Economics at your fingertips  

Effects of Fed Announcements on Emerging Markets: What Determines Financial Market Reactions?

Prachi Mishra (), Papa N’Diaye () and Lam Nguyen ()
Additional contact information
Prachi Mishra: International Monetary Fund
Papa N’Diaye: International Monetary Fund
Lam Nguyen: University of California

IMF Economic Review, 2018, vol. 66, issue 4, 732-762

Abstract: Abstract This paper analyzes market reactions to the 2013–2014 Fed announcements related to the tapering of asset purchases and examines how these reactions are influenced by financial depth. The study focuses on long-term government bond yields and uses daily data for all emerging markets. Controlling for all time-invariant country characteristics as well as time-varying macroeconomic fundamentals (changes in current account, fiscal balance, GDP growth, and inflation), countries with deeper domestic financial markets (as measured by higher bank credit, M2, M3, or stock market capitalization) experienced smaller increases in government bond yields during 4-day windows around Federal Open Market Committee announcements related to tapering. Countries with better macroeconomic fundamentals (measured by improvements in current account, fiscal balance, and GDP growth) also experienced smaller increases in government bond yields around such episodes.

JEL-codes: E44 F3 G14 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to full text is restricted to subscribers.

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:

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/41308/PS2

Access Statistics for this article

More articles in IMF Economic Review from Palgrave Macmillan, International Monetary Fund
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-04-09
Handle: RePEc:pal:imfecr:v:66:y:2018:i:4:d:10.1057_s41308-018-0068-2