美国经济新闻和货币政策对新兴市场的影响（英）

SpilloverstoEmergingMarketsfromUSEconomicNewsandMonetaryPolicy PhilippEngler,RobertoPiazzaandGalenSher WP/23/107 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate. TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. 2023 MAY ©2023InternationalMonetaryFundWP/23/107 IMFWorkingPaper FiscalAffairsDepartment SpilloverstoEmergingMarketsfromUSEconomicNewsandMonetaryPolicyPreparedbyPhilippEngler,RobertoPiazzaandGalenSher AuthorizedfordistributionbyPauloMedas May2023 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. ABSTRACT:Abstract:WhentheU.S.economysneezes,doemergingmarketscatchacold?Weshowthateconomicnews,andnotjustmonetarypolicy,intheUnitedStatesaffectsfinancialconditionsinemergingmarkets.NewsaboutU.S.employmenthasthestrongesteffects,followedbynewsabouteconomicactivityandaboutvaccinesduringtheCOVID-19pandemic.Newsaboutinflationhasinsteadlimitedeffectsonaverage.AkeychannelofinternationaltransmissionofU.S.economicnewsappearstobetheriskperceptionsorriskaversionofinternationalinvestors.WealsoshowthatsomeofthetransmissionofU.S.economicnewsoccursindependentlyoftheU.S.monetarypolicyreaction.Finally,weexpandonevidencethatfinancialconditionsintheU.S.andemergingmarketsresponddifferentlytoU.S.monetarypolicysurprises,dependingonthereactionofUSstockprices. JELClassificationNumbers: E43,E52,F3,F42,G14,G15. Keywords: Spillovers;economicnews;emergingmarkets;financialconditions. Author’sE-MailAddress: rpiazza2@imf.org WORKINGPAPERS SpilloverstoEmergingMarketsfromUSEconomicNewsandMonetaryPolicy PreparedbyPhilippEngler,RobertoPiazzaandGalenSher,1 1Theauthor(s)wouldliketothankRefetGürkaynakforsharingdatawithusandprovidinghelpfulcommentsonanearlierdraftofthiswork.WealsothankChrisErceg,CanSeverandseminarparticipantsattheBankofEngland,EuropeanCentralBank,EuropeanInvestmentBankandInternationalMonetaryFund(IMF),forhelpfulsuggestions.AnantaDuaandChanphengFizzarottiprovidedexcellentresearchsupport.TheviewsinthispaperarethoseoftheauthorsanddonotnecessarilyrepresentthoseoftheIMF,itsExecutiveBoard,orIMFmanagement. Contents 1.INTRODUCTION3 2.ANALYTICALAPPROACH5 2.1.Identifyingnewsevents5 2.2.Estimationequations6 3.DOMESTICEFFECTSOFUSNEWS7 3.1.DomesticeffectsofnewsabouttheUSeconomyandvaccines8 3.2.DomesticeffectsofnewsaboutUSmonetarypolicy9 3.3.Domestic“informationeffects”ofUSmonetarypolicy10 3.4.USnews,riskpremia,andvolatility11 4.EFFECTSOFUSNEWSONEMERGINGMARKETS11 4.1.EffectsofUSeconomicnewsonemergingmarkets12 4.1.1.Effectsontheaverageemergingmarket12 4.1.2.Transmissionchannels:risk,trade,portfoliobalance,andmonetarypolicy13 4.2.EffectsofUSmonetarypolicysurprisesonemergingmarkets15 4.2.1.Effectsontheaverageemergingmarket15 4.2.2.Transmissionchannels:riskandportfoliobalance.17 4.2.3.Time-varyingspillovers18 4.2.4.Theroleofemergingmarketcurrencyregime.18 4.2.5.“Informationeffects”inthespillovertoemergingmarkets19 5.CONCLUDINGREMARKS20 REFERENCES27 APPENDIX30 Datasourcesandconstruction30 Informationeffectsormeasurementerrorcorrelatedwitheconomicconditions32 1.INTRODUCTION WhentheU.S.economysneezes,doemergingmarketscatchacold?TheanswerdependsonwhytheU.S.economyissneezing.Inotherwords,itdependsonwhatkindofeconomicnewsiscomingoutoftheU.S.MonetarypolicyannouncementsintheU.S.,forexample,havebeenshowntoaffectfinancialconditionsinemergingmarketsalmostimmediately.1,2However,littleisknownabouttheinternationaleffectsofothertypesofnews,whetheraboutemployment,economicactivityorinflation,andnopapersthatweknowofstudytheeffectsofsuchnewsonemergingmarkets.3GiventheirstrongandimmediateeffectsonfinancialconditionsintheU.S.,wewouldexpectthemtohavemeaningfuleffectsonfinancialconditionsinemergingmarketsaswell. Indeed,weshowinthispaperthatUSeconomicnewsdoesmeaningfullyaffectfinancialconditionsinemergingmarkets.Better-than-expectednewsaboutUSemploymentoreconomicactivityimmediatelylowerscreditspreadsonUSdollar-denominatedbondsissuedbyemergingmarketgovernments.Italsoimmediatelyincreasesinterestratesonlocalcurrencygovernmentbondsinemergingmarkets.Better-than-expectedemploymentnewsleadsemergingmarketcurrenciestodepreciateagainsttheUSdollar.PositivenewsaboutthedevelopmentofvaccinesagainstthevirusthatcausesCOVID-19loweredfinancialmarketsvolatilityintheUSandcreditspreadsinemergingmarkets.Bycontrast,newsaboutUSinflationhassmallereffectsonfinancialconditionsintheU.S.itself,andthereforedoesnotimmediatelyspillovertofinancialconditionsinemergingmarkets.Inflationsurprisesmayhaveweakereffectsonaverageinoursamplebecausetheyreflectamixtureofcost-pushanddemand-pullshocks,eachofwhichpullfinancialconditionsindifferentdirections.Inaddition,USinflationexpectationsmayhavebeensufficientlyanchoredtorenderanyshockstootransitorytomovefinancialmarkets. Wef