International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada

Arbeitspapier

The U.S. Federal Reserve responded to the great recession by reducing policy rates to the effective lower bound. In order to provide further monetary stimulus, they subsequently conducted large-scale asset purchases, quadrupling their balance sheet in the process. We assess the international spillover effects of this quantitative easing program on the Canadian economy in a factor-augmented vector autoregression (FAVAR) framework, by considering a counterfactual scenario in which the Federal Reserve's long-term asset holdings do not rise in response to the recession. We find that U.S. quantitative easing boosted Canadian output, mainly through the financial channel.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Canada Working Paper ; No. 2014-43

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Monetary Policy ; Central Banks and Their Policies ; International Policy Coordination and Transmission ; International Business Cycles
• Subject: Transmission of monetary policy ; International topics ; Monetary policy framework

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Dahlhaus, Tatjana ; Hess, Kristina ; Reza, Abeer
• Event: Veröffentlichung
• (who): Bank of Canada
• (where): Ottawa
• (when): 2014

Further information

• DOI: doi:10.34989/swp-2014-43
• Handle: http://hdl.handle.net/10419/123734
• Last update: 10.03.2025, 11:43 AM CET