1. Los efectos en América Latina de las políticas monetarias no convencionales de Estados Unidos.
- Author
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Borrallo, Fructuoso, Hernando, Ignacio, and Vallés, Javier
- Subjects
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MONETARY policy , *EXTERNALITIES , *EMERGING markets , *ECONOMIC development ,UNITED States economic policy ,LATIN American economy - Abstract
This paper offers an empirical analysis of how US unconventional monetary policy has affected Latin American countries. First, we estimate the effects of US monetary policy announcements on sovereign bond interest rates, exchange rates, and stock market indices for a set of emerging countries, including five Latin American economies. We found that QE announcements in 2008/2009 and the tapering talk in 2013 generated sizable sovereign yield and exchange rate fluctuations. We further find, just in a few cases, some excessive response of asset prices in Latin American countries. In the second part of the paper, we estimate a simple model that measures the influence of country-specific macroeconomic fundamentals on the transmission of US financial disturbances. An estimated model including the inflation rate, the CDS spread, the ratio of official reserves and market capitalization explains some of the observed cross-country heterogeneity of spillovers from US monetary policy announcements. Under this model, a greater impact from the normalization of US monetary policy can be expected in Latin America relative to other emerging economies. [ABSTRACT FROM AUTHOR]
- Published
- 2016