Portfolio investment response to U.S. monetary policy announcements: An event study analysis using high frequency data from Mexico

Arbeitspapier

We study how unconventional monetary policy announcements affect the entry of foreign investment in debt and equity in Mexico, placing special focus on announcements related to the third QE program and the taper tantrum episode. A novel dataset on daily debt and equity flows, that maps Balance of Payments data quite well, allows this paper to provide a better insight into movements of capital. The results suggest that both equity and debt flows appear to react immediately to unexpected U.S. monetary policy announcements, in particular if these are considered as bad news by investors. In turn, results using weekly data support the idea that investors interested in fixed income instruments move more prudently than those interested in equity who react quickly.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Papers ; No. 2017-02

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; International Investment; Long-term Capital Movements ; Economic Impacts of Globalization: Macroeconomic Impacts ; General Financial Markets: General (includes Measurement and Data)
• Subject: Monetary Policy Announcements ; Unconventional Monetary Policies ; Foreign Portfolio Investment ; Mexican Equity and Bond Market

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Vega, Marco Aurelio Hernández
• Event: Veröffentlichung
• (who): Banco de México
• (where): Ciudad de México
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/174455
• Last update: 10.03.2025, 11:42 AM CET