Effects of US Quantitative Easing on Emerging Market Economies
Bhattarai, Saroj; Chatterjee, Arpita; Park, Woong Yong | January 2018
Abstract
We estimate international spillover effects of US Quantitative Easing (QE) on emerging market economies (EMEs). Using a Bayesian VAR on monthly US macroeconomic and financial data, we first identify the US QE shock. The identified US QE shock is then used in a monthly Bayesian panel VAR for EMEs to infer spillover effects on these countries. We find that an expansionary US QE shock has signifcant effects on financial variables in EMEs. It leads to an exchange rate appreciation, a reduction in long-term bond yields, a stock market boom, and an increase in capital inflows to these countries. These effects on nancial variables are stronger for the "Fragile Five" countries compared to other EMEs.
Citation
Bhattarai, Saroj; Chatterjee, Arpita; Park, Woong Yong. 2018. Effects of US Quantitative Easing on Emerging Market Economies. © Asian Development Bank Institute. http://hdl.handle.net/11540/7902.Keywords
Social condition
Economic dependence
Economic assistance
International monetary relations
International monetary relations
International trade
National accounting
Market
Project impact
Development projects
Program management
Performance appraisal
Project appraisal
Technology assessment
Macroeconomic
Macroeconomic Analysis
Macroeconomic Framework
Macroeconomic Models
Macroeconomic Performance
Macroeconomic Planning
Macroeconomic Policies
Macroeconomic Reform
Macroeconomic Stabilization
Results-Based Monitoring And Evaluation
Project Evaluation & Review Technique
Project Evaluation
Program Evaluation
Performance Evaluation
Operations Evaluation
Evaluation Methods
Evaluation
Exchange
Comparative economics
Index number
Monetary policy
Value analysis
Adjustment cost
Transaction cost
Conditionality
International relations
Cumulative effects assessment
Grievance procedures
Participatory monitoring and evaluation
Exchange rate
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