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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
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:red:sed018:861

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