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Net flows to emerging markets’ funds and the U.S. monetary policy after the subprime crisis

  • Henri Audigé

In this paper, we examine the determinants of global investors’ net flows to investment bond funds dedicated to emerging economies and analyze the effects of the U.S. expansionary monetary policy on these flows from 2010 to 2013. We particularly focus on investors’ behavior vis-à-vis emerging markets local and foreign currency bond funds. Our main findings confirm the significant external impact of U.S. monetary policy decisions – and especially tapering announcements – on net flows to foreign currency bond funds. Our results highlight the higher sensitivity of EMEs foreign currency bond markets to U.S monetary shocks and suggest possible transmission effects from developed to emerging bond markets.

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File URL: http://economix.fr/pdf/dt/2014/WP_EcoX_2014-23.pdf
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Paper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2014-23.

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Length: 26 pages
Date of creation: 2014
Date of revision:
Handle: RePEc:drm:wpaper:2014-23
Contact details of provider: Postal: 200 Avenue de la République, Bât. G - 92001 Nanterre Cedex
Web page: http://economix.fr
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  1. Iva Petrova & Michael G Papaioannou & Dimitri Bellas, 2010. "Determinants of Emerging Market Sovereign Bond Spreads: Fundamentals Vs Financial Stress," IMF Working Papers 10/281, International Monetary Fund.
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  7. Marcel Fratzscher, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," NBER Chapters, in: Global Financial Crisis National Bureau of Economic Research, Inc.
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  10. Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1996. "Inflows of capital to developing countries in the 1990s," MPRA Paper 13707, University Library of Munich, Germany.
  11. Reinhart, Carmen & Rogoff, Kenneth & Savastano, Miguel, 2003. "Debt intolerance," MPRA Paper 13932, University Library of Munich, Germany.
  12. John D. Burger & Francis E. Warnock, 2006. "Local Currency Bond Markets," IMF Staff Papers, Palgrave Macmillan, vol. 53(si), pages 7.
  13. Camilo E Tovar, 2005. "International government debt denominated in local currency: recent developments in Latin America," BIS Quarterly Review, Bank for International Settlements, December.
  14. Ahmed, Shaghil & Zlate, Andrei, 2014. "Capital flows to emerging market economies: A brave new world?," Journal of International Money and Finance, Elsevier, vol. 48(PB), pages 221-248.
  15. Chotibhak Jotikasthira & Christian Lundblad & Tarun Ramadorai, 2012. "Asset Fire Sales and Purchases and the International Transmission of Funding Shocks," Journal of Finance, American Finance Association, vol. 67(6), pages 2015-2050, December.
  16. Fatih Ozatay & Erdal Ozmen & Gülbin Sahinbeyoglu, 2007. "Emerging Market Sovereign Spreads, Global Financial Conditions and U.S. Macroeconomic News," ERC Working Papers 0707, ERC - Economic Research Center, Middle East Technical University, revised Dec 2007.
  17. Serge Jeanneau & Camilo E Tovar, 2008. "Financial stability implications of local currency bond markets: an overview of the risks," BIS Papers chapters, in: Bank for International Settlements (ed.), New financing trends in Latin America: a bumpy road towards stability, volume 36, pages 65-87 Bank for International Settlements.
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