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Effects of US quantitative easing on emerging market economies

Saroj Bhattarai (), Arpita Chatterjee and Woong Yong Park ()

Journal of Economic Dynamics and Control, 2021, vol. 122, issue C

Abstract: We estimate international spillover effects of US Quantitative Easing (QE) on emerging market economies (EMEs). Using a Bayesian panel VAR 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, which we relate to their weak ex-ante fundamentals.

Keywords: US Quantitative easing; Spillovers; Emerging market economies; Bayesian panel VAR; Fragile five countries (search for similar items in EconPapers)
JEL-codes: C31 E44 E52 E58 F32 F41 F42 (search for similar items in EconPapers)
Date: 2021
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Related works:
Working Paper: Effects of US Quantitative Easing on Emerging Market Economies (2018) Downloads
Working Paper: Effects of US quantitative easing on emerging market economies (2015) Downloads
Working Paper: Effects of US quantitative easing on emerging market economies (2015) Downloads
Working Paper: Effects of US Quantitative Easing on Emerging Market Economies (2015) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920301998

DOI: 10.1016/j.jedc.2020.104031

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Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok

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