美国经济新闻和货币政策对新兴市场的影响（英）

Spillovers to Emerging Markets from US Economic News and Monetary Policy Philipp Engler, Roberto Piazza and Galen Sher WP/23/107 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 2023 MAY © 2023 International Monetary Fund WP/23/107IMF Working Paper Fiscal Affairs Department Spillovers to Emerging Markets from US Economic News and Monetary Policy Prepared by Philipp Engler, Roberto Piazza and Galen Sher Authorized for distribution by Paulo Medas May 2023 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT: Abstract: When the U.S. economy sneezes, do emerging markets catch a cold? We show that economic news, and not just monetary policy, in the United States affects financial conditions in emerging markets. News about U.S. employment has the strongest effects, followed by news about economic activity and about vaccines during the COVID-19 pandemic. News about inflation has instead limited effects on average. A key channel of international transmission of U.S. economic news appears to be the risk perceptions or risk aversion of international investors. We also show that some of the transmission of U.S. economic news occurs independently of the U.S. monetary policy reaction. Finally, we expand on evidence that financial conditions in the U.S. and emerging markets respond differently to U.S. monetary policy surprises, depending on the reaction of US stock prices. JEL Classification Numbers: E43, E52, F3, F42, G14, G15. Keywords: Spillovers; economic news; emerging markets; financial conditions. Author’s E-Mail Address: rpiazza2@imf.org WORKING PAPERS Spillovers to Emerging Markets from US Economic News and Monetary Policy Prepared by Philipp Engler, Roberto Piazza and Galen Sher,1 1 The author(s) would like to thank Refet Gürkaynak for sharing data with us and providing helpful comments on an earlier draft of this work. We also thank Chris Erceg, Can Sever and seminar participants at the Bank of England, European Central Bank, European Investment Bank and International Monetary Fund (IMF), for helpful suggestions. Ananta Dua and Chanpheng Fizzarotti provided excellent research support. The views in this paper are those of the authors and do not necessarily represent those of the IMF, its Executive Board, or IMF management. IMF WORKING PAPERS Spillovers to Emerging Markets from US Economic News and Monetary Policy INTERNATIONAL MONETARY FUND 2 Contents 1. INTRODUCTION ............................................................................................................................................... 3 2. ANALYTICAL APPROACH .............................................................................................................................. 5 2.1. Identifying news events ........................................................................................................................... 5 2.2. Estimation equations ............................................................................................................................... 6 3. DOMESTIC EFFECTS OF US NEWS .............................................................................................................. 7 3.1. Domestic effects of news about the US economy and vaccines ............................................................. 8 3.2. Domestic effects of news about US monetary policy .............................................................................. 9 3.3. Domestic “information effects” of US monetary policy .......................................................................... 10 3.4. US news, risk premia, and volatility ....................................................................................................... 11 4. EFFECTS OF US NEWS ON EMERGING MARKETS .................................................................................. 11 4.1. Effects of US economic news on emerging markets ............................................................................. 12 4.1.1. Effects on the average emerging market...................................................................................... 12 4.1.2. Transmission channels: risk, trade, portfolio balance, and monetary policy. ............................... 13 4.2. Effects of US monetary policy surprises on emerging markets ............................................................. 15 4.2.1. Effects on the average emerging market...................................................................................... 15 4.2.2. Transmissi