| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23474 |
| 来源ID | Working Paper 23474 |
| Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows | |
| Anusha Chari; Karlye Dilts Stedman; Christian Lundblad | |
| 发表日期 | 2017-06-05 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | This paper provides a novel perspective on the impact of U.S. unconventional monetary policy (UMP) on emerging market capital flows and asset prices. Using high-frequency Treasury futures data to identify U.S. monetary policy shocks, we find, through the lens of an affine term structure model, that these shocks represent revisions to both the expected path of short-term interest rates and required risk compensation. The risk compensation component is especially important during the UMP periods. Further, we find that these high-frequency policy shocks do exhibit sizable effects on U.S. holdings of emerging market assets and their valuations. We also document that the relative effects of U.S. monetary policy shocks are larger for emerging asset returns relative to physical capital flows, and they are largest for emerging equity markets relative to fixed income markets. Last, these effects are largest when the Federal Reserve is engaged in “tapering” its large-scale asset purchase program. |
| 主题 | Macroeconomics ; Monetary Policy ; Fiscal Policy ; International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w23474 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581148 |
| 推荐引用方式 GB/T 7714 | Anusha Chari,Karlye Dilts Stedman,Christian Lundblad. Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23474.pdf（519KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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