Taper Tantrums: Quantitative Easing, Its Aftermath, and Emerging Market Capital Flows

• 成果类型: Article
• 署名作者: Chari, Anusha; Stedman, Karlye Dilts; Lundblad, Christian
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Kansas City
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa044
• 发表日期: 2021
• 页码: 1445
• 关键词: monetary-policy; interest-rates; exchange-rates; channels; DYNAMICS; returns; RISK

摘要

This paper examines the spillover effects of U.S. unconventional monetary policy (UMP) on emerging market capital flows and asset prices. Affine term structure model estimates show that U.S. monetary policy shocks, identified with high-frequency Treasury futures data, represent revisions to expected short-term yields and term premia, especially during the UMP period. The policy shocks exhibit sizable effects on U.S. holdings of emerging market assets. These effects disproportionately manifest through valuation changes versus physical flows, are more pronounced for equity relative to bond markets, and are asymmetric between the quantitative easing and tapering periods, with flows more important during the unwinding.