IMF-美国经济新闻和货币政策对新兴市场的影响（英）

SpilloverstoEmerging

MarketsfromUS

EconomicNewsand

MonetaryPolicy

PhilippEngler,RobertoPiazzaandGalenSher

WP/23/107

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2023

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©2023InternationalMonetaryFund

WP/23/107

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FiscalAffairsDepartment

SpilloverstoEmergingMarketsfromUSEconomicNewsandMonetaryPolicyPreparedbyPhilippEngler,RobertoPiazzaandGalenSher

AuthorizedfordistributionbyPauloMedas

May2023

IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.

ABSTRACT:Abstract:WhentheU.S.economysneezes,doemergingmarketscatchacold?Weshowthateconomicnews,andnotjustmonetarypolicy,intheUnitedStatesaffectsfinancialconditionsinemergingmarkets.NewsaboutU.S.employmenthasthestrongesteffects,followedbynewsabouteconomicactivityandaboutvaccinesduringtheCOVID-19pandemic.Newsaboutinflationhasinsteadlimitedeffectsonaverage.AkeychannelofinternationaltransmissionofU.S.economicnewsappearstobetheriskperceptionsorriskaversionofinternationalinvestors.WealsoshowthatsomeofthetransmissionofU.S.economicnewsoccursindependentlyoftheU.S.monetarypolicyreaction.Finally,weexpandonevidencethatfinancialconditionsintheU.S.andemergingmarketsresponddifferentlytoU.S.monetarypolicysurprises,dependingonthereactionofUSstockprices.

JELClassificationNumbers:E43,E52,F3,F42,G14,G15.

Keywords:Spillovers;economicnews;emergingmarkets;financialconditions.

Author’sE-MailAddress:rpiazza2@

WORKINGPAPERS

SpilloverstoEmergingMarketsfromUSEconomicNewsandMonetaryPolicy

PreparedbyPhilippEngler,RobertoPiazzaandGalenSher,

1

1Theauthor(s)wouldliketothankRefetGürkaynakforsharingdatawithusandprovidinghelpfulcommentsonanearlierdraftofthiswork.WealsothankChrisErceg,CanSeverandseminarparticipantsattheBankofEngland,EuropeanCentralBank,EuropeanInvestmentBankandInternationalMonetaryFund(IMF),forhelpfulsuggestions.AnantaDuaandChanphengFizzarottiprovidedexcellentresearchsupport.TheviewsinthispaperarethoseoftheauthorsanddonotnecessarilyrepresentthoseoftheIMF,itsExecutiveBoard,orIMFmanagement.

IMFWORKINGPAPERSSpilloverstoEmergingMarketsfromUSEconomicNewsandMonetaryPolicy

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Contents

1.INTRODUCTION

3

2.ANALYTICALAPPROACH

5

2.1.Identifyingnewsevents

5

2.2.Estimationequations

6

3.DOMESTICEFFECTSOFUSNEWS

7

3.1.DomesticeffectsofnewsabouttheUSeconomyandvaccines

8

3.2.DomesticeffectsofnewsaboutUSmonetarypolicy

9

3.3.Domestic“informationeffects”ofUSmonetarypolicy

10

3.4.USnews,riskpremia,andvolatility

11

4.EFFECTSOFUSNEWSONEMERGINGMARKETS

11

4.1.EffectsofUSeconomicnewsonemergingmarkets

12

4.1.1.Effectsontheaverageemergingmarket

12

4.1.2.Transmissionchannels:risk,trade,portfoliobalance,andmonetarypolicy

13

4.2.EffectsofUSmonetarypolicysurprisesonemergingmarkets

15

4.2.1.Effectsontheaverageemergingmarket

15

4.2.2.Transmissionchannels:riskandportfoliobalance

17

4.2.3.Time-varyingspillovers

18

4.2.4.Theroleofemergingmarketcurrencyregime

18

4.2.5.“Informationeffects”inthespillovertoemergingmarkets

19

5.CONCLUDINGREMARKS

20

REFERENCES

27

APPENDIX

30

Datasourcesandconstruction

30

Informationeffectsormeasurementerrorcorrelatedwitheconomicconditions

32

IMFWORKINGPAPERSSpilloverstoEmergingMarketsfromUSEconomicNewsandMonetaryPolicy

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1.INTRODUCTION

WhentheU.S.economysneezes,doemergingmarketscatchacold?TheanswerdependsonwhytheU.S.economyissneezing.Inotherwords,itdependsonwhatkindofeconomicnewsiscomingoutoftheU.S.MonetarypolicyannouncementsintheU.S.,forexample,havebeenshowntoaffectfinancialconditionsinemergingmarketsalmostimmediately.

