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

Posted: 9 Jul 2021 Last revised: 23 Aug 2021

See all articles by David Bowman

David Bowman

Board of Governors of the Federal Reserve System

Juan M. Londono

Board of Governors of the Federal Reserve System

Horacio Sapriza

affiliation not provided to SSRN

Date Written: June, 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.

JEL Classification: E58, F42, G15

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, 2014). International Finance Discussion Paper No. 1109, Available at SSRN: https://ssrn.com/abstract=3879293

David H. Bowman (Contact Author)

Board of Governors of the Federal Reserve System ( email )

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Juan-Miguel Londono-Yarce

Board of Governors of the Federal Reserve System ( email )

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

Horacio Sapriza

affiliation not provided to SSRN

No Address Available

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