US liquid government liabilities and emerging market capital flows

• 成果类型: Article
• 署名作者: Lee, Annie Soyean; Engel, Charles
• 署名单位: Johns Hopkins University; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2026.104299
• 发表日期: 2026
• 关键词: unconventional monetary-policy; spillovers; transmission; channels; trilemma; demand

摘要

We identify the liquidity channel through which Federal Reserve quantitative easing (QE) quantitative tightening (QT) affect capital flows to emerging markets. Using weekly data on Fed's purchases and sales of long-term U.S. Treasury securities, we find that large purchases to a significant increase in capital flows to emerging markets, and that sales have the reverse effect. We then show that QE lowers, and QT raises, the convenience yield on U.S. Treasuries, measured by covered interest parity deviations, and that the induced changes in the convenience yield drive the capital flow responses. Our model based on liquidity rationalizes these findings: QE shifts publicly held government debt toward more liquid assets, providing investors greater buffer against the risk of low consumption. Better insured through liquid asset holdings, investors are willing to increase illiquid investments, including lending to emerging markets.