1

,

2

However,littleisknownabouttheinternationaleffectsofothertypesofnews,whetheraboutemployment,economicactivityorinflation,andnopapersthatweknowofstudytheeffectsofsuchnewsonemergingmarkets.

3

GiventheirstrongandimmediateeffectsonfinancialconditionsintheU.S.,wewouldexpectthemtohavemeaningfuleffectsonfinancialconditionsinemergingmarketsaswell.

Indeed,weshowinthispaperthatUSeconomicnewsdoesmeaningfullyaffectfinancialconditionsinemergingmarkets.Better-than-expectednewsaboutUSemploymentoreconomicactivityimmediatelylowerscreditspreadsonUSdollar-denominatedbondsissuedbyemergingmarketgovernments.Italsoimmediatelyincreasesinterestratesonlocalcurrencygovernmentbondsinemergingmarkets.Better-than-expectedemploymentnewsleadsemergingmarketcurrenciestodepreciateagainsttheUSdollar.PositivenewsaboutthedevelopmentofvaccinesagainstthevirusthatcausesCOVID-19loweredfinancialmarketsvolatilityintheUSandcreditspreadsinemergingmarkets.Bycontrast,newsaboutUSinflationhassmallereffectsonfinancialconditionsintheU.S.itself,andthereforedoesnotimmediatelyspillovertofinancialconditionsinemergingmarkets.Inflationsurprisesmayhaveweakereffectsonaverageinoursamplebecausetheyreflectamixtureofcost-pushanddemand-pullshocks,eachofwhichpullfinancialconditionsindifferentdirections.Inaddition,USinflationexpectationsmayhavebeensufficientlyanchoredtorenderanyshockstootransitorytomovefinancialmarkets.

Wefindthatrisk,ratherthantradeorportfoliobalancing,isamoreplausibleinterpretationofthemechanismbywhichUSeconomicnewsimmediatelytransmitstoemergingmarkets.Riskieremergingmarketsexperienceadeeperdeclineincreditspreadsfollowingbetter-than-expectednewsaboutUSemploymentordurablegoodsorders.Thisbehavioursuggeststhatcertaintypesofgoodeconomicnewsreduceperceptionsofriskoraversiontorisk.Thetypesofriskthatmattermostareexternal,likeexternaldebtandcurrencyvolatility,aswellasinflation,ratherthanmeasuresoffiscalrisk.However,notallnewsclearlytransmitsthroughariskchannel.Forexample,newsaboutUSretailsalesseemstoaffecthigh-andlow-riskemergingmarketssimilarly.

Theevidenceforatradechannelislimited,intwoways.First,emergingmarketexchangeratesareonlyaffectedbynewsaboutU.S.employment,andnotbyothernewsaboutU.S.economicactivityorinflation.Second,whilebetter-than-expectedUSemploymentnewsdoesdepreciatecurrenciesbylessinemergingmarketswithdeepertradetiestotheUS,thiseffectisimpreciselyestimated.Wedonotfindevidenceforaportfoliobalancechannel.Ifaportfoliobalancechannelwereoperating,wewouldexpectcreditspreadstoreactmoreforcefullyinemergingmarketswithdeeperfinancialtiestotheUSorinthosewhosegovernmentbondstendtomovemorecloselywithUSTreasuries.However,neitherpatternemerges.

1WefollowtheInternationalMonetaryFund’sdefinitionofemergingmarketeconomies,whichconsistsofallmembercountriesthatarenotclassifiedaseitheradvancedorlow-incomedevelopingcountries.Thisclassificationdiffersslightlyfromthoseproducedbyprivatesectorfirms,whichhavebeenusedintheliterature.TheAppendixprovidesmoredetail.

