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International Capital Market Frictions And Spillovers From Quantitative Easing

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  • Margaux MacDonald

    (Queen's University)

Abstract

This paper analyzes the impact of large-scale, unconventional asset purchases by advanced country central banks on emerging market economies (EMEs) from 2008 to 2014. I show that there was substantial heterogeneity in the way these purchases affected EME currency, equity, and long-term sovereign bond markets. Drawing on the gravity-in-international-finance literature, I show that the degree of capital market frictions between EMEs and advanced countries is significant in explaining the observed heterogeneity in how these asset prices were affected. This result is robust to considerations of domestic monetary policy, exchange rate regime, and capital control policies in EMEs. Furthermore, I show that the size and direction of asset price movements in EMEs depended both on the type of assets purchased and on whether it was the U.S. Federal Reserve or other advanced country central banks engaging in the purchases.

Suggested Citation

  • Margaux MacDonald, 2016. "International Capital Market Frictions And Spillovers From Quantitative Easing," Working Paper 1346, Economics Department, Queen's University.
  • Handle: RePEc:qed:wpaper:1346
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    10. Nakabayashi, Masaki, 2017. "Contained crisis and socialized risk," Research in International Business and Finance, Elsevier, vol. 40(C), pages 231-241.
    11. Gan‐Ochir Doojav & Davaasukh Damdinjav, 2023. "The macroeconomic effects of unconventional monetary policies in a commodity‐exporting economy: Evidence from Mongolia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4627-4654, October.
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    14. Stephanos Papadamou & Nikolaos A. Kyriazis & Panayiotis G. Tzeremes, 2019. "Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices," JRFM, MDPI, vol. 12(2), pages 1-20, April.
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    16. Malliaropulos, Dimitris & Migiakis, Petros, 2023. "A global monetary policy factor in sovereign bond yields," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 445-465.
    17. Kuan-Chieh Chen, 2022. "The Spillover Effects of US Unconventional Monetary Policy on the Taiwanese Economy," International Journal of Economics and Financial Issues, Econjournals, vol. 12(2), pages 104-109, March.
    18. Sameer Khatiwada, 2017. "Quantitative Easing by the Fed and International Capital Flows," IHEID Working Papers 02-2017, Economics Section, The Graduate Institute of International Studies.
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    20. Vo, Hong & Nguyen, Tien, 2023. "Foreign economic policy uncertainties and corporate investments: Insights from Hong Kong," Economics Letters, Elsevier, vol. 233(C).
    21. Zekeriya Yildirim & Mehmet Ivrendi, 2021. "Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-38, December.
    22. Chikashi Tsuji, 2017. "Does the CBOE Volatility Index Predict Downside Risk at the Tokyo Stock Exchange?," International Business Research, Canadian Center of Science and Education, vol. 10(3), pages 1-7, March.
    23. Dimitris Malliaropulos & Petros Migiakis, 2018. "Quantitative easing and sovereign bond yields: a global perspective," Working Papers 253, Bank of Greece.

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    More about this item

    Keywords

    emerging markets; unconventional monetary policy; spillovers; capital market frictions;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • F3 - International Economics - - International Finance

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