Monetary Surprises and Global Financial Flows: A Case Study of Latin America

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2020-05-09 DOI:10.1177/0972652719890750

Eric Fischer

引用次数: 3

Abstract

This article examines the effect of Federal Reserve announcements on global financial flows to Latin America since the Global Financial Crisis. The Federal Reserve announcements are classified using daily measures of expectations from a shadow rate term structure model as easing (unexpected), tightening (unexpected), easing (expected), and tightening (expected). This classification is then used for an event study on daily global financial flows classified by asset class (debt, equity), currency (all currencies, hard currency, local currency), and region (Latin America, Brazil, and Mexico). The results suggest easing (unexpected) and tightening (unexpected) announcements cause debt outflows but have no effect on equity flows to Latin America. Local currency debt flows to Latin America are more sensitive than the hard currency debt flows and Brazil is the country in Latin America that responds most to these announcements. JEL Classification: F32, G14, G15, N26

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货币意外与全球资金流动:以拉丁美洲为例

本文考察了自全球金融危机以来美联储公告对拉丁美洲全球资金流动的影响。美联储的公告使用影子利率期限结构模型中的每日预期指标分类为宽松（意外）、紧缩（意外），宽松（预期）和紧缩（预期）。然后，该分类用于按资产类别（债务、股权）、货币（所有货币、硬通货、当地货币）和地区（拉丁美洲、巴西和墨西哥）分类的每日全球金融流动的事件研究。结果表明，宽松（意外）和紧缩（意外）的宣布会导致债务外流，但对流向拉丁美洲的股票流动没有影响。流向拉丁美洲的本币债务流比硬通货债务流更敏感，巴西是拉丁美洲对这些公告反应最强烈的国家。JEL分类：F32、G14、G15、N26

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.