Taper Tantrums: Quantitative Easing, Its Aftermath, and Emerging Market Capital Flows
研究了美国非常规货币政策对新兴市场资本流动和资产价格的溢出效应，发现政策冲击通过估值变化和实际流动影响新兴市场资产，且影响在量化宽松与缩减期间不对称。
Abstract This paper examines the spillover effects of U.S. unconventional monetary policy (UMP) on emerging market capital flows and asset prices. Affine term structure model estimates show that U.S. monetary policy shocks, identified with high-frequency Treasury futures data, represent revisions to expected short-term yields and term premia, especially during the UMP period. The policy shocks exhibit sizable effects on U.S. holdings of emerging market assets. These effects disproportionately manifest through valuation changes versus physical flows, are more pronounced for equity relative to bond markets, and are asymmetric between the quantitative easing and tapering periods, with flows more important during the unwinding.