Central bank asset purchase programs in emerging market economies

John Beirne and Eric Sugandi

Finance Research Letters, 2023, vol. 54, issue C

Abstract: We investigate the impact of Asset Purchase Programs by 14 EME central banks during COVID-19, finding a statistically significant effect in compressing bond spreads vis-à-vis the US. A counterfactual analysis shows that without APPs, EME bond spreads would have been higher. Country-specific VAR impulse response functions indicate that a shock imposed on asset purchases becomes persistent on bond spreads after around 5 – 10 days, with a peak effect of around 40 basis points. Persistent stabilizing effects are also found on exchange rates and capital flow volatility, while stock markets and inflation expectations are overall not affected by the APPs.

Keywords: Asset purchase program; Quantitative easing; Emerging market economies (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001423

DOI: 10.1016/j.frl.2023.103769

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