Quantitative Easing and United States Investor Portfolio Rebalancing towards Foreign Assets
João Barroso ()
Chapter 8 in International Spillovers of Monetary Policy, 2017, pp 225-285 from Centro de Estudios Monetarios Latinoamericanos, CEMLA
We show robust evidence that quantitative easing policies implemented by the Federal Reserve cause portfolio rebalancing by USA investors towards foreign assets in emerging market economies. These effects are on top of any effects such polices might have through global or specific conditions of the recipient economies. To control for such conditions, we use capital flows from the rest of the world to the same recipient economy as the counterfactual behavior for USA investors or, formally, as a proxy variable for unobserved common drivers of the flows. We gather a comprehensive dataset for Brazilian capital flows and a smaller dataset for other emerging market economies from completely independent sources. Both datasets show that more than 50% of USA flows to the recipient economies in the period is accounted for by quantitative easing policies. We use the detailed datasets to break down this overall effect on the specific asset categories and sectors of the recipient economies.
Keywords: quantitative easing; capital flows; portfolio rebalancing; USA investor; emerging markets; Brazil (search for similar items in EconPapers)
JEL-codes: E52 F42 G11 G15 (search for similar items in EconPapers)
Note: Joint Research Program XX Meeting of the Central Bank Researchers Network
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Working Paper: Quantitative Easing and United States Investor Portfolio Rebalancing Towards Foreign Assets (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:cml:incocp:3-08
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