Arbeitspapier

International capital market frictions and spillovers from quantitative easing

This paper analyzes the impact of large-scale, unconventional asset purchases by advanced country central banks on emerging market economies (EMEs) during 2008-2014. I show that there was substantial heterogeneity in the way EME currency, equity, and long-term sovereign bond markets were impacted by these purchases. Drawing on the gravity-in-international- finance literature, I show evidence that the degree of economic integration between EMEs and advanced countries is able to explain some of the observed heterogeneity in how these asset prices were affected. This result is robust to considerations of the domestic monetary policy, exchange-rate regime, and capital control policies in EMEs. Furthermore, I show that the size and direction of asset price movements in EMEs depended both on the type of assets purchased and on whether it was the US Federal Reserve or other advanced country central banks engaging in the purchases.

Sprache
Englisch

Erschienen in
Series: Queen's Economics Department Working Paper ; No. 1346

Klassifikation
Wirtschaft
Thema
Gravity
Unconventional monetary policy
Emerging markets

Ereignis
Geistige Schöpfung
(wer)
MacDonald, Margaux
Ereignis
Veröffentlichung
(wer)
Queen's University, Department of Economics
(wo)
Kingston (Ontario)
(wann)
2015

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • MacDonald, Margaux
  • Queen's University, Department of Economics

Entstanden

  • 2015

Ähnliche Objekte (12)