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Spillover Effects of Quantitative Easing

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  • Mayuri Mukherjee
  • Saumitra N. Bhaduri

Abstract

This study looks at the spillovers that the unilateral policies—adopted by the developed nations of the world—have on the emerging markets. For this study, we specifically take the example of quantitative easing (QE) which is a monetary policy adopted by USA post the 2008 financial crisis to stabilise its economy. The objective is to gauge and assess the nature of spillover effects it has on the BRICS markets. We collect data on weekly returns and weekly return volatilities through a VAR model that is fitted on it. We compute the Diebold spillover index (2009) from the process of variance error decomposition. The results indicate that QE has an adverse spillover effect on the volatilities of the BRICS nations.

Suggested Citation

  • Mayuri Mukherjee & Saumitra N. Bhaduri, 2015. "Spillover Effects of Quantitative Easing," Review of Market Integration, India Development Foundation, vol. 7(2), pages 117-132, August.
    • Handle: RePEc:sae:revmar:v:7:y:2015:i:2:p:117-132
    DOI: 10.1177/0974929216631382
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    References listed on IDEAS

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    1. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
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    3. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2013. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Review of International Economics, Wiley Blackwell, vol. 21(5), pages 1060-1075, November.
    4. Yanan Li & David E. Giles, 2015. "Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 20(2), pages 155-177, March.
    5. Helen Higgs & Andrew Worthington, 2004. "Transmission of returns and volatility in art markets: a multivariate GARCH analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 217-222.
    6. Andrew Worthington & Helen Higgs, 2004. "Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 71-80.
    7. Rattaphon Wuthisatian, 2014. "Cointegration of Stock Markets," Review of Market Integration, India Development Foundation, vol. 6(3), pages 297-320, December.
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    Cited by:

    1. Justinas Lubys & Pradiptarathi Panda, 2021. "US and EU unconventional monetary policy spillover on BRICS financial markets: an event study," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(2), pages 353-371, May.

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