Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/190224 
Year of Publication: 
2018
Series/Report no.: 
ADBI Working Paper No. 803
Publisher: 
Asian Development Bank Institute (ADBI), Tokyo
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 significant 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 financial variables are stronger for the "Fragile Five" countries compared to other EMEs.
Subjects: 
US quantitative easing
spillovers
emerging market economies
Bayesian VAR
panel VAR
fragile five countries
JEL: 
C31
E44
E52
E58
F32
F41
F42
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper

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