Description |
1 online resource (34 pages) : color illustrations |
Series |
IMF working paper ; WP/14/109 |
|
IMF working paper ; WP/14/109.
|
Contents |
Cover; Contents; I. Introduction; II. What Happened in the Summer of 2013?; III. Data; IV. Empirical Methodology; Tables; 1. List of FOMC Meetings and Minutes; V. Results; 2. Market Reactions to FOMC Meeting and Release of Minutes; 3. FX Reaction and Macroeconomic Fundamentals; 4. FX Reaction and Financial Depth; 5. FX Reaction and Emerging Market Growth Forecasts; 6. FX Reaction and Emerging Market, China's Growth and Exposure to China; 7. FX Reaction, Financial Integration, Capital Flows and Capital Flow Measures; 8. FX Reaction, Financial Depth and Macro Prudential Measures |
|
10. Changes in Stock Prices and Macroeconomic Fundamentals11. Which Country Characteristics Matter the Most; 12. Market Reaction and Country Resilience Principal Component; VI. Robustness Checks; 13. Reaction to Tightening and Country Characteristics; 14. Reaction to Revision of Market Expectations of FED Purchases and Country Characteristics; VII. Conclusion; References; Appendix |
Summary |
"This paper analyzes market reactions to the 2013-14 Fed announcements relating to tapering of asset purchases and their relationship to macroeconomic fundamentals and country economic and financial structures. The study uses daily data on exchange rates, government bond yields, and stock prices for 21 emerging markets. It finds evidence of markets differentiating across countries around volatile episodes. Countries with stronger macroeconomic fundamentals, deeper financial markets, and a tighter macroprudential policy stance in the run-up to the tapering announcements experienced smaller currency depreciations and smaller increases in government bond yields. At the same time, there was less differentiation in the behavior of stock prices based on fundamentals"--Abstract |
Notes |
"MCM and SPR"--Page 2 of pdf |
|
"June 2014"--Page 2 of pdf |
Bibliography |
Includes bibliographical references |
Notes |
Online resource; title from pdf title page (IMF.org Web site, viewed June 24, 2014) |
Subject |
Board of Governors of the Federal Reserve System (U.S.) -- Rules and practice
|
SUBJECT |
Board of Governors of the Federal Reserve System (U.S.) fast |
Subject |
Quantitative easing (Monetary policy) -- Developing countries
|
|
Stocks -- Prices -- Developing countries
|
|
Bonds -- Prices -- Developing countries
|
|
Government securities -- Prices -- Developing countries
|
|
Foreign exchange rates -- Developing countries
|
|
Monetary policy -- United States
|
|
Bonds -- Prices
|
|
Foreign exchange rates
|
|
Government securities -- Prices
|
|
Monetary policy
|
|
Quantitative easing (Monetary policy)
|
|
Stocks -- Prices
|
|
Developing countries
|
|
United States
|
Genre/Form |
Rules
|
Form |
Electronic book
|
Author |
Mishra, Prachi, 1975- author.
|
|
International Monetary Fund. Monetary and Capital Markets Department, issuing body.
|
|
International Monetary Fund. Strategy, Policy, and Review Department, issuing body.
|
ISBN |
9781498317351 |
|
1498317359 |
|