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Regressions for gross financial inflows with expectational measures, unbalanced quarterly panel, 2000Q1–2013Q2 † 

Regressions for gross financial inflows with expectational measures, unbalanced quarterly panel, 2000Q1–2013Q2 † 

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Article
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This paper examines the effects of quantitative easing (QE) policies in the United States on gross financial inflows to developing countries. Our results support the notion that QE may have been transmitted through liquidity, portfolio balancing, and confidence channels. Moreover, we find that QE had an additional effect over and above these observ...

Citations

... The authors find that in QE-1 money flowed out of the EMEs, in QE-2 money flowed into EMEs. Lim et al. (2014) use panel regression to analyse the impact of QE by the Fed, the ECB, the BoJ and the BoE on quarterly gross capital inflows across 60 EMEs over 2000 and 2013. The authors identify there was transmission through the portfolio balancing channel on the yield curve. ...
Article
This paper examines the long- and short-run spillover effects of US quantitative easing (QE) on the benchmark 10-year Indian government bond (IGB) yield by Autoregressive Distributed Lag (ARDL) bounds testing co-integration approach using monthly data from September 2008 to June 2019. The results show that a 10%-point rise in US QE led to a 4 bp rise in yields. The counterfactual analysis shows that volatility of the yields would have been less without the QE. During the episodes of QE, the Reserve Bank of India (RBI) had to alter its policy rate and engage in open-market operations (OMOs) to simultaneously maintain liquidity in the system and reduce the volatility of interest rates. Spillover on the debt yield leads to mispricing of assets and partial loss of the monetary-policy autonomy of the RBI.
... In general, our results show that debt reaction to U.S. monetary policy is stronger relative to that of equity, which agrees with the findings in previous literature such as Fratzscher et al. (2012Fratzscher et al. ( , 2018, Lim et al. (2014), and{Dahlhaus andVasishtha (2014). In particular, Lim et al. (2014) state that the portfolio balance channel is the main factor affecting investment in debt, but that it is not significant for equity and that could explain why debt flows are more sensitive to monetary policy announcements. ...
... In general, our results show that debt reaction to U.S. monetary policy is stronger relative to that of equity, which agrees with the findings in previous literature such as Fratzscher et al. (2012Fratzscher et al. ( , 2018, Lim et al. (2014), and{Dahlhaus andVasishtha (2014). In particular, Lim et al. (2014) state that the portfolio balance channel is the main factor affecting investment in debt, but that it is not significant for equity and that could explain why debt flows are more sensitive to monetary policy announcements. ...
Article
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We study how unconventional monetary policy announcements affected the entry of foreign investment in debt and equity in Mexico, placing special focus on announcements related to the third QE program and the taper tantrum episode. A novel dataset on daily debt and equity flows, that maps Balance of Payments data quite well, allows this paper to provide a better insight into movements of capital. The results suggest that both equity and debt flows reacted immediately to unexpected U.S. monetary policy announcements, particularly if these are considered as bad news by investors. In turn, results using weekly data support the idea that investors interested in fixed income instruments move more prudently than those interested in equity which react quickly.
... Interestingly, the spillovers from the developed countries occurred not only during the crisis, but have been taking place afterwards too as the monetary and fiscal stimulus measures imposed to contain the crisis are being withdrawn (Eichengreen and Gupta, 2014;Lim et al., 2014;Mishra et al., 2014;Rajan, 2014). 2 Decoupling hypothesis presumed that developing countries, including India, China, and Brazil have matured enough economically and no longer depend on the developed economies for their economic prosperity. ...
Article
Purpose Bank branching plays a significant role in a wide range of economic activities. Existing studies on determinants of bank branching activities largely focus on developed countries; studies devoted to developing countries are scant. The purpose of this paper is to examine the determinants of bank branching activities in one of the largest developing country India. Design/methodology/approach The authors employ a unique longitudinal data to study the determinants of bank branch location in India. These data are collected at the state level covering 25 Indian states for the period 2006–2017. The authors employ Poisson regression that are better suited for modeling counted dependent variable. Findings First, region and bank specific factors such as size of population and bank deposits influence location of bank branches. Second, the relationship between these factors and branch locations is heterogeneous across different types of banks and across states with different business environments. Practical implications First, from the view of banks, considering the factors of branch location are crucial in order to set out branching strategy. Irrespective of policy measures aimed at promoting financial inclusion in India, the authors show that banks consider economic activities in the region in locating their branches. Second, from the view of policy makers and regulators, such branching strategy could potentially contribute to financial exclusion. As a result, population in the less developed regions may be excluded from accessing financial services. Hence, policy makers and regulators should take into this account when formulating policies aimed at promoting financial inclusion. Originality/value First, while existing studies largely focus on developed countries, studies devoted to developing countries are scant. To the best of our knowledge, the authors have not come across any study that investigates the determinants of bank branch location in India, so the authors reasonably believe that this study is a first-of-its-kind. Second, the study provides a new perspective concerning how regional and bank specific factors influence banks of different ownership in locating branches. Third, while traditional regression used to be a method of choice among early studies, the authors employ Poisson regression that is better suited for modeling counted dependent variable.
