EconPapers    
Economics at your fingertips  
 

Reprint: Monetary policy news in the US: Effects on emerging market capital flows

Tatjana Dahlhaus and Garima Vasishtha

Journal of International Money and Finance, 2021, vol. 114, issue C

Abstract: We examine the impact of US monetary policy news on portfolio flows to emerging markets using a Bayesian Vectorautoregression that accounts for expectations of future monetary policy. We define the US “monetary policy news shock” as one that increases monetary policy expectations while leaving the policy rate unchanged. Results suggest that the impact of this shock on portfolio flows as a share of GDP is economically small on aggregate but varies considerably across countries. The countries we identify as being the most affected also experienced larger volumes of capital in- and outflows before and after the 2013 taper tantrum episode, respectively. Also, macroeconomic performance and external vulnerabilities may matter. However, financial openness does not seem to be associated with differences in effects on capital flows over our sample period.

Keywords: Monetary policy news; Capital flows; International policy transmission; Federal funds rate expectations; Vectorautoregression (search for similar items in EconPapers)
JEL-codes: E52 E58 F42 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560621000528
Full text for ScienceDirect subscribers only

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:eee:jimfin:v:114:y:2021:i:c:s0261560621000528

DOI: 10.1016/j.jimonfin.2021.102403

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-06-30
Handle: RePEc:eee:jimfin:v:114:y:2021:i:c:s0261560621000528