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
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Englisch
- Erschienen in
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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
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Geistige Schöpfung
- (wer)
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Vega, Marco Aurelio Hernández
- Ereignis
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Veröffentlichung
- (wer)
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Banco de México
- (wo)
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Ciudad de México
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Vega, Marco Aurelio Hernández
- Banco de México
Entstanden
- 2017