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

49 Pages Posted: 29 Jun 2014

See all articles by David Bowman

David Bowman

Board of Governors of the Federal Reserve

Juan M. Londono

Federal Reserve Board of Governors

Horacio Sapriza

Board of Governors of the Federal Reserve System

Date Written: June 24, 2014

Abstract

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.

Keywords: unconventional monetary policy, emerging markets, large-scale asset purchase program, quantitative easing, Federal Reserve

JEL Classification: F42, G15, E58

Suggested Citation

Bowman, David H. and Londono-Yarce, Juan-Miguel and Sapriza, Horacio, U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies (June 24, 2014). FRB International Finance Discussion Paper No. 1109. Available at SSRN: https://ssrn.com/abstract=2459530 or http://dx.doi.org/10.2139/ssrn.2459530

David H. Bowman

Board of Governors of the Federal Reserve ( email )

20th St. and Constitution Ave.
Washington, DC 20551
United States
202-452-2334 (Phone)
202-736-5638 (Fax)

Juan-Miguel Londono-Yarce (Contact Author)

Federal Reserve Board of Governors ( email )

20th St. and Constitution Ave.
Washington, DC 20551
United States

Horacio Sapriza

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

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