... The US quantitative easing influence the EMEs through five main routes: the portfolio rebalancing, liquidity, confidence, signaling, and bank-lending channels. Lim, et al. (2014) examined the capital flow to emerging countries between 2000 and 2013 and during the "QE" period. They found that unconventional monetary policy acts through three main transmission channels (liquidity channel, portfolio rebalancing and the signal channel). ...
Article
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This paper explores empirically the effect of US unconventional monetary policy on capital flows into emergent countries between 2000 and 2016. Also, the important factors which influence the international portfolio after the financial instability and with the presence of capital market frictions. Using exogenous and endogenous variables as determinants of capital flows, we tested a series of dynamic panel regression models that includes treasuries purchases and long interest rate as explanatory variables. The estimation of equations was done with the general method of moments (GMM), a technic that allows controlling the problem of endogeneity using several variables as instruments. The dynamic panel estimation results show that external factors had an important impact on capital inflows to EMEs. The degree of capital frictions between these economies and the United States is significant in explaining capital flows and heterogeneity across countries following unconventional asset purchases by advanced economies. This study was only focused on five emerging economies which are characterized all by fragile fundamentals and a reliance on foreign investment as one of the representative groups that capture the capital flows dynamically to this country destination. This highlights that the US unconventional monetary policy plays an important role in the fluctuation of the international flows, particularly in emerging economies but with substantial heterogeneity. The degree of capital market frictions between the two economies is statistically significant in explaining this observed heterogeneity. This paper contributes soo to knowledge in this field. Future Frameworks of capital market frictions in association with quantitative easing on EME currency, equity prices, and long-term sovereign bond market are worth doing to identify the heterogeneous implications in macroeconomic level.
... Aizenman et al. (2014), Dedola et al. (2017), MacDonald (2017) found appreciatory pressure on currencies in EMEs, while Bowman et al. (2014), Tillmann (2016), MacDonald (2017), Dedola et al. (2017) found downward pressure on government bond yields. Studies like Chen et al. (2014), Lim et al. (2014), Ahmed and Zlate (2014) found increased capital flows to EMEs. Impact on stock markets in EMEs have also been explored (Lin et al., 2017;Chebbi, 2019). ...
... Methodologies used have varied from simple ordinary least square (OLS) (MacDonald, 2017) to VAR (Helbling et al., 2011;Kuchar cukov a et al., 2016;Tillman, 2016;Georgiadis, 2016;Anaya et al., 2017) to panel (Chen et al., 2014;Lim et al., 2014;Mishra et al., 2014;Aizenman et al., 2014;Bowman et al., 2014;Fratzscher et al., 2016;Lin et al., 2017). Lim et al. (2014) conduct both panel regression as well as VAR. ...
... Methodologies used have varied from simple ordinary least square (OLS) (MacDonald, 2017) to VAR (Helbling et al., 2011;Kuchar cukov a et al., 2016;Tillman, 2016;Georgiadis, 2016;Anaya et al., 2017) to panel (Chen et al., 2014;Lim et al., 2014;Mishra et al., 2014;Aizenman et al., 2014;Bowman et al., 2014;Fratzscher et al., 2016;Lin et al., 2017). Lim et al. (2014) conduct both panel regression as well as VAR. The methodology has been to regress impulse responses from monetary policy shocks in a VAR framework on countryspecific characteristics. ...
