Naslov
The impact of selected macroeconomic variables on the yield and risk of the money market mutual funds: case of Croatia

Autori
Anđelinović, Mihovil ; Jakovčević, Drago ; Škrabić, Blanka

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the ABRSC 2012 Conference „Advances in Business-Related Scientific Research Conference 2012" / - , 2012

Skup
Advances in Business-Related Scientific Research Conference 2012

Mjesto i datum
Venecija, Italija, 28.03.2012. - 30.03.2012

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
macroeconomic variables; vector autoregressive model; money market mutual funds

Sažetak
This paper analyzes the impact of selected macroeconomic variables (inflation, monetary aggregate M1 and industrial production) on the yield and risk of the money market mutual funds (MMMFs). In order to analyze the interrelations between the observed variables, two vector autoregressive models (VAR) will be formed. The results of analysis suggest that increase in inflation, measured by CPI, Granger causes increase in both MMMF yield and risk. Decrease in CPI Granger causes decrease in both MMMF yield and risk. Increase in industrial production Granger causes increase MMMF risk and vice versa. The impact of industrial production on MMMF yield is ambiguous. M1 does not Granger cause the movement of both MMMF yield and risk. Institutional and individual investors could maximize their profits and/or minimize the risk of their portfolio by investing in accordance to these findings.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA