Economics at your fingertips  

Measuring the Effects of US Unconventional Monetary Policy on International Financial Markets

Francisco Ilabaca

No 861, 2018 Meeting Papers from Society for Economic Dynamics

Abstract: I replicate the analysis of Swanson 2017 to separately identify the effects of U.S. forward guidance and large-scale asset purchases during the US zero lower bound period. I then estimate the effects of these two unconventional monetary policy tools on bond yields, stock indices, and exchange rates for the UK, Canada, Australia, Japan, and Germany. I find that these two factors have substantial effects on international bond yields, but these effects vary across countries and across maturities. I find small effects on exchange rates, and no effect on stock indices. I compute a spillover rate for each factor to facilitate cross country analysis. I extend this analysis to a larger panel of countries, and find similar results. I conclude that there are significant spillover effects on international bond yields from US monetary policy across countries and maturities.

Date: 2018
New Economics Papers: this item is included in nep-cba, nep-ifn and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in 2018 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().

Page updated 2024-06-08
Handle: RePEc:red:sed018:861