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L’impact du découplage des politiques monétaires de la BCE et de la Fed sur la zone euro et les pays émergents

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  • Christophe Blot
  • Paul Hubert
  • Christine Rifflart

Abstract

While the Federal Reserve began a tightening cycle in December 2015, the ECB extended its quantitative easing program. This results in an increasing decoupling of monetary policy between the US and the Eurozone. We illustrate this mechanism by assessing the effect of the difference between Eurozone and US expected interest rate changes and balance sheet sizes on exchange rates and stock prices. The effect of the interest rate is significant while the effect of the balance sheet size is less important. We estimate the spillover effects of monetary policy from the Federal Reserve and the ECB on the exchange rate and stock prices in emerging economies. Our results suggest that the sensitivity of emerging economies to the monetary policies of the Federal Reserve and the ECB is not homogeneous. It also appears that the signal effect of monetary policy may be more important for transmission that the portfolio reallocation effects. JEL classification: E52, E58, F30.

Suggested Citation

  • Christophe Blot & Paul Hubert & Christine Rifflart, 2016. "L’impact du découplage des politiques monétaires de la BCE et de la Fed sur la zone euro et les pays émergents," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(3), pages 223-258.
    • Handle: RePEc:cai:reofsp:reof_147_0223
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    Keywords

    monetary policy; exchange rate; stock prices; emerging countries;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F30 - International Economics - - International Finance - - - General

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