投资者差异是否会影响货币政策对新兴市场的溢出效应？

IF 4 1区经济学 Q1 ECONOMICS

Journal of International Economics Pub Date : 2025-07-01 DOI:10.1016/j.jinteco.2025.104100

Ester Faia , Karen K. Lewis , Haonan Zhou

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引用次数: 0

摘要

我们使用欧元区投资者的部门级证券持有数据，以资本流动逆转的形式重新审视货币政策对新兴市场经济体（EME）的溢出效应。为应对出人意料的货币紧缩，投资基金等主动投资者会重新平衡其投资组合，减少对新兴市场的投资，而保险基金和银行等更为被动的长期投资者平均而言没有明显反应。对于活跃投资者而言，在美联储和欧洲央行同步收紧货币政策的情况下，EME的再配置似乎更为强劲。然而，当货币紧缩意外包含有关欧元区经济的积极消息时，这些投资者甚至可能向EME证券注入更多资金。发行者的货币财政稳定性可以解释这些溢出效应的不同影响。

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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Do investor differences impact monetary policy spillovers to emerging markets?

We re-examine monetary policy spillovers to Emerging Market Economies (EME) in the form of capital flow reversals, using sectoral-level securities holdings data for Euro Area investors. In response to a surprise monetary tightening, active investors such as investment funds re-balance their portfolios away from EME, while more passive, long term investors such as insurance funds and banks exhibit no significant reaction on average. For active investors, the reallocation out of EME appears stronger under synchronized monetary tightening between the Fed and the ECB. However, these investors may even inject more capital to EME securities when the monetary tightening surprises contain positive news about the Euro Area economy. Issuers’ monetary–fiscal stability may explain the heterogeneous impact of these spillovers.

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来源期刊

Journal of International Economics ECONOMICS-

CiteScore

5.80

自引率

6.10%

发文量

期刊介绍： The Journal of International Economics is intended to serve as the primary outlet for theoretical and empirical research in all areas of international economics. These include, but are not limited to the following: trade patterns, commercial policy; international institutions; exchange rates; open economy macroeconomics; international finance; international factor mobility. The Journal especially encourages the submission of articles which are empirical in nature, or deal with issues of open economy macroeconomics and international finance. Theoretical work submitted to the Journal should be original in its motivation or modelling structure. Empirical analysis should be based on a theoretical framework, and should be capable of replication.