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Spillovers of U.S. Unconventional Monetary Policy to Emerging Markets: The Role of Capital Flows

Referierte Aufsätze Web of Science

Pablo Anaya, Michael Hachula, Christian J. Offermanns

In: Journal of International Money and Finance 73 (2017), Part B., S. 275-295


We employ a structural global VAR model to analyze whether U.S. unconventional monetary policy shocks, identified through changes in the central bank’s balance sheet, have an impact on financial and economic conditions in emerging market economies (EMEs). Moreover, we study whether international capital flows are an important channel of shock transmission. We find that an expansionary policy shock significantly increases portfolio flows from the U.S. to EMEs for almost two quarters, accompanied by a persistent movement in real and financial variables in recipient countries. Moreover, EMEs on average respond to the shock with an easing of their own monetary policy stance. The findings appear to be independent of heterogeneous country characteristics like the underlying exchange rate arrangement, the quality of institutions, or the degree of financial openness.

Topics: Monetary policy

Keywords: Unconventional monetary policy, International capital flows, Global financial cycle, Global VAR