1044期 12月2日 :Policy Guidance and the International Transmission of Macro News: Evidence from Investment Funds(Gabriele Ciminelli,助理教授,马来西亚亚洲商学院(由马来西亚央行和麻省理工大学斯隆商学院联合创办))

时间:2019-11-28

【主题】  Policy Guidance and the International Transmission of Macro News: Evidence from Investment Funds
【报告人】Gabriele Ciminelli(助理教授,马来西亚亚洲商学院(由马来西亚央行和麻省理工大学斯隆商学院联合创办))
【时间】12月2日 星期一 14:00-15:30
【地点】 经济学院楼701室
【语言】 英文
【摘要】 This paper contends that U.S. macroeconomic releases are an important ‘global’factor driving cross-border flows and that their effect depends on the guidance provided by the U.S. Federal Reserve (Fed). I source data on allocations into investment funds and study the response of U.S. investors to domestic employment news, focusing on the post-Crisis period. I show that, when the Fed complemented its zero-rate policy with calendar-based forward guidance, monetary policy expectations were insensitive to macro releases and investors responded to positive employment news by re-balancing their portfolios toward faster growing and riskier countries. On the other hand, as the Fed progressively changed guidance to signal that it was ready to withdraw policy accommodation, investors perceived the same positive news to bring forward the moment of policy normalization and reacted by reducing their foreign market exposures. Countries with better institutions experienced less outflows, while those with a more open capital account fared worse. These findings highlight an important role of central bank guidance in determining how investors shift capital across countries in response to shocks. They also provide novel evidence of investors risk-taking abroad, following positive shocks at home, during periods of accommodative monetary policy.
返回原图
/