We examine the impact of US monetary policy news on portfolio flows to emerging markets using a Bayesian Vectorautoregression that accounts for expectations of future monetary policy. We define the US “monetary policy news shock” as one that increases monetary policy expectations while leaving the policy rate unchanged. Results suggest that the impact of this shock on portfolio flows as a share of GDP is economically small on aggregate but varies considerably across countries. The countries we identify as being the most affected also experienced larger volumes of capital in- and outflows before and after the 2013 taper tantrum episode, respectively. Also, macroeconomic performance and external vulnerabilities may matter. However, financial openness does not seem to be associated with differences in effects on capital flows over our sample period.

我们使用贝叶斯向量自回归分析了美国货币政策新闻对流入新兴市场的投资组合的影响，贝叶斯向量自回归分析了对未来货币政策的预期。我们将美国的“货币政策新闻冲击”定义为既提高货币政策预期又保持政策利率不变的冲击。结果表明，这种冲击对投资组合流动的影响在国内生产总值中占经济总量很小，但各国之间差异很大。我们确定为受影响最大的国家分别在2013年锥度发脾气事件发生之前和之后经历了大量的资本流入和流出。同样，宏观经济表现和外部脆弱性可能也很重要。但是，在我们的样本期内，金融开放度似乎与对资本流动的影响差异无关。