2SelectedpapersintheliteratureincludeAlbaglietal.(2019),BauerandNeely(2014),Curcuruetal.(2018),HausmanandWongswan(2011),Hoeketal.(2022),IacovielloandNavarro(2019),Kalemli-Ozcan(2019),Gilchrist,YueandZakrajsek(2019).ThesepapershaveshownthatUSmonetarypolicyaffectscreditspreadsonUSdollar-denominatedbonds,yieldsonlocalcurrencybonds,premiaofyieldsonlong-termbondsoverexpectedfutureshort-terminterestrates,stockprices,exchangeratesandcapitalflows,ofemergingmarkets.

3USeconomicnewshasbeenshowntospillovertostockandforeignexchangemarketsinadvancedeconomies(Andersenetal.2003;Beckeretal.,1995;EhrmannandFratzscher,2003;Wongswan,2006;AlbuquerqueandVega,2009).

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WerefineouranalysistoaccountforthepotentialeffectsofUSeconomicnewsontheexpectedfutureevolutionofmonetarypolicy.TheliteraturehaslongrecognizedthattheeffectsofUSinterestratesonemergingmarketfinancialconditionsdependonwhetheranychangeinUSinterestratesisbeingdrivenbyUSeconomicnewsormonetarypolicy.

4

Therefore,wecheckwhetherholdingUSinterestratesconstantreducesourestimatedspilloversfromUSeconomicnews.

WefindthatnewsaboutUSretailsalesseemstoaffectemergingmarkets’short-termbondyieldsindependentlyofitseffectsonfutureUSmonetarypolicy,therebyrulingoutamonetarypolicychannelforretailsalesnews.However,forUSemploymentnews,itisnotpossibletodistinguishstatisticallyhowmuchofitseffectonlong-termemergingmarketbondyieldsworksthroughexpectationsofmonetarypolicy.ThisfindingclarifiesthattheresultinHoeketal.(2020),inwhichUSinterestratesspillovertoemergingmarketinterestratesondaysofUSemploymentreleases,maysimplyreflectemploymentnewsandthereforemayhavenothingtodowithUSmonetarypolicy.

OurpaperalsocontainsseveralresultsonthespilloversfromUSmonetarypolicytoemergingmarkets.Manyoftheseconfirmexistingfindings,

5

butwecontributethreenewresultstothisliterature.

First,weexpandonthefindingthatemergingmarketbondyieldshavebecomemoresensitivetoUSmonetarypolicyovertime(Albaglietal.,2019).Weshowthatthisincreaseisprimarilydrivenbytheperiodoftheglobalfinancialcrisisandtheeuroareacrisis.Thus,theincreasingsensitivityovertimeseemssimplytoindicatethatspilloversarehigherinfinancialcrisesandmaynotbedrivenbyseculartrendslikedeepeningglobalintegrationorrisingdebt.

Second,wefindthatthedomesticandinternationaleffectsofUSmonetarypolicydependonwhetherUSstockpricesmoveintheoppositedirectiontomonetarypolicy,astheyusuallydo,orinthesamedirection.Weshowthatthesedifferentialreactionsoccurnotjustinemergingmarkets’interestratesandexchangerates,asfoundinHoeketal.(2022),butalsoinemergingmarkets’creditspreads,termpremiaandportfolioflows.Whilemanyofthesefindingscanbeexplainedby“informationeffects”,underwhichUSmonetarypolicyannouncementsrevealnewinformationaboutthestateoftheeconomy(JarocinskiandKaradi,2020),thereactionofemergingmarketinterestratesismoredifficulttoreconcilewiththisinterpretation.Forthis,weofferanalternativeinterpretationintermsofmeasurementerrorthatiscorrelatedwithconditionsofeconomicstress.

Third,wedonotfindevidencethatflexibleexchangerateregimeshelpinsulateemergingmarketsfromUSmonetarypolicysurprises.Thisevidence,basedonhigh-frequencyeventstudies,complementstheevidencefromlow-frequencyrecursiveidentificationinIacovielloandNavarro(2019),andtheevidencefortheeuroareafromCorsettietal.(2021).Thisinterestingandsomewhatpuzzlingevidencedeservesfurtherexploration.

