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发现
- 去找1净流量对新兴市场外汇和政府债券市场表现具有很强的预测能力. 新兴市场货币表现与资金流之间的关系取决于市场流动性的程度, and depreciation during the taper tantrum was correlated with selling pressure from subsets of market participants.
- 去找2The explanatory power of flows during the taper tantrum can be accounted for by a relatively small subset of active market participants associated with momentum and a broad set of asset managers that typically do not exhibit strong systematic behavior.
- 去找3在缩减恐慌期间, 某些市场参与者的资金流与价格走势之间的联系似乎有所增加, 反映了对价格有重大影响的潜在羊群行为.
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2020年5月
在12bet官方研究所关于金融市场的报告中, we use the mid-2013 taper tantrum episode to elucidate interactions between market movements and institutional investor behavior around a major monetary policy shock, 重点关注对新兴市场货币的溢出效应. We study the taper tantrum because it represents a key episode in the post-financial crisis use of large-scale asset purchases (LSAPs). 考虑到过去十年持续的低利率水平, these measures have become an indispensable part of the modern central banking policy toolkit; however, policymakers’ imperfect knowledge of market participant expectations and potential responses to policy adjustment has meant that these programs have been challenging to unwind smoothly.
利用研究所可获得的独特数据, 我们记录了投资者行为在“缩减恐慌”开始前后的明显变化, 来自市场参与者的净买入新兴市场货币的资金开始逆转. 除了, we leverage the granular nature of the data to help answer the following three questions in the taper tantrum context:
- 哪些市场因素——新闻、流动性和净流量——能最好地解释新兴市场外汇市场的表现?
- 特定的市场参与者群体是否推动了资金流与市场变化之间的整体联系? 如果有，是哪些群体?
- 羊群活动是否在价格走势和净流量变化中发挥作用?
这些问题的答案, 基于新数据(如下图所示), provide insight into how the taper tantrum period unfolded in EM currency markets and offers more general lessons on the potential role of investor behavior in contributing to large market swings. 因此，我们围绕以下三个发现组织我们的研究. “缩减恐慌”(taper tantrum)代表了金融危机后大规模资产购买行为的一个关键插曲.
找到一个: 净流量对新兴市场外汇和政府债券市场表现具有很强的预测能力. 新兴市场货币表现与资金流之间的关系取决于市场流动性的程度, and depreciation during the taper tantrum was correlated with selling pressure from subsets of market participants.
我们在后危机时期进行研究, our net flow data—disaggregated at the investor sector level—can explain substantial portions of the variation in EM FX and government bond markets. The boost to explanatory power (R-squared) from including net flows in regressions of these EM assets ranges from 25 to over 50 percent, 视情况而定, 相对于美国的联合预测能力.S. 股票和国债收益率. 关注新兴市场货币, 哪里的数据更好, 我们还发现净流动与新兴市场货币指数变化之间的关系存在时间变化. 特别是, asset manager sales of EM currencies are associated with a considerably larger depreciation than normal when liquidity is low. A sharp reversal in aggregate flows seen in our data in May 2013—与“缩减恐慌”(taper tantrum)的开始密切吻合—suggests a role for market participant transactions in contributing to the extent of depreciation during the episode.
发现二: The explanatory power of flows during the taper tantrum can be accounted for by a relatively small subset of active market participants associated with momentum and a broad set of asset managers that typically do not exhibit strong systematic behavior.
补充行业层面的流动, we employ a parsing of market participants according to readily-observable systematic patterns in their transactions to understand the nature of the close connection evident between certain sectors’ flows and market movements. 在一个关键结果中, 我们确定了投资者群体中相对较小的一部分，即, hedge funds and banks associated with momentum trading—that appear to drive much of the explanatory power of net flows. 此外, the transactions of asset managers that typically do not exhibit strong systematic patterns changed their behavior during the taper tantrum and became highly correlated with EM currency depreciation. To see how these three pockets of the investor base may have contributed to price action during the taper tantrum, we use our newly-derived investor archetypes (categorized using out-of-sample data) in a regression of EM currency performance over 2013. 如下图所示, the predicted contributions to price action of flows from these market participants line up well with market dynamics and can account for much of the cumulative taper tantrum depreciation in excess of what would be predicted by U.S. 市场走势本身.
发现三: 在缩减恐慌期间, 某些市场参与者的资金流与价格走势之间的联系似乎有所增加, 反映了对价格有重大影响的潜在羊群行为.
在缩减恐慌期间, the transactions of a large subset of asset managers became more highly correlated with other investor categories and contemporaneous price action. 另外, we find evidence that asset managers tracked the flows of hedge funds associated with momentum with a lag of a few days, 这暗示了一种不常见的领导者-追随者的动态关系. 为了更详细地说明这些关系的时间维度, we plot (in the figure below) the correlation between asset managers and both hedge fund flows and price action with various leads and lags. 有几点值得注意:首先, the transactions of asset managers tracked lagged hedge fund flows but not the other way around; and second, the contemporaneous flow-flow and flow-price correlations were notably higher than usual during the taper tantrum (we test that this is not just a function of the change in volatility during the episode).
最后, key flash points of EM currency depreciation during the taper tantrum were associated with sharp (negative) outliers in the number of buyers versus sellers of EM currencies in our data, 哪些进一步表明羊群行为可能影响市场动态.
