Financial Crisis, US Unconventional Monetary Policy and International Spillovers
By Qianying Chen, Andrew J. Filardo, D. He, Feng Zhu. Social Science Research Network, 2015
327 citations recorded by the source corpus.
We study the impact of US quantitative easing (QE) on both the emerging and advanced economies, estimating a global vector error correction model (GVECM). We focus on the effects of reductions in the US term and corporate spreads. The estimated effects of QE are sizeable and vary across economies. First, we find the QE impact from reducing the US corporate spread to be more important than that from lowering the US term spread, consistent with Blinder's (2012) argument. Second, counterfactual exercises suggest that US QE measures, especially the cumulative effects of successive QE measures starting with the sizeable impact of the early actions, countered forces that could have led to episodes of prolonged recession and deflation in the advanced economies. Third, the estimated effects on emerging economies are diverse but generally larger than those found for the United States and other advanced economies. The estimates suggest that US monetary policy spillovers contributed to overheating in Brazil, China and some other emerging economies in 2010 and 2011, but supported their respective recoveries in 2009 and 2012. These heterogeneous effects point to unevenly distributed benefits and costs of monetary policy spillovers.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/df36bbf425229b6df598c5bed77ab1dee1872626
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Citations in the corpus
- A Shadow Policy Rate to Calibrate US Monetary Policy at the Zero Lower Bound (2014, unknown): “Nevertheless, Christensen and Rudebusch (2013) employ a three-factor model for the term structure, and show that estimates of the shadow rate are sensitive to model specifications.”
- Spillovers of U.S. unconventional monetary policy to emerging markets: The role of capital flows (2017, methodology): “Of those, Chen et al. (2015) also study spillovers from U.S. UMP on a number of variables in several AEs and EMEs.”
- Financial markets under the global pandemic of COVID-19 (2020, unknown): “The US' policies may introduce further uncertainty into the global markets and create trouble for emerging economies (Chen et al., 2016; Tillmann, 2016) .”