IDEAS home Printed from https://ideas.repec.org/p/col/000094/014286.html
   My bibliography  Save this paper

Efectos del Quantitative Easing sobre los retornos accionarios en mercados emergentes

Author

Listed:
  • Bernardo Leyva-Uribe
  • Jose E. Gomez-Gonzalez
  • Oscar M. Valencia-Arana
  • Mauricio Villamizar-Villegas

Abstract

Este trabajo estudia los efectos de la política monetaria de la Reserva Federal de Estados Unidos durante la reciente crisis financiera (2008-2009) sobre los retornos accionarios de mercados emergentes. Mediante el análisis de un estudio de eventos se encuentra evidencia significativa de que los índices accionarios de un conjunto de países emergentes reaccionaron ante los comunicados del comité de la Reserva Federal (FOMC) sobre el futuro del programa de compras de activos financieros a gran escala (LSAP). Sin embrago, dichas respuestas muestran un importante grado de heterogeneidad. En particular, los retornos accionarios de los países emergentes aumentaron en un 7.3% y 2.3% durante la primera y tercera etapa del programa de Quantitative Easing, respectivamente. Por otra parte, los retornos accionarios disminuyeron en un 2.9% durante la segunda etapa. Estas diferencias se pueden atribuir al diseño de cada una de las etapas del programa de estímulo monetario llevado a cabo por la Reserva Federal.

Suggested Citation

  • Bernardo Leyva-Uribe & Jose E. Gomez-Gonzalez & Oscar M. Valencia-Arana & Mauricio Villamizar-Villegas, 2016. "Efectos del Quantitative Easing sobre los retornos accionarios en mercados emergentes," BORRADORES DE ECONOMIA 014286, BANCO DE LA REPÚBLICA.
    • Handle: RePEc:col:000094:014286
    as

