2023-05-30-IMF-美国经济新闻和货币政策对新兴市场的影响（英）-2023.5-36页_36页_1mb

First, we establish that economic news, not just monetary policy, in the United States significantly affects financial conditions in emerging markets. News regarding U.S. employment has the strongest effects, followed by economic news and vaccines, while inflation-related announcements show limited impact. Transmission occurs rapidly, with changes observable within two days.

Second, the primary channel for international transmission is through investor risk perceptions and risk aversion. News about U.S. employment, economic activity, and vaccines influences the VIX, impacting global risk sentiment. Spillovers are stronger for riskier emerging markets, indicating a robust risk transmission mechanism.

Third, some effects of U.S. economic news occur independently of any U.S. monetary policy response, particularly for news like retail sales. However, for employment, part of the spillover may indirectly stem from policy adjustments.

Fourth, U.S. monetary policy spillovers to emerging markets intensified during the global financial crisis and the euro area crisis, but recent evidence suggests reduced insulation from flexible exchange rate regimes. Effects vary conditionally based on the direction of U.S. stock market reactions, with no clear spillover when stocks move in the same direction as policy.

Finally, higher U.S. interest rates may not always be negative for emerging markets; they can reflect positive economic news, reducing risk and easing financial conditions. Measurement error and "information effects" are plausible explanations for conflicting domestic U.S. financial responses, especially during periods of economic stress.

This paper underscores the role of U.S. news as a key driver of risk in emerging market asset pricing, with implications for both academic research and investment strategies.