Theremainderofthispaperisstructuredasfollows.Section2summarizesthedataandmethodsusedinthepaper,deferringthedetailstotheAppendix.Section3presentstheestimatesofspilloversfromtheUStoemergingmarkets,andanalysestransmissionchannels.Section4concludes.

4See,forexample,IMF(2014),MathesonandStavrev(2014),Hoeketal.(2019).

5Specifically,ourresultsconfirmthatUSmonetarypolicysurprisesaffectyieldsonlocalcurrencybonds,creditspreadsonUSdollar-denominatedbonds,stockprices,exchangeratesandcapitalflowsinemergingmarkets.TheyalsoconfirmthattheeffectsofUSmonetarypolicyonemergingmarketlocalcurrencygovernmentbondyieldsworkprimarilythroughtermpremia,ratherthanthroughexpectedfutureshort-terminterestrates.

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2.ANALYTICALAPPROACH

2.1.Identifyingnewsevents

WeusedataoneighttypesofUSeconomicnews:non-farmpayrollemployment,initialjoblessinsuranceclaims,retailsales,theadvanceestimateforGDP,durablegoodsorders,coreCPIinflationandcorePPIinflation.Oneachdaywhennewdataforeachindicatorisreleased,asurpriseisconstructedasthedifferencebetweentheannouncedvalueandthemedianprevailingexpectationfromamarketsurvey,runbyActionEconomicsorBloombergthepreviousFriday.Ourdataalsoincludehigh-frequencychangesinUSfinancialvariables,from5minutesbeforeeachFederalOpenMarketCommittee(FOMC)announcementto15minutesafterward.TheUSeconomicnewssurprisesarefromGürkaynaketal.(2020),andtheUSmonetarypolicysurprisesarefromtheupdateddatasetbehindGürkaynaketal.(2005).

6

WedefineUSmonetarypolicysurprisesasthechangesinyieldsonUSTreasurieswitha2-yearmaturityinthesenarrowwindowsaroundFOMCannouncements.Thechoiceofthe2-yearmaturityfollowsGertlerandKaradi(2015)andHansonandStein(2015)andallowsustocapturetheeffectsofforwardguidanceandassetpurchases.ThesameapproachhassincebeenusedintheliteratureonspilloverstoemergemarketsbyGilchristetal.(2019),Albaglietal.(2019)andHoeketal.(2022).

WealsoconstructameasureofnewsaboutthedevelopmentofCOVID-19vaccinesbetweenApril1,2020andthedayofthefinalannouncementofthePhaseIIItrialresults(November18forPfizer-BioNTechandNovember30forModerna).

7

Themeasureisanindexderivedfromstockprices,obtainedfromaregressionofdailystockreturnsoftwoleadingvaccinemanufacturers,ModernaandBioNTech,againstreturnsontheMSCIUSHealthcareIndex.Foreachcompany,wecodethedailyresidualas-1(negativenews)or1(positivenews)iftheresidualfalls,respectively,inthebottomortop10thpercentilesofitshistoricaldistribution,andzerootherwise(nonews).

8

Wethendefineanoveralldailyvaccinenewsindexwhichequals-1or1ifthesumofthenewsindexfortwocompaniesisrespectivelynegativeorpositive,otherwisetheindexissettozero.Ourregressionsareestimatedonlyondayswhennewstookplace.TheeventdaysformonetarypolicyactionsareFOMCannouncementdays,whiletheeventdaysforeconomicnewsarethereleasedaysforeacheconomicindicator,excludinganysuchdaysthatfallonmonetaryFOMCannouncementdays.Similarly,fortheindex-basedmeasureofCOVID-19vaccines,weconsideronly57dayswhereanewsevent(+1or-1)wasobserved.

Oursampleincludes60emergingmarkets,followingIMFdefinitions,betweenJanuary2000andMay2020.Tothebestofourknowledge,itisthelargestsampleofeconomiesthathasbeenusedtostudythespilloversfromUSnewstoemergingmarkets.TheAppendixdiscussesthesampleinmoredetail,definestheconstructionofeachvariableandprovidessummarystatistics.

6WethankRefetGürkaynakforkindlyprovidinguswithhisdatasetoneconomicsnews.

7WeobtainverysimilarresultswhenweendthesampleonthedayofthepreliminaryannouncementofthePhaseIIItrialresults(November9forPfizer-BioNTechandNovember16forModerna).

