Spillover Dynamics of Unconventional Monetary Policy: Insights from Emerging Market Bond Capital Flows

Abstract

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