Arbeitspapier

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

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.

Sprache
Englisch

Erschienen in
Series: Working Papers ; No. 2017-02

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

Ereignis
Geistige Schöpfung
(wer)
Vega, Marco Aurelio Hernández
Ereignis
Veröffentlichung
(wer)
Banco de México
(wo)
Ciudad de México
(wann)
2017

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Vega, Marco Aurelio Hernández
  • Banco de México

Entstanden

  • 2017

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