8Wealsoconsideredanentirelydifferentdatingapproach,basedonthelistofpressreleasespostedonthetwocompanies’websites.ThisapproachdidnotyieldanystatisticallysignificantresultontheeffectofvaccinenewsoneithertheUSoronemergingmarkets’financialvariables.Thislackofresponsemaybebecausepressreleasescontainedinformationthat,inmostcases,marketshadalreadyanticipatedandincorporatedintostockprices.

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2.2.Estimationequations

Weestimatethefollowingmodelsoftheeffectsofrealnews,vaccinenewsandmonetarypolicysurprisesSton

financialconditionsinemergingmarkets:

yc,t+1−yc,t−1=ac+3St+uc,t+1(

1)

wherethedependentvariableyc,trepresentsvariousfinancialindicatorsondayt(localtime)inemergingmarketc,includinggovernmentbondyieldsatvariousmaturities,exchangerates,totalstockreturns,portfolioflows,termpremiumsandexpectationsoffutureshort-termmonetarypolicyrates.

9

Themodelusestwo-dayeventwindows,toallowfordifferencesintimezonesandtradinghoursacrossmarkets.Newsdaysareindicatedbyt.USeconomicnewsandmonetarypolicysurprises(St)arescaledbytheirstandarddeviationsbeforeestimation,sothattheinterpretationoftheparameter3istheresponseofthedependentvariabletoaone-standarddeviationincreaseinthenewsvariable.

Weconsiderthreeseparateextensionstothismodel.Inthefirst,weexaminevariationinspilloversacrossemergingmarkets,byallowingthesensitivitytoUSnewstodependlinearlyontheemergingmarket’spredeterminedunderlyingcharacteristicsxc,t,asfollows:

yc,t+1−yc,t−1=ac+3St+yxc,t+7Stxc,t+uc,t+1(2)

Notethatcontrollingforxc,tiskeytoavoidomittedvariablebiasintheestimatesof7.ThisisanimportantimprovementofourpaperoverHausmanandWongswan(2011),Bowmanetal.(2015)andKearnsetal.

(2019).

Inthesecondextension,wemaintaintheassumptionthatthesensitivitiesarethesameacrossemergingmarkets,butweallowthesensitivitytovaryacrosstime.Weconsideralineartimetrendinthesensitivity,using

thespecification

yc,t+1−yc,t−1=ac+3St+eTt+uStTt+uc,t+1(

3)

whereTtdenotesyearselapsedsince2000.Wealsoconsiderstepshiftsinthesensitivity,usingthealternative

specification

yc,t+1−yc,t−1=ac+3St+u1I(t≥Nov.2008)+u2I(t≥2014)+

u3StI(t≥Nov.2008)+u4StI(t≥2014)+uc,t+1(4)

whereI()denotestheindicatorfunction.

Inourthirdextension,weexaminewhethersomeoftheeffectofUSeconomicnewstransmitsthroughexpectationsaboutfutureUSmonetarypolicyactions.Todothis,wecontrolfordailychangesinUSinterest

rates(2-yearTreasuryyields)Ttintheextendedspecification

yc,t+1−yc,t−1=ac+3St+FTt+vc,t+1.(

5

)

Themodelsareestimatedbyleastsquares.TheidentifyingassumptionisthatthesurpriseStisuncorrelatedwiththeerrorterm.Inotherwords,ouridentifyingassumptionisthatotherrelevantfactors,likecontemporaneousdatareleasesorpolicyannouncementsintheUSoremergingmarkets,arenotcorrelatedwithSt.Thisassumptionissupportedbytwofacts.First,themodelsareestimatedonlyondaysoftheannouncementofeconomicnews,vaccinenewsormonetarypolicyactions.Onthesedays,thenewsreleaseismorelikelytobetheonlysourceofsystematicvariationinthedependentvariable.Second,thesurpriseStisnews,becauseitrepresentsonlytheunexpectedcomponentofannouncementondayt.Giventhelongtime-

9Dynamicfactormodels(likeAdrian,Crump,andMoench(2013))canbeusedtosplitthechangesinyieldsonfive-yearsovereignbondsinemergingmarketsintoonecomponentthatrepresentschangesintheexpectedmonetarypolicyrateinemergingmarketsandanothercomponentthatistheresidualtermpremium.Thetermpremiumrepresentstheextrareturnrequiredbyinvestorstoshoulderthegreater(inflation,liquidityandcredit)riskassociatedwithafixedlong-termrateofreturn.

