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U.S. unconventional monetary policy and transmission to emerging market economies

Author

Listed:
  • Bowman, David
  • Londono, Juan M.
  • Sapriza, Horacio

Abstract

We investigate the effects of U.S. unconventional monetary policies on sovereign yields, foreign exchange rates, and stock prices in emerging market economies (EMEs), and we analyze how these effects depend on country-specific characteristics. We find that, although EME asset prices, mainly those of sovereign bonds, responded strongly to U.S. unconventional monetary policy announcements, these responses were not outsized with respect to a model that takes into account each country's currency regime and vulnerability to U.S. financial conditions.

Suggested Citation

  • Bowman, David & Londono, Juan M. & Sapriza, Horacio, 2015. "U.S. unconventional monetary policy and transmission to emerging market economies," Journal of International Money and Finance, Elsevier, vol. 55(C), pages 27-59.
    • Handle: RePEc:eee:jimfin:v:55:y:2015:i:c:p:27-59
    DOI: 10.1016/j.jimonfin.2015.02.016
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    More about this item

    Keywords

    Unconventional monetary policy; Emerging markets; Large-scale asset purchase program; Quantitative easing; Federal Reserve;
    All these keywords.

    JEL classification:

    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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