Article
Purpose-After the adoption of unconventional monetary policies (UMPs) in advanced economies (AEs) there were many studies of monetary spillovers to asset prices in emerging market economies (EMEs) but the extent of contribution of EMEs and AEs, respectively, in real exchange rate (RER) misalignments has not been addressed. This paper addresses the gap in a cross-country panel set-up with country specific controls. Design/methodology/approach – Fixed effects, pooled mean group (Pesaran et al., 1999) and common correlated effects (Pesaran, 2006) estimations are used to examine the relationship. Multi-way clustering is taken into account to ensure robust statistical inferences. Findings – Robust evidence is found for significant monetary spillovers over 1998–2017 in the form of RER overvaluation of EMEs against AEs, especially through the portfolio rebalancing channel. EME RER against the US saw significantly more overvaluation in UMP years indicating greater role of the US in monetary spillovers. However, in the long-run monetary neutrality holds. EMEs did pursue mercantilist and precautionary policies that undervalued their RERs. Precautionary undervaluation is more evident with bilateral EME US RER. Research limitations/implications – It may be useful for large EMEs to monitor the impact of foreign portfolio flows on short-run deviations in RER. Export diversification reduces EME mercantilist motives against the US. That AE monetary policy significantly appreciates EME RER has implications for future policy cooperation between EMEs and AEs.
... In this model, we will also rely on this particular research to evaluate advanced funds during the Quantitative Easing Tapering in 2013 by the Maturity Extension Program, and we investigate how this has affected their performance, management capabilities of their managers, and the beta factor. Seminal papers about QE tapering effects on assets include Lim et al (2014), Karolyi and McLaren (2017), Karan et al (2017) and Papadamou et al (2020). We extend research by focusing on performance characteristics of the highly-innovative global ETFs. ...
Article
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This study examines the performance of fifty global exchanged-traded funds (ETFs) traded on US stock exchanges. Specififcally, it refers to the period following the end of quantitative easing, which took place in 2014. Therefore, the data, on which the study is based, refer to the period from 24/10/2014 to 24/09/2018 and they are expressed in a weekly frequency. By employing the Capital Asset Pricing Model (CAPM), we evaluate the performance of fifty ETFs according to their rating by the MorningStar. Their performance was measured using Sharpe and Treynor ratios as well as Jensen’s alpha and the betas and a/b measures. The results of the study indicate that the examined ETFs show selectivity skills and present bearish behaviour in relation to the market during QE-tapering.
... Overall, the theory on the relationship between FDI and entrepreneurship attempts to address both the supply side and demand side linkages. Furthermore, FDI flows have varied over the longer horizon rather than the shorter term, implying that their effects are visible over time (Lim et al., 2014). ...
Article
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This study examines the effect of foreign direct investment on domestic entrepreneurship in South Africa. With the focus on inward capital flows, the study specifically employed stock data and the Global Entrepreneurship Monitor to measure the impact. The data set analysed is for the period 2000-18, and after testing a Threshold Vector Autoregressive model, it was established that there is a short-run and long-run nonlinear relationship between foreign direct investment and domestic entrepreneurship in South Africa. The key findings of the study were that foreign direct investment has a positive short-run and long-run influence on domestic entrepreneurship. The policy recommendations are for government to create an ecosystem that supports entrepreneurship through the lowering of regulatory burden on new domestic firms and enact robust sector-specific localisation policies for big corporations.
... Un ejemplo de estas metodologías es la utilizada por Chinn (2013), quien las usa para determinar la relación entre el desempeño de algunas economías emergentes y las políticas expansivas en Estados Unidos. Lim et al. (2014) hacen un ejercicio similar buscando evidencia de derrames económicos. En FMI (2016), el reporte de perspectivas regionales del Fondo Monetario, se plantean escenarios con choques de gasto público en infraestructura. ...
Book
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En los últimos 30 años, la región de Centroamérica y la República Dominicana ha vivido un periodo de estabilidad y progreso económico en donde le ha apostado a la integración comercial, a la atracción de inversión extranjera directa y a la consolidación de la democracia de sus países. Sin embargo, las condiciones externas que en el pasado parecían favorables para la región podrían complicarse en un contexto de simultaneidad que la región no había vivido antes. En material comercial, la región se ha visto afectada por el impacto en los flujos de comercio derivado de la última crisis financiera internacional y del resurgimiento del proteccionismo a nivel mundial. En materia de inversión, las reformas tributarias en países desarrollados podrían afectar el atractivo de la región para atraer inversión extranjera directa. Además, a esta posible caída de financiamiento se le suma el impacto de las medidas de regulación antilavado de dinero de estos países, así como sus cambios en la política monetaria. Aunado a estos factores económicos, el endurecimiento de la política migratoria en los Estados Unidos podría afectar no solo los flujos migratorios, sino también los de remesas, uno de los principales factores que financian el déficit de cuenta corriente de los países de la región. Finalmente, la presiones sobre el capital natural de la región han venido aumentando. Por lo tanto, estamos en un momento donde quizás el número de eventos negativos para la región sea mayor y vale la pena preguntarse si hay que cambiar el rumbo de la política económica. El presente libro consolida una serie de estudios producidos por el BID y el INCAE sobre el contexto comercial, la integración financiera, los precios de productos básicos y su impacto sobre la región, la inversión, los flujos migratorios, el manejo del capital natural y la institucionalidad en los países de la región y ofrece opciones de política para los tomadores de decisiones de estos países.
