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Monetary Surprises and Global Financial Flows: A Case Study of Latin America

Eric Fischer

Journal of Emerging Market Finance, 2020, vol. 19, issue 2, 189-225

Abstract: This article examines the effect of Federal Reserve announcements on global financial flows to Latin America since the Global Financial Crisis. The Federal Reserve announcements are classified using daily measures of expectations from a shadow rate term structure model as easing (unexpected), tightening (unexpected), easing (expected), and tightening (expected). This classification is then used for an event study on daily global financial flows classified by asset class (debt, equity), currency (all currencies, hard currency, local currency), and region (Latin America, Brazil, and Mexico). The results suggest easing (unexpected) and tightening (unexpected) announcements cause debt outflows but have no effect on equity flows to Latin America. Local currency debt flows to Latin America are more sensitive than the hard currency debt flows and Brazil is the country in Latin America that responds most to these announcements. JEL Classification: F32, G14, G15, N26

Keywords: International financial flows; unconventional monetary policy; Latin America; portfolio flows; financial stability; emerging markets (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:19:y:2020:i:2:p:189-225

DOI: 10.1177/0972652719890750

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