Spillover Effects of US Unconventional Monetary Policy: (Evidence from Selected Asian Countries)

Sayyed Ziaei () and Kenneth Szulczyk

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2021, vol. 24, issue 02, 1-17

Abstract: In this study, we evaluate the impact of US monetary policy between 2008 and 2018 (after implementation of quantitative easing policy) on assets, bonds, exchange rates of selected East Asian countries (Japan, South Korea, and Thailand). Our finding emphasized the significant role of US monetary policy on the East Asia financial markets especially in the case of South Korea. Results show that the US Treasury bill spread had the long run and US corporate spread had the short run effects on the asset markets of these countries. More specifically, sovereign yields respond significantly to US term spreads and stock prices respond largely to US corporate spread. The responses of exchange rate and house prices to US monetary policy are significant but attenuate.

Keywords: US Unconventional Monetary policy; monetary policy spill over (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1142/S0219091521500132

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