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

Fischer, Eric

doi:10.1177/0972652719890750

Cited by 4 publications

(2 citation statements)

References 64 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…We identify UMP shocks (MPS) following Wright (2012) and Rogers et al (2014) identification techniques. We use the RBI's UMP announcement dates as event dates and compute UMP shocks (MPS) as the first principal component of the intraday changes in the front-month futures contract 5 price of the 5-, 10-, and 15-year government bonds (Fischer, 2020). In a similar vein, Gagnon et al (2010) and Krishnamurthy and Vissing-Jorgensen (2011) measured monetary policy shocks directly from intraday changes in asset prices.…”

Section: Econometric Model and Identification Strategymentioning

confidence: 99%

An Assessment of Unconventional Monetary Policy During COVID-19 Pandemic in India

Rao

Kumar

2023

Journal of Emerging Market Finance

View full text Add to dashboard Cite

We employ event study methodology to analyze the impact of unprecedented unconventional monetary policy (UMP) measures employed by the Reserve Bank of India to fortify monetary transmission mechanism and to restore financial stability. We find that the UMP announcements result in a decline in bond yields and yield spread as well as increase in market capitalization and sectoral portfolio of stock returns. Evaluating the relative efficacy of UMP measures, we find that targeted long-term repo operation announcements are more effective in easing bond yields than mere long-term repo operations. Our findings provide beneficial inference for day-traders and investors as asset prices increase significantly and durable goods producing stock returns found to be higher than those of non-durable goods. The lessons that can be drawn for the emerging market economy central banks, who do not have enough space to conduct conventional monetary policy and even when they do not face zero lower bound interest rate, they still can employ UMP tools to directly influence banks cost of funds, and long-term bond yields and interest rates, and in turn, portfolio of stock returns and investments to stimulate aggregate demand. JEL Classification: C13, C54, E52, E65

show abstract

Section: Econometric Model and Identification Strategymentioning

confidence: 99%

An Assessment of Unconventional Monetary Policy During COVID-19 Pandemic in India

Rao

Kumar

2023

Journal of Emerging Market Finance

View full text Add to dashboard Cite

show abstract

“…But as observed by Illing and Liu (2006), the addition of binary variables to indicate presence or absence of crisis do not surmise the severity of the stress levels. Existing literature establishes stress levels as a continuous measure of volatility in financial markets, including banking, foreign exchange, debt markets, and stock prices (Fischer, 2020;González-Hermosillo & Hesse, 2011). Stress transmission has been extended with the directional measure of within and across country cross-market volatility (Diebold & Yilmaz, 2012).…”

Section: Measuring Financial Stressmentioning

confidence: 99%

Exchange Rate Volatility and Financial Stress: Evidence from Developing Asia

Tiwary

Das

Shettigar

et al. 2022

Journal of Emerging Market Finance

View full text Add to dashboard Cite

The study investigates the role of financial stress in triggering exchange rate volatility in developing Asia, where instability in financial markets contributes to the extent of exogenous shocks. We investigate volatility clustering in nominal exchange rate (NER) of dollar-denominated domestic currencies of developing Asia. Using country-level monthly time series data from 2006 to 2019 of NER and financial stress for seven representative economies of developing Asia, namely, Philippines, Indonesia, Malaysia, India, Republic of Korea, Singapore, and Thailand, we construct conditional volatility of returns. With volatility clustering in dollar-denominated exchange rates, we find significant bi-directional and predictive causality in exchange rate volatility and financial stress using vector autoregressive model and test for Granger’s causality. Our findings corroborate with the third-generation model of currency crises in the context of emerging economies. For developing Asian nations, our study implicates the strength of the financial system impacting the level and spread of stress, inducing exchange rate volatility. Our empirical model propounds that though stress is driven by multiple factors, management of exchange rate volatility in emerging economies will need to address problems not only in the foreign exchange market, but also in other financial sectors. JEL Codes: G01, F31, C58

show abstract

Bond flows and liquidity: Do foreigners matter?

Christensen

Fischer

Shultz

2021

Journal of International Money and Finance

Self Cite

View full text Add to dashboard Cite

In their search for yield in the current low interest rate environment, many investors have turned to sovereign debt in emerging economies, which has raised concerns about risks to financial stability from these capital flows. To assess this risk, we study the effects of changes in the foreign-held share of Mexican sovereign bonds on their liquidity premiums. We find that recent increases in foreign holdings of these securities have played a significant role in driving up their liquidity premiums. Provided the higher compensation for bearing liquidity risk is commensurate with the chance of a major foreign-led sell-off in the Mexican government bond market, this development may not pose a material risk to its financial stability.

show abstract

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

Cited by 4 publications

References 64 publications

An Assessment of Unconventional Monetary Policy During COVID-19 Pandemic in India

An Assessment of Unconventional Monetary Policy During COVID-19 Pandemic in India

Exchange Rate Volatility and Financial Stress: Evidence from Developing Asia

Bond flows and liquidity: Do foreigners matter?

Contact Info

Product

Resources

About