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

Tatjana Dahlhaus, Kristina Hess and Abeer Reza

Staff Working Papers from Bank of Canada

Abstract: 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
Date: 2014
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) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:14-43

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