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Swing in the Fed’s balance sheet policy and spillover effects on emerging Asian countries

Boboy Yves Togba () and Seong-Min Yoon ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the effects of the Fed’s balance sheet policy at the zero lower bound on the macroeconomic and financial variables of emerging Asian countries. Based on a heterogeneous structural panel VAR model using monthly data from eight emerging Asian countries, we find evidence of cross-border spillover effects on long-term bond yields, GDP, prices, stock market index, local currency, and real credit. However, the quantile responses show that there is substantial heterogeneity among countries’ responses to Fed shocks. Accordingly, these effects vary across countries and horizons depending on their macroeconomic fundamentals, financial openness, and intensity of macroprudential regulations.

Keywords: Quantitative easing; Unconventional monetary policy; International transmission mechanism, Structural panel VAR model; Quantile response. (search for similar items in EconPapers)
JEL-codes: C31 C32 E44 E58 F41 (search for similar items in EconPapers)
Date: 2018-05-14
New Economics Papers: this item is included in nep-cba, nep-mac and nep-sea
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