Monetary policy in the North, effects in the South

Gonzalo De Cadenas Santiago, Alicia Garcia-Herrero and Alvaro Ortiz
Authors registered in the RePEc Author Service: Alicia Garcia Herrero

No 1429, Working Papers from BBVA Bank, Economic Research Department

Abstract: Portfolio flows across Emerging Markets (EMs) have been particularly volatile over the last years. Financial distress at the beginning of the crisis was followed by monetary policy reactions in developed economies and emerging countries triggering push and pull forces favourable for flow dynamics across Emerging Markets. Subsequent actions and discussion over the exit strategies of central banks in developed economies – particularly the Fed - were behind the various waves of risk-on/-off sentiment in financial markets. We propose a cross over approach (Dinamic Linear Model / Factor Augmented VAR) to disentangle the net effects of global shocks. This paper will focus on the effects of Monetary Policy in the North (more specifically, monetary policy normalization by the FED and the QE by the ECB) on cross border portfolio flows to the South (Emerging Markets) under six alternative plausible scenarios.

Keywords: QE; tapering; emerging markets; monetary policy; porfolio flows (search for similar items in EconPapers)
JEL-codes: C32 E32 F32 G12 (search for similar items in EconPapers)
Date: 2014-10
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mfd and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.bbvaresearch.com/wp-content/uploads/20 ... -Monetary-Policy.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bbv:wpaper:1429

Access Statistics for this paper

More papers in Working Papers from BBVA Bank, Economic Research Department Contact information at EDIRC.
Bibliographic data for series maintained by OSCAR DE LAS PENAS SANCHEZ-CARO ().