International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada
Kristina Hess and
Staff Working Papers from Bank of Canada
The U.S. Federal Reserve responded to the great recession by reducing policy rates to the effective lower bound. In order to provide further monetary stimulus, they subsequently conducted large-scale asset purchases, quadrupling their balance sheet in the process. 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.
Keywords: International topics; Monetary policy framework; Transmission of monetary policy (search for similar items in EconPapers)
JEL-codes: C C3 C32 E E5 E52 E58 F F4 F42 F44 (search for similar items in EconPapers)
Pages: 37 pages
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Journal Article: International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:14-43
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