This figure shows annual net flows to bond, equity and hybrid mutual funds over the period 2000-14. The horizontal axis plot time and the vertical axis dollar amounts of flows in millions of dollars. Data is from ICI.
This figure shows annual net flows to different mutual fund bond strategies including investment grade, government bond, world bond, high yield, multi-sector and municipal bond. The horizontal axis plot time (over the period 2000-14) and the vertical axis dollar amounts of flows in millions of dollars.
This figure shows the ratio of flows (f_t) to total net asset (tna_tâ1), by asset class. F_t = s_t â re_t + e_t â d_t, where f_t is net new cash flows during month t, s_t is total sales, re_t accounts for monthly redemptions, e_t stands for net exchanges, defined as the dollar amount of net shareholder switches into or out of funds in the same complex during month t, and dt is all reinvested dividends during the current month. Data is from ICI.
This figure presents monthly returns (r_t) over the 2000â14 period, by asset class (bond, equity and hybrid mutual funds). Returns are calculated using monthly data on net flows including dividends and total net assets from ICI.
This figure shows time series for a set of macroeconomic factors built using principal components analysis. The series included in the analysis are: Industrial Production (currip.B50001.s), Retail Sales (usslv i02yrf.m); Housing: Single-family Housing Starts, Single-family Housing Permits, Pending Home Sales, Existing Home Sales, CoreLogic Price Index for Single-Family Homes, 30-Year Conforming Fixed-Rate Mortgage; IS Manufactur- ing Survey: Average Regional New Orders, New Orders, Export Orders, Supplier Deliveries, Inventories; Consumer Surveys: Michigan Survey: Current Conditions, Michigan Survey: Expected Conditions, Consumer Sentiment- Michigan Index, Consumer Sentiment- Conference Board Index, Expected Labor Market Conditions- Michigan Survey.
This figure displays the logarithm of the Fed's balance sheet assets over the period 2000-14, using monthly data from the FRB.
This figure shows time series for the three monetary policy shocks proposed by Buraschi, Carnelli and Whelan (2014), Bernanke and Kuttner (2005), Christiano, Epelbaum and Evans (1996) that we used in this study.
This figure shows the trend component of the three monetary policy shocks used in the study (Buraschi, Carnelli and Whelan (2014), Bernanke and Kuttner (2005), Christiano, Epelbaum and Evans (1996)) calculated from a Hodrick-Prescott filter using a smoothing parameter of 1000.
This figure shows the cycle component of the three monetary policy shocks used in the study (Buraschi, Carnelli and Whelan (2014), Bernanke and Kuttner (2005), Christiano, Epelbaum and Evans (1996)) calculated from a Hodrick-Prescott filter using a smoothing parameter of 1000.
This figure reports the cumulative orthogonalized impulse response functions (IRF) of equity and bond fund flows to a positive 1 standard deviation shock to the corresponding monetary policy measure (Christiano, Epelbaum and Evans (1996), Bernanke and Kuttner (2005) and Buraschi, Carnelli and Whelan (2014)). Responses are in months. Results show 95% confidence intervals.
This figure shows the cumulative orthogonalized impulse response functions (IRF) of equity and bond fund flows to a positive 1 standard deviation shock to changes in the size of the Fed's balance sheet (Fed), market volatility (VIX) and macro conditions factor (F1). Responses are in months. Results show 95% confidence intervals.
This figure shows the cumulative orthogonalized impulse response functions (IRF) of bond fund flows by investment strategy to a positive 1 standard deviation shock to monetary policy (as defined by BCW), the proxy for Fed's liquidity (Fed), volatility (VIX), and macro conditions factor (F1). Responses are in months. Results show 95% confidence intervals.
This figure presents the cumulative orthogonalized impulse response functions (IRF) of equity fund flows by investment strategy to a positive 1 standard deviation shock to monetary policy (as defined by BCW), the proxy for Fed's liquidity (Fed), volatility (VIX), and macro conditions factor (F1). Responses are in months. Results show 95% confidence intervals.
This figure reports the cumulative orthogonalized impulse response functions (IRF) of bond fund risk-adjusted returns, by investment strategy, to a positive 1 standard deviation shock to fund flows. Responses are in months. Results show 95% confidence intervals.
This figure reports the cumulative orthogonalized impulse response functions (IRF) of equity fund risk-adjusted returns, by investment strategy, to a positive 1 standard deviation shock to fund flows. Responses are in months. Results show 95% confidence intervals.