The Transmission of Federal Reserve Tapering News to Emerging Financial Markets
The Transmission of Federal Reserve Tapering News to Emerging Financial Markets
复制标题
美联储缩减量化宽松消息向新兴金融市场的传递
DOI：
10.2139/ssrn.2446738
复制
发表时间：
2014
期刊：
影响因子：
--
通讯作者：
Michael M. Hutchison
中科院分区：
文献类型：
--
作者：
Joshua Aizenman;Mahir Binici;Michael M. Hutchison
本文评估了联邦高级决策者宣布的逐渐减少“新闻”对新兴经济体金融市场的影响。我们应用了一个使用每日数据的面板框架，发现新兴市场资产价格对联邦主席伯南克的声明反应最大，而对其他联邦官员的反应要小得多。我们将新兴市场分为基本面“稳健”的市场（经常账户盈余、高国际储备和低外债）和基本面“脆弱”的市场，有趣的是，我们发现稳健市场的汇率（以及在较小程度上的股价和CDS利差）受到缩减消息的不利影响比脆弱市场更大。然而，一个月后宣布缩减规模的累积效应似乎对强劲和脆弱的新兴市场都非常相似。我们还发现，金融越发达的经济体受逐渐减少的消息影响越大，一个合理的解释是，金融越发达的经济体至少在短期内更容易受到外部消息的影响。
This paper evaluates the impact of tapering “news” announcements by Federal Reserve senior policymakers on financial markets in emerging economies. We apply a panel framework using daily data, and find that emerging-market asset prices respond most to statements by Federal Reserve Chairman Bernanke, and much less to other Federal Reserve officials. We group emerging markets into those with “robust” fundamentals (current account surpluses, high international reserves, and low external debt) and those with “fragile” fundamentals and, intriguingly, find that the exchange rates of the robust group (and, to a lesser extent, equity prices and CDS spreads) were more adversely affected by tapering news than the fragile group. The cumulative effects of tapering announcements after a month, however, appear to be quite similar for both robust and fragile emerging markets. We also show that more financially developed economies are more affected by tapering news, and a plausible interpretation is that more financially developed economies are more exposed, at least in the short term, to external news announcements.