Portfolio investment and U.S. monetary policy announcements: An event study analysis using high-frequency data from Mexico

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Published Sep 8, 2021
Marco Hernandez-Vega


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.

How to Cite

Hernandez-Vega, M. (2021). Portfolio investment and U.S. monetary policy announcements: An event study analysis using high-frequency data from Mexico. Journal of Research in Emerging Markets, 3(4), 1–22. https://doi.org/10.30585/jrems.v3i4.682
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Article Details


Monetary Policy Announcements, Unconventional Monetary Policies, Capital Flows, Foreign Portfolio Investment, Mexican Equity and Bond Market



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