Shifts in global risk appetite move not just the middle of the emerging-market capital-flow and return distributions but their left tails, and usually the left tail more. Estimating panel quantile …
PublishedClassicJournal of International EconomicsPublished May 2022
A country's macroprudential stance looks irrelevant to portfolio flows on average, but that average hides the tails. Countries with tighter ex-ante regulation see larger bond and equity outflows in …
PublishedClassicReview of Financial StudiesOnline 7 Apr 2020Published Feb 2021
Identifying US monetary policy shocks from daily moves in five-year Treasury futures around FOMC announcements, this paper shows that during the unconventional-policy years those shocks largely …
PublishedJournal of Monetary EconomicsOnline 1 Jun 2026Published Jul 2026
The paper asks why unconventional monetary policy (UMP) spillovers from the European Central Bank (ECB) to the U.S. Treasury yield curve vary so substantially over time, and whether the time-varying …