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Impact of Fed Tapering Announcements on Emerging Markets, Prachi Mishra, Kenji Moriyama, Papa N'Diaye, Lam Nguyen

Abstract
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
Table Of 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
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (35 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781498379182

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