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U.S. unconventional monetary policy and transmission to emerging market economies

David Bowman, Juan M. Londono () and Horacio Sapriza

Journal of International Money and Finance, 2015, vol. 55, issue C, 27-59

Abstract: We investigate the effects of U.S. unconventional monetary policies on sovereign yields, foreign exchange rates, and stock prices in emerging market economies (EMEs), and we analyze how these effects depend on country-specific characteristics. We find that, although EME asset prices, mainly those of sovereign bonds, responded strongly to U.S. unconventional monetary policy announcements, these responses were not outsized with respect to a model that takes into account each country's currency regime and vulnerability to U.S. financial conditions.

Keywords: Unconventional monetary policy; Emerging markets; Large-scale asset purchase program; Quantitative easing; Federal Reserve (search for similar items in EconPapers)
JEL-codes: E58 F42 G15 (search for similar items in EconPapers)
Date: 2015
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Working Paper: U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies (2014) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:55:y:2015:i:c:p:27-59

DOI: 10.1016/j.jimonfin.2015.02.016

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