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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

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Related works:
Working Paper: Effects of US Quantitative Easing on Emerging Market Economies (2018)
Working Paper: Effects of US quantitative easing on emerging market economies (2015)
Working Paper: Effects of US quantitative easing on emerging market economies (2015)
Working Paper: Effects of US Quantitative Easing on Emerging Market Economies (2015)
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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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