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Quantitative Easing and United States Investor Portfolio Rebalancing Towards Foreign Assets

João Barroso ()

No 420, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: We show robust evidence that quantitative easing policies by the Federal Reserve cause portfolio rebalancing by US 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 a proxy variable. 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 US 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.

Date: 2016-03
New Economics Papers: this item is included in nep-ifn, nep-mac and nep-mon
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Chapter: Quantitative Easing and United States Investor Portfolio Rebalancing towards Foreign Assets (2017) Downloads
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