Board of Governors of the Federal Reserve System (U.S.)
International Finance Discussion Papers
U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies
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.
Cite this item
David Bowman & Juan M. Londono & Horacio Sapriza, U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies, Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers 1109, 23 Jun 2014.
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Keywords: Unconventional monetary policy; emerging markets; large-scale asset purchase program; quantitative easing; Federal Reserve
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