77 research outputs found

    Monetary Policy Shocks and Stock Returns: Evidence from the British Market

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    This paper examines the impact of anticipated and unanticipated monetary policy announcements, of the Bank of England’s Monetary Policy Committee on UK sectoral stock returns. The monetary policy shock is generated from the change in the three-month sterling LIBOR futures contract. Using a panel GMM estimator we find that both the expected and unexpected components of monetary changes are significant, but that only the surprise term is significant when we control for the impact of the sectors financial position

    Monetary Policy and Corporate Bond Returns

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    We investigate the impact of monetary policy shocks (the surprise change in the Fed Funds rate (FFR)) on excess corporate bonds returns. We obtain a significant negative response of bond returns to FFR shocks. This effect is especially strong in the period before the 2007- 09 financial crisis and for bonds with longer maturity and lower rating. We show that the largest portion of this response is related to higher expected excess bond returns, especially term premia news. Therefore, the discount-rate channel represents an important mechanism through which monetary policy affects corporate bonds. However, the financial crisis has attenuated this effect

    Household portfolios and monetary policy

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    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

    Household portfolios and financial literacy: The flight to delegation

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    In this paper we analyse the asset allocation of European households, focusing on developments during the period that followed the recent twin financial crises. We examine whether “search for yield” materialises outside financial institutions and whether the degree of financial literacy plays a role. We consider a wider set of alternatives to the safe assets by incorporating mutual funds to the standard set of stocks and bonds. We provide novel evidence which suggests that the “search for yield” during the post-crisis period of low interest rates took place not by raising the direct holdings of stocks and bonds, but rather indirectly through higher mutual funds’ holdings, in line with a “flight to delegation”. Importantly, this behaviour is strongly linked to the level of financial literacy, with the most literate households displaying significantly higher use of mutual funds

    Rare earth element behaviour in apatite from the olympic dam Cu–U–Au–Ag deposit, South Australia

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    Apatite is a common magmatic accessory in the intrusive rocks hosting the giant ~1590 Ma Olympic Dam (OD) iron-oxide copper gold (IOCG) ore system, South Australia. Moreover, hydrothermal apatite is a locally abundant mineral throughout the altered and mineralized rocks within and enclosing the deposit. Based on compositional data for zoned apatite, we evaluate whether changes in the morphology and the rare earth element and Y (REY) chemistry of apatite can be used to constrain the fluid evolution from early to late hydrothermal stages at OD. The ~1.6 Ga Roxby Downs granite (RDG), host to the OD deposit, contains apatite as a magmatic accessory, locally in the high concentrations associated with mafic enclaves. Magmatic apatite commonly contains REY-poor cores and REY-enriched margins. The cores display a light rare earth element (LREE)-enriched chondrite-normalized fractionation pattern with a strong negative Eu anomaly. In contrast, later hydrothermal apatite, confined to samples where magmatic apatite has been obliterated due to advanced hematite-sericite alteration, displays a conspicuous, convex, middle rare earth element (MREE)-enriched pattern with a weak negative Eu anomaly. Such grains contain abundant inclusions of florencite and sericite. Within high-grade bornite ores from the deposit, apatite displays an extremely highly MREE-enriched chondrite-normalized fractionation trend with a positive Eu anomaly. Concentrations of U and Th in apatite mimic the behaviour of ∑REY and are richest in magmatic apatite hosted by RDG and the hydrothermal rims surrounding them. The shift from characteristic LREE-enriched magmatic and early hydrothermal apatite to later hydrothermal apatite displaying marked MREE-enriched trends (with lower U, Th, Pb and ∑REY concentrations) reflects the magmatic to hydrothermal transition. Additionally, the strong positive Eu anomaly in the MREE-enriched trends of apatite in high-grade bornite ores are attributable to alkaline fluid conditions.Sasha Krneta, Cristiana L. Ciobanu, Nigel J. Cook, Kathy Ehrig and Alkis Kontonikas-Charo