Financial Crisis, US Unconventional Monetary Policy and International Spillovers

By Qianying Chen, Andrew Filardo, Dong He, Feng Zhu

April 29, 2015

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Format: Chicago

Qianying Chen, Andrew Filardo, Dong He, and Feng Zhu. Financial Crisis, US Unconventional Monetary Policy and International Spillovers, (USA: International Monetary Fund, 2015) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Credit, Financial sector policy and analysis, Foreign exchange, Inflation, Monetary policy, Money, Prices, Spillovers, Unconventional monetary policies

Keywords: Corporate spread, Credit, Currency appreciation, Economy, Emerging economies, Financial crisis, Global, Global VAR, Inflation, International monetary policy spillovers, Monetary policy indicator, Monetary policy spillover, QE measure, QE policy, QE program, Quantitative easing, Spillovers, Spread shock, Term spread, Unconventional monetary policies, Unconventional monetary policy, WP

Publication Details

Pages:

32
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2015/085
Stock No:

WPIEA2015085
ISBN:

9781475520668
ISSN:

1018-5941

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