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    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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    Citable URI
    http://hdl.handle.net/11540/7902
    Metadata
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    Author
    Bhattarai, Saroj
    Chatterjee, Arpita
    Park, Woong Yong
    Theme
    Economics
    Evaluation
     
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise