Impact of Fed Tapering Announcements on Emerging Markets
By Prachi Mishra, K. Moriyama, Papa N’Diaye. Social Science Research Network, 2014
152 citations recorded by the source corpus.
This paper analyzes market reactions to the 2013–14 Fed announcements relating to tapering of asset purchases and their relationship to macroeconomic fundamentals and country economic and financial structures. The study uses daily data on exchange rates, government bond yields, and stock prices for 21 emerging markets. It finds evidence of markets differentiating across countries around volatile episodes. Countries with stronger macroeconomic fundamentals, deeper financial markets, and a tighter macroprudential policy stance in the run-up to the tapering announcements experienced smaller currency depreciations and smaller increases in government bond yields. At the same time, there was less differentiation in the behavior of stock prices based on fundamentals.
View Paper: https://www.semanticscholar.org/paper/76f25020b810b0fbb6f7c8ce01a744ba0327fb11
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Citations in the corpus
- Push Factors and Capital Flows to Emerging Markets: Why Knowing Your Lender Matters More than Fundamentals (2015, unknown): “While Prachi et al. (2014), and Ahmed et al. (2014), Aizenman et al. (2014) and Eichengreen and Gupta (2014) also address the issue of investors’ differentiation across markets in times of stress, these studies all focus on the dynamics of prices in recipient markets - rather than non-resident…”
- Competitive monetary easing: is it yesterday once more? (2014, background): “…market volatility after the Fed started discussing taper in May 2013, countries that allowed the real exchange rate to appreciate the most during the prior period of quantitative easing suffered the greatest adverse impact to financial conditions (Eichengreen and Gupta 2014; Mishra et al. 2014).”
- Effects of US quantitative easing on emerging market economies (2015, result): “Our results are also consistent with those in Mishra et al. (2014).”