U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies
Juan M. Londono,
David Bowman and
No 1109, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)
We investigate the effects of U.S. unconventional monetary policies on sovereign yields, foreign exchange rates, and stock prices in emerging market economies (EMEs), and we analyze how these effects depend on country-specifc characteristics. We find that, although EME asset prices, mainly those of sovereign bonds, responded strongly to unconventional monetary policy announcements, these responses were not outsized with respect to a model that takes into account each country's time-varying vulnerability to U.S. interest rates affected by monetary policy shocks.
Keywords: emerging markets; Federal Reserve; large-scale asset purchase program; Unconventional monetary policy; quantitative easing (search for similar items in EconPapers)
JEL-codes: F42 G15 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2014-06-23, Revised 2014-06-23
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Journal Article: U.S. unconventional monetary policy and transmission to emerging market economies (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:1109
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