Spillover Dynamics of Unconventional Monetary Policy: Insights from Emerging Market Bond Capital Flows
This paper sets out to model the impact of unconventional monetary policy (UMP) on capital flows into emerging market (EM) bonds. Findings indicate that expansionary UMP results in capital inflows to EMs, driven by mechanisms related to risk appetite and inertia. Notably, there exists an asymmetry in the spillover effect: the outflow triggered by contractionary UMP is significantly larger and faster than the inflow following expansionary UMP.
