Financial crisis, US unconventional monetary policy and international spillovers

Qianying Chen (), Andrew Filardo (), Dong He and Feng Zhu

Journal of International Money and Finance, 2016, vol. 67, issue C, 62-81

Abstract: We study the impact of US quantitative easing (QE) on both the emerging and advanced economies, estimating a global vector error-correction model (GVECM). We focus on the effects of reductions in the US term and corporate spreads. The estimated effects of QE are sizeable and vary across economies. First, we find the QE impact from reducing the US corporate spread to be more important than that from lowering the US term spread, consistent with Blinder's (2012) argument. Second, counterfactual exercises suggest that successive US QE measures might have prevented episodes of prolonged recession and deflation in the advanced economies. Third, the estimated effects on the emerging economies are diverse but generally larger than those found for the United States and other advanced economies. The estimates suggest that US monetary policy spillovers contributed to the overheating in Brazil, China and some other emerging economies in 2010 and 2011, but supported their respective recoveries in 2009 and 2012. These heterogeneous effects point to unevenly distributed benefits and costs of cross-border monetary policy spillovers.

Keywords: Emerging economies; Financial crisis; Global VAR; International monetary policy spillovers; Quantitative easing; Unconventional monetary policy (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E65 F42 F47 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (148)

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Related works:
Working Paper: Financial crisis, US unconventional monetary policy and international spillovers (2015)
Working Paper: Financial Crisis, US Unconventional Monetary Policy and International Spillovers (2015)
Working Paper: Financial Crisis, Unconventional Monetary Policy and International Spillovers (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:67:y:2016:i:c:p:62-81

DOI: 10.1016/j.jimonfin.2015.06.011

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