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Spillback effects of US unconventional monetary policy

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  • Yang, Yang
  • Tang, Yanling
  • Cheng, Kai

Abstract

This study examines the spillback effects of US forward guidance (FG) and large-scale asset purchases (LSAPs) policies based on a proxy structural vector autoregression model and structural scenario analysis. We use high-frequency asset price surprises to identify FG and LSAP shocks. We find that both FG and LSAP shocks have significant spillback effects on economic activity and inflation in the US. Geographically, spillbacks of US unconventional monetary policies materialize more for advanced economies than emerging market economies. In addition, we find that spillbacks materialize through the exchange rate channel, the Tobin’s q channel, and the cash flow channel.

Suggested Citation

  • Yang, Yang & Tang, Yanling & Cheng, Kai, 2023. "Spillback effects of US unconventional monetary policy," Finance Research Letters, Elsevier, vol. 53(C).
    • Handle: RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000569
    DOI: 10.1016/j.frl.2023.103682
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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