Quantitative easing and related capital flows into Brazil: Measuring its effects and transmission channels through a rigorous counterfactual evaluation

Barroso, João Barata Ribeiro Blanco; Silva, Luiz A. Pereira da; Sales, Adriana Soares

doi:10.1016/j.jimonfin.2015.06.013

Cited by 46 publications

(30 citation statements)

References 12 publications

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“…Several studies have investigated the international spillovers of US unconventional monetary policy to other countries (e.g., Ahmed & Zlate, 2014;Ahmed et al, 2017;Anaya et al, 2017;Barroso et al, 2016;Bowman et al, 2015;Chen et al, 2016;Fratzscher et al, 2016;Gambacorta et al, 2014;Georgiadis, 2016;Hausman & Wongswan, 2011;Rogers et al, 2014;Tillmann, 2016). This paper examines the spillovers of US conventional and unconventional monetary policies to Russian financial markets.…”

Section: Introductionmentioning

confidence: 99%

Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets

Ono

2018

IJEF

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This paper investigates the spillovers of US conventional and unconventional monetary policies to Russian financial markets using VAR-X models. Impulse responses to an exogenous Federal Funds rate shock are assessed for all the endogenous variables. The empirical results show that both conventional and unconventional tightening monetary policy shocks decrease stock prices whereas an easing monetary policy shock does not increase stock prices. Moreover, the results suggest that an unconventional tightening monetary policy shock increases Russian interest rates and decreases oil prices, implying reduced liquidity in international financial markets.

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Section: Introductionmentioning

confidence: 99%

Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets

Ono

2018

IJEF

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“…Lane (2015) finds for a sample of low income countries that the role of economic fundamentals in explaining the cross-country variations in international financial flows changes over time such that macroeconomic variables associated with inflows in one period may be correlated with outflow in another period. Barroso et al (2015) find the UMP has an effect on capital inflows to Brazil and through this channel, there is economic improvement and financial stability in Brazil.…”

Section: Resultsmentioning

confidence: 85%

Does Push Factor Determine Capital Flow to Emerging Markets during Financial Crisis?

Tanago

Ismail²,

Maski³

et al. 2019

Book of Abstracts International Conference on Economics and Development

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The objective of this study is to investigate what determinant factors affecting capital flow to Emerging markets (EMEs) during Global Financial Crisis (GFC). Whether push factors as external factors or pull factors as domestic / internal factors and what is the most dominant variable using study of literature method. The method used in this study is review of literature, firstly investigate five previous literatures on Latin America and Asia crises and then focus on six main literatures that related to GFC. The findings show the determinant factors affecting capital flow to EMEs during GFC are push factors with world interest rate and global risk condition as main or dominant variables during 2007-2009 episode. Push factors are determinant factors and world interest rate and global risk appetite are dominant variables.

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“…Procyclicality and variability of capital flows to EMEs is found to have been exacerbated, although it is not clear if in the net there are overall positive or negative effects on EMEs (Fratzscher, Lo Duca, Straub 2013;Moore et al 2013). Evidence from a grid of counterfactuals a la Pesaran and Smith (2012) and vector auto regressions also tend to support the EME view -that UMPs have strong spillovers on EMEs across exchange rates, stock markets and credit conditions, with capital flows being the most important channel of transmission, and that domestic interest rates could be affected differently from what would obtain under domestic monetary policy with no quantitative easing (Barroso, Pereira Da Silva, Sales 2013).…”

Section: A Brief Review Of Empirical Estimates On Spilloversmentioning

confidence: 88%

Responding to QE taper from the receiving end

Patra

Khundrakpam

Gangadaran

et al. 2016

Macroeconomics and Finance in Emerging Market Economies

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This paper analyses the spillovers of quantitative easing (QE) and their taper in India, as there could be country-specific nuances that qualify the inferences thrown up by cross-country studies, and therefore, can enrich and empower the on-going debate. Using a combination of event study analyses, generalized method of moments and VAR estimates, it finds that QEs have significantly altered monetary conditions in India. Among the QEs, QE1 had the largest impact and taper announcement had a strong negative impact, with the spillovers working mainly through the portfolio rebalancing channel, followed by the liquidity channel. Going forward, emerging economies are likely to take into account these spillovers in the conduct of monetary policy, with implications for both policy autonomy and global welfare.

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Quantitative easing and related capital flows into Brazil: Measuring its effects and transmission channels through a rigorous counterfactual evaluation

Cited by 46 publications

References 12 publications

Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets

Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets

Does Push Factor Determine Capital Flow to Emerging Markets during Financial Crisis?

Responding to QE taper from the receiving end

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