Financial Crisis, US Unconventional Monetary Policy and International Spillovers

33 Pages Posted: 26 May 2015

See all articles by Qianying Chen

Qianying Chen

International Monetary Fund (IMF) - Monetary and Capital Markets Department

Andrew J. Filardo

Bank for International Settlements (BIS) - Monetary and Economic Department

Dong He

International Monetary Fund (IMF) - Monetary and Exchange Affairs Department

Feng Zhu

Bank for International Settlements (BIS)

Multiple version iconThere are 2 versions of this paper

Date Written: April 2015

Abstract

We study the impact of the US quantitative easing (QE) on both the emerging and advanced economies, estimating a global vector error-correction model (GVECM) and conducting counterfactual analyses. We focus on the effects of reductions in the US term and corporate spreads. First, US QE measures reducing the US corporate spread appear to be more important than lowering the US term spread. Second, US QE measures might have prevented episodes of prolonged recession and deflation in the advanced economies. Third, the estimated effects on the emerging economies have been diverse but often larger than those recorded in the US and other advanced economies. The heterogeneous effects from US QE measures indicate unevenly distributed benefits and costs.

Keywords: Monetary policy, United States, Unconventional monetary policy instruments, Spillovers, Financial crises, emerging economies, financial crisis, global VAR, international monetary policy spillovers, quantitative easing, federal reserve, securities, treasury securities, monetary fund, market

JEL Classification: E44, E52, E65, F42, F47

Suggested Citation

Chen, Qianying and Filardo, Andrew J. and He, Dong and Zhu, Feng, Financial Crisis, US Unconventional Monetary Policy and International Spillovers (April 2015). IMF Working Paper No. 15/85. Available at SSRN: https://ssrn.com/abstract=2609669

Qianying Chen (Contact Author)

International Monetary Fund (IMF) - Monetary and Capital Markets Department ( email )

United States
1-202-623-6633 (Phone)

Andrew J. Filardo

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

Dong He

International Monetary Fund (IMF) - Monetary and Exchange Affairs Department ( email )

700 19th Street NW
Washington, DC 20431
United States
(202) 623-4062 (Phone)
(202) 589-4062 (Fax)

Feng Zhu

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland
+41 61 280 9158 (Phone)
+41 61 280 9100 (Fax)

HOME PAGE: http://pantheon.yale.edu/~fz9

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