Global liquidity effect of quantitative easing on emerging markets

Mehmet Balcilar (), Ojonugwa Usman (), Mark Wohar, David Roubaud () and Hasan Güngör
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Mehmet Balcilar: University of New Haven
David Roubaud: University of Montpellier

Empirical Economics, 2024, vol. 67, issue 6, No 1, 2449-2461

Abstract: Abstract Using a panel quantile vector autoregression model, we investigate the global liquidity effect of quantitative easing (QE) in the US on emerging markets (EMs) over the period 2010:Q1 to 2019:Q3. Our empirical result suggests that tapering of QE in the US triggers a large capital outflow from the EMs. In addition, we find a significant asymmetric effect of QE on portfolio investment flows to EMs with a stronger effect in the higher quantiles. The implication of these findings is that tapering the large-scale asset purchases and other instruments of unconventional monetary policy have a larger effect on EMs.

Keywords: Unconventional monetary policy; Quantitative easing; Global liquidity effect; Emerging markets (search for similar items in EconPapers)
JEL-codes: C33 E43 E52 E58 G12 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00181-024-02625-9

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