foreign exchange reserves. The aim is to provide central banks with guidelines in portfolio allocation. We pay particular attention to the situation of upward pressures on U.S. interest rates by implementing our...

In this paper we examine how monetary announcements can explain US country funds premiums in international markets, taking into account monetary asymmetries relating to information news and directional actions of monetary policy. The monetary determinants which we have used to explore the...

This paper investigates the effects of equity market integration on the transmission of monetary policy shocks. Based on the assumption that financial market liberalization and integration lead to falling portfolio holding costs, we analyze its effect on a twocountry DSGE model with staggered...

This paper uses a dynamic general equilibrium two-country optimizing model to analyze the consequences of international capital mobility for the effectiveness of monetary policy in open economies. The model shows that the substitutability of goods produced in different countries plays a central...

Using the Bank for International Settlements (BIS) Locational Banking Statistics data on bilateral bank claims from 1995 to 2014, we analyze the impact of monetary policy on cross-border bank flows. We find that monetary policy in a source country is an important determinant of cross-border bank...

This paper investigates whether size and speed of the pass-through of market rates into short term business lending rates have increased in the wake of the introduction of the euro. Allowing for multiple unknown structural breaks we find two in four EMU countries, and in the UK as well, and a...

The harmonized MIR retail interest rates for the euro area, available as of January 2003, show remarkable differences both in levels and dynamics with the previous unharmonized NRIR rates. This evidence should suggest caution in extrapolating the findings of the NRIR-based literature on the...

A new approach to search for structural breaks in the retail lending rA new approach is proposed for searching multiple unknown breaks, possibly associated with EMU, in the short term business lending rate pass-through. Multiple breaks are detected in five out of nine countries of the euro area....