Fratzscher, Marcel; Saborowski, Christian; Straub, Roland - European Central Bank - 2009
The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and … balance by 1% of GDP, and explaining about 20-25% of their time variation. Monetary policy easing causes positive returns to … both equities and bonds. Yet such a monetary policy easing shock also induces a shift in portfolio composition out of …