... Le premier chapitre se concentre sur les trois grands canaux de transmission internationaux. Les canaux du signal, de réallocation de portefeuille et de liquidité font partie intégrante du prisme retenu par la littérature (Bauer et Neely (2014), Lim et al. (2014)) pour étudier les mécanismes à l'oeuvre dans les effets de report internationaux. Dans le second chapitre, nous nous intéressons à l'assise théorique des conséquences de la politique monétaire américaine. ...
... Dans ce premier chapitre, nous allons donc étudier les canaux de transmission de la politique monétaire non conventionnelle que la littérature a fait émerger. Ici, le répertoire de ces canaux de transmission s'inscrit dans l'optique d'un certain nombre d'auteurs comme Neely (2015), Bauer et Neely (2014), Bauer et Rudebush (2013), Lim et al. (2014) ou encore Gagnon et al. (2011). Cette typologie de canaux de transmission est adoptée par les auteurs que ce soit dans une optique nationale ou internationale. ...
... Les actions d'achat de titres de la Réserve fédérale peuvent être comprises par les agents comme un engagement de la banque centrale à prendre des mesures qui ne peuvent s'inverser à court terme (Bauer et Rudebush (2013)). Ici le canal du signal peut être appréhendé aussi, comme le font d'autres auteurs comme Lim et al. (2014), par le canal de la confiance. C'est la confiance que les agents ont dans l'institution monétaire qui permet de donner de la crédibilité aux annonces de celle-ci. ...
Thesis
La mise en place de la politique monétaire non conventionnelle en 2008 aux États-Unis a coïncidé avec d'importants mouvements de capitaux et de taux de change dans les pays émergents. Ces derniers ont accusé la banque centrale américaine d'adopter une politique « d'appauvrissement du voisin » et de créer ces effets de report. En 2013, à la suite de l'annonce du ralentissement graduel du rythme de cette politique monétaire, certains pays émergents ont subi d'importantes crises financières. Dans ce contexte, cette thèse se propose d'étudier dans quelle mesure la politique monétaire non conventionnelle de la Réserve fédérale américaine a induit des effets de report en termes de mouvements de capitaux et de taux de change. Alors que la normalisation de cette politique monétaire est entamée, il est primordial de comprendre les implications internationales des décisions de la Réserve fédérale pour pouvoir contenir les risques potentiels. Tout d'abord, nous étudions les mécanismes et leurs effets sur les pays émergents dans le cadre d'une revue de la littérature. Nous montrons que la politique monétaire de la Réserve fédérale a bien été responsable d'effets de report. Ensuite, nous révélons, de façon empirique, que les conséquences présentent une certaine hétérogénéité dans le temps, en fonction des modalités d'intervention de la banque centrale américaine, ainsi que selon les pays. Nous établissons qu'il n'y a pas de réelle symétrie entre la phase expansionniste et celle de normalisation. De ce fait, la normalisation n'apparaît pas entrainer des reflux de capitaux dans les pays émergents. Finalement, nous nous intéressons aux moyens dont disposent les pays émergents pour limiter les effets de report. Nous montrons que les contrôles de capitaux et les politiques macroprudentielles peuvent permettre de réduire les mouvements de capitaux. Plus précisément, l'efficacité des contrôles de capitaux est conditionnée par leur accumulation. Plus le pays en est doté, plus il limite les effets de report. L'efficacité de la politique macroprudentielle dépend quant à elle de la qualité des institutions dans le pays émergent et de l'intensité de la politique monétaire américaine.
... Moreover, the authors highlight that such phenomena could have undesired effects by the time the Federal Reserves normalizes its monetary stance. Lim et al. (2014) found that the quantitative easing programs (QE) have had an important role in the dramatic upswing of capital inflows in EMEs after the financial crisis, but that the size of the impact depended on the type of flow. Dahlhaus and Vasishtha (2014) attempted to measure the impact of monetary policy normalization in the US. ...