Unconventional Monetary Policies in Emerging Markets and Frontier Countries

72 Pages Posted: 9 Mar 2021

See all articles by Chiara Fratto

Chiara Fratto

University of Chicago

Brendan Harnoys Vannier

Paris School of Economics (PSE)

Borislava Mircheva

International Monetary Fund (IMF)

David de Padua

International Monetary Fund (IMF)

Hélène Poirson

International Monetary Fund (IMF) - Research Department

Date Written: January 1, 2021

Abstract

The COVID-19 crisis induced an unprecedented launch of unconventional monetary policy through asset purchase programs (APPs) by emerging market and developing economies. This paper presents a new dataset of APP announcements and implementation from March until August 2020 for 27 emerging markets and 8 small advanced economies. APPs' effects on bond yields, exchange rates, equities, and debt spreads are estimated using different methodologies. The results confirm that APPs were successful in significantly reducing bond yields in EMDEs, and these effects were stronger than those of policy rate cuts, suggesting that such UMP could be important tools for EMDEs during financial market stress.

JEL Classification: E52, E58, E65, G15, G10, E43, F31

Suggested Citation

Fratto, Chiara and Harnoys Vannier, Brendan and Mircheva, Borislava and de Padua, David and Poirson Ward, Helene, Unconventional Monetary Policies in Emerging Markets and Frontier Countries (January 1, 2021). IMF Working Paper No. 2021/014, Available at SSRN: https://ssrn.com/abstract=3799606

Chiara Fratto (Contact Author)

University of Chicago

Brendan Harnoys Vannier

Paris School of Economics (PSE) ( email )

48 Boulevard Jourdan
Paris, 75014 75014
France

Borislava Mircheva

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

David De Padua

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Helene Poirson Ward

International Monetary Fund (IMF) - Research Department ( email )

700 19th Street NW
Washington, DC 20431
United States

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