Biplab Kumar Biswal

Type of the article: Research Article

Abstract
Extensive research has been conducted on the global effects of the US unconventional monetary policy shock on capital flows in emerging markets. However, there is limited empirical evidence on the transmission channels of capital flows in emerging bond markets. This study examines it by analysing capital flows across 45 emerging bond markets from 2009 to 2023. Contemporaneous shock transmission is examined using the contemporaneous impact matrix, and dynamic shock transmission is assessed using the impulse response function of the structural vector autoregression (SVAR) model. All variables in this study are standardised to account for differences in scale within the model. The pairwise correlation coefficient matrix indicates that multicollinearity is not a concern for parameter estimates in this model. The ADF-Fisher Chi-square unit root test result reveals that all variables are stationary in this model. The contemporaneous coefficient matrix results indicate that changes in the US term spread serve as the contemporaneous transmission channel through which US Treasury bond purchase and US MBS purchase shocks positively affect capital flows in emerging bond markets. The impulse response function indicates that changes in the global financial cycle serve as a dynamic transmission channel through which US MBS purchase shocks affect capital flows in emerging bond markets. Moreover, changes in the US mortgage spread serve as the dynamic transmission channel through which US Treasury bond purchases and US MBS purchases affect capital flows in emerging bond markets.

Acknowledgment
The author expresses sincere gratitude to Assistant Professor Dr Nupur Moni Das, Faculty of Management Studies, Sri Sri University, India, for her careful proofreading of the manuscript and her valuable academic insights.