Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162669
Authors: 
Apostolou, Apostolos
Beirne, John
Year of Publication: 
2017
Series/Report no.: 
ECB Working Paper 2044
Abstract: 
This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED) and European Central Bank (ECB) to emerging market economies (EMEs) from 2003 to 2014. We find that EME bond markets are most susceptible to positive volatility spillovers from both the FED and ECB in terms of magnitude. Positive volatility spillovers to EME currency markets are higher in the case of FED balance sheet expansions than those of the ECB by a factor of about ten. By contrast, we find that EME stock markets are subject to negative volatility spillovers. Moreover, we find only limited evidence of volatility transmission to the real economy of EMEs following the monetary policy actions of the FED and ECB. Finally, we show that the proportion of the volatility in EMEs that is accounted for by changes in FED and ECB balance sheets shifts over time.
Subjects: 
unconventional monetary policy
central bank balance sheets
volatility spillovers
financial markets
JEL: 
F3
F4
F16
G1
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2766-6
Document Type: 
Working Paper

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