    Download full text from publisher

    File URL: http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/be_929.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Cho, Dooyeon & Rhee, Dong-Eun, 2013. "Nonlinear effects of government debt on private consumption: Evidence from OECD countries," Economics Letters, Elsevier, vol. 121(3), pages 504-507.
    2. Barroso, João Barata R.B. & da Silva, Luiz A. Pereira & Sales, Adriana Soares, 2016. "Quantitative easing and related capital flows into Brazil: Measuring its effects and transmission channels through a rigorous counterfactual evaluation," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 102-122.
    3. Warren E. Weber, 1986. "Do sterilized interventions affect exchange rates?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 10(Sum), pages 14-23.
    4. Branson, William H. & Henderson, Dale W., 1985. "The specification and influence of asset markets," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 15, pages 749-805, Elsevier.
    5. Yamaguchi, Keiko, 2008. "Reexamination of stock price reaction to environmental performance: A GARCH application," Ecological Economics, Elsevier, vol. 68(1-2), pages 345-352, December.
    6. Mauricio Villamizar-Villegas & David Perez-Reyna, 2017. "A Theoretical Approach To Sterilized Foreign Exchange Intervention," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 343-365, February.
    7. Cho , Dooyeon & Rhee , Dong-Eun, 2013. "Nonlinear Effects of Government Debt on Private Consumption in OECD Countries," Working Papers 13-5, Korea Institute for International Economic Policy.
    8. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2011. "The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases," International Journal of Central Banking, International Journal of Central Banking, vol. 7(1), pages 3-43, March.
    9. Tatiana Fic & Ali Orazgani, 2013. "Growth risks for the EU emanating from global imbalances," European Economy - Economic Papers 2008 - 2015 483, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    10. Doron Kliger & Gregory Gurevich, 2014. "Event Studies for Financial Research," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-137-36879-9, September.
    11. Henderson, Dale W. & Rogoff, Kenneth, 1982. "Negative net foreign asset positions and stability in a world portfolio balance model," Journal of International Economics, Elsevier, vol. 13(1-2), pages 85-104, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas, 2016. "Uncovering the portfolio balance channel with the use of sovereign credit ratings," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República - ESPE, vol. 34(81), pages 191-205, November.
    2. Carrasco, Alex & Florián, David & Nivín, Rafael, 2019. "SFX Interventions, Financial Intermediation, and External Shocks in Emerging Economies," Working Papers 2019-022, Banco Central de Reserva del Perú.
    3. Valeria Bejarano-Salcedo & William Iván Moreno-Jimenez & Juan Manuel Julio-Román, 2020. "La Magnitud y Duración del Efecto de la Intervención por Subastas sobre el Mercado Cambiario: El caso Colombiano," Borradores de Economia 1142, Banco de la Republica de Colombia.
    4. Bartkiewicz Piotr, 2018. "The Impact of Quantitative Easing on Emerging Markets – Literature Review," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 67-76, December.
    5. Maurice Obstfeld, 1990. "The Effectiveness of Foreign-Exchange Intervention: Recent Experience, 1985- 1988," NBER Chapters, in: International Policy Coordination and Exchange Rate Fluctuations, pages 197-246, National Bureau of Economic Research, Inc.
    6. Kuersteiner, Guido M. & Phillips, David C. & Villamizar-Villegas, Mauricio, 2018. "Effective sterilized foreign exchange intervention? Evidence from a rule-based policy," Journal of International Economics, Elsevier, vol. 113(C), pages 118-138.
    7. Agnès Bénassy & Henri Sterdyniak, 1992. "La détermination des taux de change dans les modèles multinationaux : l'état de l'art," Économie et Prévision, Programme National Persée, vol. 104(3), pages 39-71.
    8. Backus, David K. & Kehoe, Patrick J., 1989. "On the denomination of government debt : A critique of the portfolio balance approach," Journal of Monetary Economics, Elsevier, vol. 23(3), pages 359-376, May.
    9. William H. Branson, 1985. "The Dynamic Interaction of Exchange Rates and Trade Flows," NBER Working Papers 1780, National Bureau of Economic Research, Inc.
    10. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
    11. Haldane, Andrew & Roberts-Sklar, Matt & Wieladek, Tomasz & Young, Chris, 2016. "QE: The Story so far," Bank of England working papers 624, Bank of England.
    12. Matthew Canzoneri & Robert Cumby & Behzad Diba, 2013. "Addressing International Empirical Puzzles: the Liquidity of Bonds," Open Economies Review, Springer, vol. 24(2), pages 197-215, April.
    13. Alexander Guarín & José Fernando Moreno & Hernando Vargas, 2014. "An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República - ESPE, vol. 32(74), pages 68-86, June.
    14. Madhusudan Mohanty, 2014. "The transmission of unconventional monetary policy to the emerging markets - An overview," BIS Papers chapters, in: Bank for International Settlements (ed.), The transmission of unconventional monetary policy to the emerging markets, volume 78, pages 1-24, Bank for International Settlements.
    15. Tivig, Thusnelda, 1987. "The asset market view on flexible exchange rates: A critical comment," Discussion Papers, Series II 18, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    16. Kumhof, Michael, 2018. "On the theory of international currency portfolios," European Economic Review, Elsevier, vol. 101(C), pages 376-396.
    17. Suman S. Basu & Atish R. Ghosh & Jonathan D. Ostry & Pablo E. Winant, 2018. "Managing Capital Outflows with Limited Reserves," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 66(2), pages 333-374, June.
    18. Perez-Reyna, David & Villamizar-Villegas, Mauricio, 2019. "Exchange rate effects of financial regulations," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 228-245.
    19. Dooyeon Cho & Dong-Eun Rhee, 2017. "Non-linear adjustments on the excess sensitivity of consumption with liquidity constraints," Applied Economics, Taylor & Francis Journals, vol. 49(41), pages 4180-4187, September.
    20. Adler, Gustavo & Lisack, Noëmie & Mano, Rui C., 2019. "Unveiling the effects of foreign exchange intervention: A panel approach," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.

    More about this item

    Keywords

    Quantitative Easing; Large Scale Asset Purcheses; estudio de eventos; retorno accionario; mercados emergentes;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000094:014286. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Clorith Angélica Bahos Olivera (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.