Spillback effects of US unconventional monetary policy

Yang Yang, Yanling Tang and Kai Cheng

Finance Research Letters, 2023, vol. 53, issue C

Abstract: This study examines the spillback effects of US forward guidance (FG) and large-scale asset purchases (LSAPs) policies based on a proxy structural vector autoregression model and structural scenario analysis. We use high-frequency asset price surprises to identify FG and LSAP shocks. We find that both FG and LSAP shocks have significant spillback effects on economic activity and inflation in the US. Geographically, spillbacks of US unconventional monetary policies materialize more for advanced economies than emerging market economies. In addition, we find that spillbacks materialize through the exchange rate channel, the Tobin’s q channel, and the cash flow channel.

Keywords: Spillback; Proxy SVAR; Unconventional monetary policy; Structural scenario analysis (search for similar items in EconPapers)
JEL-codes: C32 E52 F31 F41 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000569

DOI: 10.1016/j.frl.2023.103682

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