Spillover Effects of Quantitative Easing

Mayuri Mukherjee and Saumitra Bhaduri

Review of Market Integration, 2015, vol. 7, issue 2, 117-132

Abstract: This study looks at the spillovers that the unilateral policies—adopted by the developed nations of the world—have on the emerging markets. For this study, we specifically take the example of quantitative easing (QE) which is a monetary policy adopted by USA post the 2008 financial crisis to stabilise its economy. The objective is to gauge and assess the nature of spillover effects it has on the BRICS markets. We collect data on weekly returns and weekly return volatilities through a VAR model that is fitted on it. We compute the Diebold spillover index (2009) from the process of variance error decomposition. The results indicate that QE has an adverse spillover effect on the volatilities of the BRICS nations.

Keywords: Quantitative easing; USA; BRICS; volatility; spillover effect (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:sae:revmar:v:7:y:2015:i:2:p:117-132

DOI: 10.1177/0974929216631382

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