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U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies

David Bowman, Juan M. Londono () and Horacio Sapriza
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David Bowman: https://www.federalreserve.gov/econres/david-bowman.htm

No 1109, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: 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: Unconventional monetary policy; emerging markets; large-scale asset purchase programs; quantitative easing; Federal Reserve (search for similar items in EconPapers)
JEL-codes: E58 F42 G15 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2014-06-23
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Journal Article: U.S. unconventional monetary policy and transmission to emerging market economies (2015) Downloads
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