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Global impact of US and euro area unconventional monetary policies: a comparison

Author

Listed:
  • Qianying Chen
  • Marco Lombardi
  • Alex Ross
  • Feng Zhu

Abstract

The paper analyses and compares the domestic and cross-border effects of US and euro area unconventional monetary policy measures on 24 major advanced and emerging economies, based on an estimated global vector error-correction model (GVECM). Unconventional monetary policies are measured using shadow interest rates developed by Lombardi and Zhu (2014). Monetary policy shocks are identified using sign restrictions. The GVECM impulse responses suggest that US unconventional monetary policy generally has stronger domestic and cross-border impacts than euro area non-standard measures. Its spillovers to other economies are estimated to be more sizeable and persistent, especially in terms of output growth and inflation. There is evidence of diverse responses in the emerging economies in terms of exchange rate pressures, credit growth as well as monetary policy. In addition, the strength of cross-border transmission channels to the emerging economies appears to differ for US and euro area policies.

Suggested Citation

  • Qianying Chen & Marco Lombardi & Alex Ross & Feng Zhu, 2017. "Global impact of US and euro area unconventional monetary policies: a comparison," BIS Working Papers 610, Bank for International Settlements.
  • Handle: RePEc:bis:biswps:610
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Eijffinger, Sylvester C W & Malagon, Jonathan, 2018. "Financial spillovers of international monetary policy: Six hypotheses on the Latin American case, 2010-2016," CEPR Discussion Papers 12678, C.E.P.R. Discussion Papers.
    2. Giovanni Ganelli & Nour Tawk, 2016. "Spillovers from Japan’s Unconventional Monetary Policy to Emerging Asia; a Global VAR approach," IMF Working Papers 16/99, International Monetary Fund.
    3. International Monetary Fund, 2016. "Cross-Country Report on Spillovers; Selected Issues," IMF Staff Country Reports 16/212, International Monetary Fund.
    4. repec:eee:finana:v:52:y:2017:i:c:p:281-291 is not listed on IDEAS
    5. repec:eee:ecosys:v:42:y:2018:i:1:p:91-105 is not listed on IDEAS
    6. Jan Hajek & Roman Horvath, 2017. "International Spillovers of (Un)Conventional Monetary Policy: The Effect of the ECB and US Fed on Non-Euro EU Countries," Working Papers 2017/05, Czech National Bank.
    7. Sona Benecka & Ludmila Fadejeva & Martin Feldkircher, 2018. "Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe," Working Papers 2018/04, Latvijas Banka.
    8. Andrea Colabella, 2019. "Do the ECB’s monetary policies benefit emerging market economies? A GVAR analysis on the crisis and post-crisis period," Temi di discussione (Economic working papers) 1207, Bank of Italy, Economic Research and International Relations Area.
    9. repec:eee:jimfin:v:87:y:2018:i:c:p:112-132 is not listed on IDEAS

    More about this item

    Keywords

    unconventional monetary policy; quantitative easing; shadow interest rate; spillover; global vector error correction model (GVECM);

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