Effects of US quantitative easing on emerging market economies

Arbeitspapier

We estimate international spillover effects of US Quantitative Easing (QE) on emerging market economies (EMEs). Using a Bayesian VAR on monthly US macroeconomic and financial data, we first identify the US QE shock. The identified US QE shock is then used in a monthly Bayesian panel VAR for EMEs to infer spillover effects on these countries. We find that an expansionary US QE shock has significant effects on financial variables in EMEs. It leads to an exchange rate appreciation, a reduction in long-term bond yields, a stock market boom, and an increase in capital inflows to these countries. These effects on financial variables are stronger for the "Fragile Five" countries compared to other EMEs.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ADBI Working Paper ; No. 803

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models ; Financial Markets and the Macroeconomy ; Monetary Policy ; Central Banks and Their Policies ; Current Account Adjustment; Short-term Capital Movements ; Open Economy Macroeconomics ; International Policy Coordination and Transmission
• Subject: US quantitative easing ; spillovers ; emerging market economies ; Bayesian VAR ; panel VAR ; fragile five countries

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bhattarai, Saroj ; Chatterjee, Arpita ; Park, Woong-yong
• Event: Veröffentlichung
• (who): Asian Development Bank Institute (ADBI)
• (where): Tokyo
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/190224
• Last update: 10.03.2025, 11:43 AM CET