E-mail alert  |  Contact  
Search:       Go  
Background  |   Sponsoring institutions  |   Editorial board   |   Advisory board   |   Associate editors
Call for papers  |   Submission guidelines  |   Editorial process
Current issue  |   Past issues  |  
June 2016 issue
List of authors
 
Bover, Schürz, Slacalek, Teppa
Le Blanc, Porpiglia, Teppa, Zhu, Ziegelmeyer
Bover, Casado, Costa, Du Caju, McCarthy, Sierminska, Tzamourani, Villanueva, Zavadil
Arrondel, Bartiloro, Fessler, Lindner, Mathä, Rampazzi, Savignac, Schmidt, Schürz, Vermeulen
Beck, Wagner
Casiraghi, Gaiotti, Rodano, Secchi
Aizenman, Binici, Hutchison
Bragoli, Rigon, Zanetti
Duijm, Wierts
IJCB Home   Read the journal   Past issue
Past issues
2017
 
December
September
June
March
February
2016
 
December
September
June
March
2015
 
December
September
June
March
January
2014
 
December
September
June
March
2013
 
December
September
June
March
January
2012
 
December
September
June
March
January
2011
 
December
September
June
March
2010
 
December
September
June
March
2009
 
December
September
June
March
2008
 
December
September
June
March
2007
 
December
September
June
March
2006
 
December
September
June
March
2005
 
December
September
May

The Transmission of Federal Reserve Tapering News to Emerging Financial Markets

by Joshua Aizenman,a Mahir Binicib and Michael M. Hutchisonc

Abstract

This paper evaluates the impact of tapering “news” announcements by Federal Reserve senior policymakers on financial markets in emerging economies. We apply a panel framework using daily data, and find that emerging-market asset prices respond most to statements by Federal Reserve Chairman Bernanke, and much less to other Federal Reserve officials. We group emerging markets into those with “robust” fundamentals (current account surpluses, high international reserves, and low external debt) and those with “fragile” fundamentals and, intriguingly, find that the exchange rates of the robust group (and, to a lesser extent, equity prices and CDS spreads) were more adversely affected by tapering news than the fragile group. The cumulative effects of tapering announcements after a month, however, appear to be quite similar for both robust and fragile emerging markets. We also show that more financially developed economies are more affected by tapering news, and a plausible interpretation is that more financially developed economies are more exposed, at least in the short term, to external news announcements.

JEL Codes: F3, F36, G14.

 
Full article (PDF, 40 pages, 510 kb)


a University of Southern California and NBER
b Central Bank of Turkey
c University of California, Santa Cruz