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

Autor:	Lam Nguyen, Papa N'Diaye, Prachi Mishra
Rok vydání:	2018
Předmět:	Inflation 050208 finance media_common.quotation_subject 05 social sciences Financial market Current account Monetary economics General Business Management and Accounting Open market operation 0502 economics and business Economics Government bond Stock market 050207 economics Emerging markets General Economics Econometrics and Finance Capital market media_common
Zdroj:	IMF Economic Review. 66:732-762
ISSN:	2041-417X 2041-4161
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2bdb9a1cdb2960b5fc2ae878fc569006 https://doi.org/10.1057/s41308-018-0068-2 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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