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dimension,standarderrorsthatallowforspatialandtemporaldependenceareusedfollowingDriscollandKraay(1998).

Togaugetheeffectsofrealnews,vaccinenewsandmonetarypolicysurprisesonglobalandUSfinancialindicators,weusethefollowingsimplifiedtimeseriesversionof(1):

yt−yt−1=6+Xst+et+1(6)

whereytrepresentsUSTreasuryyields,USexpectedfuturepolicyratesandtermpremiums,theUSdollarnominaleffective(trade-weighted)exchangerateandtheUSstockmarketvolatilityindex(VIX).

10

Thismodelusesone-dayeventwindowsforthedependentvariables

11

andisestimatedbyleastsquareswithstandarderrorsthatfollowNeweyandWest(1987).

WealsotestforadifferentreactionofUSfinancialconditionsaccordingtothedirectionofco-movementbetweenUSmonetarypolicyandUSstocks,whichissometimesinterpretedasthe“informationeffect”ofmonetarypolicy.Todoso,weconsiderversionsof(1)and(6)where3orXisdecomposedinto

p(1−Jt)+入Jt(7)

whereJtisequaltounityifthesignofthemonetarypolicysurpriseagreeswiththesignofthechangeintheS&P500index,innarrowwindowsaroundthemonetarypolicyannouncement,andzerootherwise.Thenpmeasurestheeffectof“pure”monetarypolicysurprises,while入eithermeasurestheeffectofmonetarypolicyannouncementsthatrevealalotofinformationaboutfutureeconomicconditions,ortheeffectofannouncementswhenmeasurementerrorishigh,likeduringcrises.

3.DOMESTICEFFECTSOFUSNEWS

WesetthestagefortheanalysisofspilloversbyshowingtheeffectsofnewsabouttheUSeconomy,COVID-19vaccinesandmonetarypolicyonUSfinancialconditions.TherelativelymatureliteratureonthedomesticeffectsofUSnewsprovidesastrongbenchmarkforthedataandmethodsthatwesubsequentlyusetostudyspilloverstoemergemarkets.WecovernewsabouttheUSeconomyandCOVID-19vaccinesinSection3.1,andnewsaboutUSmonetarypolicyinSection3.2.

Atthesametime,thissectionmakesthreecontributionstotheeventstudyliteratureonthedomesticeffectsofUSnews.ThefirstisthenovelanalysisofCOVID-19vaccines.Section3.1showsthatnewsaboutCOVID-19vaccinestendedtoliftlong-terminterestratesandstockpricesintheUSduringthepandemic,butnotshorter-terminterestrates.ThesecondcontributionistoshowthatthedomesticeffectsofUSmonetarypolicydependonthereactionofUSstockpricestothemonetarypolicyannouncement(Section3.3).WhenUSstockpricesmoveinthesamedirectionasUSmonetarypolicy,theUSdollarandVIXdonotseemtoreacttothemonetarypolicydecision.Weofferinterpretationsintermsof“informationeffects”andmeasurementerrorcorrelatedwithperiodsofeconomicstress.OurthirdcontributionistoemphasizethatpositiveemploymentandmonetarypolicysurprisesbothliftUSinterestrates,buttheyhaveoppositeeffectsontheVIX(Section3.4).Positive

10TheVIXisameasureofthemarketexpectationofthevolatilityofstockreturnsoverthenextmonth,derivedfromoptionsprices.

11Recentpapers,likeRigobonandSack(2008)havemeasuredthedependentvariablesinnarrowintradaywindowsaroundtheannouncements.Thishelpstoavoidnoiseinducedbyotherannouncementsoccurringonthesameday,butsomeannouncements(likenon-farmpayrollsandcivilianunemployment)remainsimultaneous.Wepreferone-daywindowsbecauseourobjectiveistobenchmarkourresultsonspillovers,whichusetwo-daywindowsforthedependentvariablesinemerging