L’impact du découplage des politiques monétaires de la BCE et de la Fed sur la zone euro et les pays émergents

Christophe Blot (), Paul Hubert and Christine Rifflart

Revue de l'OFCE, 2016, vol. N° 147, issue 3, 223-258

Abstract: While the Federal Reserve began a tightening cycle in December 2015, the ECB extended its quantitative easing program. This results in an increasing decoupling of monetary policy between the US and the Eurozone. We illustrate this mechanism by assessing the effect of the difference between Eurozone and US expected interest rate changes and balance sheet sizes on exchange rates and stock prices. The effect of the interest rate is significant while the effect of the balance sheet size is less important. We estimate the spillover effects of monetary policy from the Federal Reserve and the ECB on the exchange rate and stock prices in emerging economies. Our results suggest that the sensitivity of emerging economies to the monetary policies of the Federal Reserve and the ECB is not homogeneous. It also appears that the signal effect of monetary policy may be more important for transmission that the portfolio reallocation effects. JEL classification: E52, E58, F30.

Keywords: monetary policy; exchange rate; stock prices; emerging countries (search for similar items in EconPapers)
JEL-codes: E52 E58 F30 (search for similar items in EconPapers)
Date: 2016
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Working Paper: L'impact du découplage des politiques monétaires de la BCE et de la Fed sur la zone euro et les pays émergents (2016)
Working Paper: L'impact du découplage des politiques monétaires de la BCE et de la Fed sur la zone euro et les pays émergents (2016)
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