International Spillovers of Central Bank Balance Sheet Policies

By Qianying Chen, Andrew J. Filardo, D. He, Feng Zhu. 2012

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Determinants of Global Spillovers from US Monetary Policy (2015, methodology): “(2010) and Chen et al. (2012). The former examine the global effects of US monetary policy based on a multi-country New Keynesian dynamic stochastic general equilibrium model that they solve using the GVAR approach.”
Unconventional monetary policy and the spillovers to emerging markets (2016, methodology): “Chen et al. (2012) study the financial market impact of QE announcements and also use a global vector error-correction model with the term US spread as the policy variable.”
Effects of US quantitative easing on emerging market economies (2015, unknown): “2008m12010m12012m12014m1 Date Figure 1: Selected US macro and financial data Notes: The vertical lines indicate dates of the major events: [1] September 2008 when Lehman Brothers filed for bankruptcy; [2]-[4] Nov 2008, Dec 2008, and March 2009 which are QE1 dates; [5] November 2010 which is QE2 date”
A Shadow Policy Rate to Calibrate US Monetary Policy at the Zero Lower Bound (2014, unknown): “Christensen and Rudebusch (2015), for example, show that estimates of the shadow rate are very sensitive to model specifications.8 Krippner (2015) also investigates the robustness of shadow rates with respect to the number of factors, showing that a two-factor structure should be preferred over the ”