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U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies

  • Bowman, David

    ()

    (Board of Governors of the Federal Reserve System (U.S.))

  • Londono, Juan M.

    ()

    (Board of Governors of the Federal Reserve System (U.S.))

  • Sapriza, Horacio

    ()

    (Board of Governors of the Federal Reserve System (U.S.))

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-specifc characteristics. We find that, although EME asset prices, mainly those of sovereign bonds, responded strongly to unconventional monetary policy announcements, these responses were not outsized with respect to a model that takes into account each country's time-varying vulnerability to U.S. interest rates affected by monetary policy shocks.

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Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 1109.

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Length: 44 pages
Date of creation: 23 Jun 2014
Date of revision:
Handle: RePEc:fip:fedgif:1109
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  1. Fratzscher, Marcel & Lo Duca, Marco & Straub, Roland, 2012. "A global monetary tsunami? On the spillovers of US Quantitative Easing," CEPR Discussion Papers 9195, C.E.P.R. Discussion Papers.
  2. Hausman, Joshua & Wongswan, Jon, 2011. "Global asset prices and FOMC announcements," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 547-571, April.
  3. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2010. "Risk, Uncertainty and Monetary Policy," CEPR Discussion Papers 8154, C.E.P.R. Discussion Papers.
  4. Roberto Rigobon & Brian Sack, 2001. "Measuring the reaction of monetary policy to the stock market," Finance and Economics Discussion Series 2001-14, Board of Governors of the Federal Reserve System (U.S.).
  5. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
  6. Valentina Bruno & Hyun Song Shin, 2012. "Capital Flows and the Risk-Taking Channel of Monetary Policy," BIS Working Papers 400, Bank for International Settlements.
  7. Shaghil Ahmed & Andrei Zlate, 2013. "Capital flows to emerging market economies: a brave new world?," International Finance Discussion Papers 1081, Board of Governors of the Federal Reserve System (U.S.).
  8. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," NBER Working Papers 17555, National Bureau of Economic Research, Inc.
  9. Ben Bernanke & Kenneth N. Kuttner, 2003. "What explains the stock market's reaction to Federal Reserve policy?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  10. Jessica James & Kristjan Kasikov, 2008. "Impact of economic data surprises on exchange rates in the inter-dealer market," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 5-15.
  11. Jonathan H. Wright, 2012. "What does Monetary Policy do to Longā€term Interest Rates at the Zero Lower Bound?," Economic Journal, Royal Economic Society, vol. 122(564), pages F447-F466, November.
  12. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 43(2 (Fall)), pages 215-287.
  13. Michael A. S. Joyce & Ana Lasaosa & Ibrahim Stevens & Matthew Tong, 2011. "The Financial Market Impact of Quantitative Easing in the United Kingdom," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 113-161, September.
  14. De Pooter, Michiel & Robitaille, Patrice & Walker, Ian & Zdinak, Michael, 2014. "Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile and Mexico?," International Finance Discussion Papers 1098, Board of Governors of the Federal Reserve System (U.S.).
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