On the International Spillovers of US Quantitative Easing

48 Pages Posted: 8 Feb 2018

See all articles by Marcel Fratzscher

Marcel Fratzscher

DIW Berlin; Centre for Economic Policy Research (CEPR)

Marco Lo Duca

European Central Bank (ECB)

Roland Straub

European Central Bank (ECB)

Multiple version iconThere are 3 versions of this paper

Date Written: February 2018

Abstract

This article analyses the effects of the Federal Reserve's quantitative easing (QE) on global portfolio flows, differentiating across recipient region of the flows, type of flow and QE rounds. Furthermore, the analysis differentiates between the impact of QE expansionary announcements and the actual market operations. The analysis shows that QE1 resulted in (slight) rebalancing towards the US, while QE2 and QE3 resulted in rebalancing towards non‐US assets. This suggests that QE increased the pro‐cyclicality of flows outside the US, in particular into emerging market equities. The results also suggest a link between US macro‐financial conditions and the transmission of QE to portfolio flows.

Suggested Citation

Fratzscher, Marcel and Lo Duca, Marco and Straub, Roland, On the International Spillovers of US Quantitative Easing (February 2018). The Economic Journal, Vol. 128, Issue 608, pp. 330-377, 2018. Available at SSRN: https://ssrn.com/abstract=3119335 or http://dx.doi.org/10.1111/ecoj.12435

Marcel Fratzscher (Contact Author)

DIW Berlin ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Marco Lo Duca

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Roland Straub

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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