International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada

Tatjana Dahlhaus, Kristina Hess and Abeer Reza

Journal of Money, Credit and Banking, 2018, vol. 50, issue 2-3, 545-563

Abstract: The U.S. Federal Reserve responded to the great recession by implementing quantitative easing, or large‐scale asset purchases, when its conventional policy rate reached the zero lower bound. We assess the international spillover effects of this quantitative easing program on the Canadian economy in a factor‐augmented vector autoregression (FAVAR) framework, by considering a counterfactual scenario in which the Federal Reserve's long‐term asset holdings do not rise in response to the recession. We find that U.S. quantitative easing boosted Canadian output, mainly through the financial channel.

Date: 2018
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Citations: View citations in EconPapers (21)

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https://doi.org/10.1111/jmcb.12470

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Working Paper: International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:50:y:2018:i:2-3:p:545-563

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