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Bond funds’ risk taking and monetary policy
Using granular security-level data from bond funds domiciled in the US and the euro area, we identify a market-based risk-taking channel of monetary policy transmission via the credit-risk and the maturity structure of bond funds’ portfolios. We measure credit risk at the fund level as the weighted average credit rating of the fund’s bond holdings. We find that accommodative monetary policies by the Fed and the ECB are associated with increased risk in bond funds’ portfolios. Interestingly, risk-taking is more pronounced for funds with longer-term holdings relative to short-term ones and unconventional monetary policy exerts stronger market-based risk-taking effects than interest rate policy. Finally, we find that Fed’s monetary policy has a stronger impact on funds’ risk-taking behaviour than the ECB’s, highlighting the dominant role of US monetary policy in global financial markets.
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