Tinker, Taper, QE, Bye? The Effect of Quantitative Easing on Financial Flows to Developing Countries

Lim, Jamus Jerome; Mohapatra, Sanket; Stocker, Marc

doi:10.1596/1813-9450-6820

Cited by 94 publications

(80 citation statements)

References 71 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Our approach is di¤erent with respect to identi…cation and the way we pool cross-sectional responses by the emerging market countries. Given our results on international capital ‡ows, our work is also related to Dahlhaus and Vasishtha (2014) and Lim et al (2014), who analyze the e¤ects of the US unconventional monetary policy on capital ‡ows to developing/emerging market economies.…”

Section: Introductionmentioning

confidence: 79%

“…Thus, the interpretation would be similar to the one in the purchase e¤ects of QE literature. 33 Finally, there is also a di¤erence between the identi…ed and the reduced-form shock, illustrating the role played by our identifying restrictions. Even after removing the predictable responses of the securities held outright to the lagged state of the US economy, there is an additional role played by explicit identi…cation assumptions that isolate the unconventional monetary policy reaction function of the Federal Reserve.…”

Section: Domestic E¤ects Of Us Qe Shockmentioning

confidence: 93%

See 1 more Smart Citation

Effects of US Quantitative Easing on Emerging Market Economies

Bhattarai¹,

Chatterje²,

Park³

2015

gwp

View full text Add to dashboard Cite

We estimate international spillover effects of US Quantitative Easing (QE) on emerging market economies. Using a Bayesian VAR on monthly US macroeconomic and financial data, we first identify the US QE shock with non-recursive identifying restrictions. We estimate strong and robust macroeconomic and financial impacts of the US QE shock on US output, consumer prices, long-term yields, and asset prices. The identified US QE shock is then used in a monthly Bayesian panel VAR for emerging market economies to infer the spillover effects on these countries. We find that an expansionary US QE shock has significant effects on financial variables in emerging market economies. It leads to an exchange rate appreciation, a reduction in long-term bond yields, a stock market boom, and an increase in capital inflows to these countries. These effects on financial variables are stronger for the "Fragile Five" countries compared to other emerging market economies. We however do not find significant effects of the US QE shock on output and consumer prices of emerging markets.JEL codes: C31, E44, E52, E58, F32, F41, F42

show abstract

Section: Introductionmentioning

confidence: 79%

Section: Domestic E¤ects Of Us Qe Shockmentioning

confidence: 93%

Effects of US Quantitative Easing on Emerging Market Economies

Bhattarai¹,

Chatterje²,

Park³

2015

gwp

View full text Add to dashboard Cite

show abstract

“…11 The list of emerging economies is identical to that in Park, Ramayandi, and Shin (2016) that also follows Eichengreen and Gupta (2015) and Lim, Mohapatra, and Stocker (2014). Table 1 shows summary statistics of the variables used in the regressions below.…”

Section: Empirical Findingsmentioning

confidence: 99%

A Contagion Through Exposure to Foreign Banks During the Global Financial Crisis

Park

Shin²

2017

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…These asset purchase programs are the main components of the so-called unconventional monetary policy adopted by the US Federal Reserve, when compared to traditional "interest-rate" policies. While the positive effect of this unconventional monetary policy on the recovery of the post-GFC US economy is generally agreed upon, a major point of debate and, to a certain extent, concern are its cross-border spillover effects on the rest of the world, and especially emerging market economies (Chen, Mancini-Griffoli, and Sahay 2014;Lim, Mohapatra, and Stocker 2014;Bowman, Londono, and Sapriza 2015;Morais, Paydro, and Ruiz 2015).…”

Section: Introductionmentioning

confidence: 99%

Spillovers of the United States’ Unconventional Monetary Policy to Emerging Asia: The Bank Lending Channel

2017

Emerging Markets Finance and Trade

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Asian Development Bank InstituteThe Working Paper series is a continuation of the formerly named Discussion Paper series; the numbering of the papers continued without interruption or change. ADBI's working papers reflect initial ideas on a topic and are posted online for discussion. ADBI encourages readers to post their comments on the main page for each working paper (given in the citation below). Some working papers may develop into other forms of publication. The views expressed in this paper are the views of the author and do not necessarily reflect the views or policies of ADBI, ADB, its Board of Directors, or the governments they represent. ADBI does not guarantee the accuracy of the data included in this paper and accepts no responsibility for any consequences of their use. Terminology used may not necessarily be consistent with ADB official terms.Working papers are subject to formal revision and correction before they are finalized and considered published.Asian Development Bank Institute Kasumigaseki Building, 8th Floor 3-2-5 Kasumigaseki, Chiyoda-ku Tokyo 100-6008, JapanTel:+81-3-3593-5500 Fax:+81-3-3593-5571 URL:www.adbi.org E-mail: info@adbi.org © 2016 Asian Development Bank Institute ADBI Working Paper 619 Xu and La AbstractThis paper assesses the spillover effects of the United States' unconventional monetary policy (i.e., quantitative easing programs adopted during 2008-2014) on the Asian credit market. With a focus on cross-border bank lending, we employed firm-level loan data with regard to the syndicated loan market and measured the international bank lending channel through changes in United States dollar-denominated loans extended to Asian borrowers. We found that the growth of dollar credit in Asia increased substantially in response to quantitative easing in the United States financial market. The results of this study confirm the existence of the bank lending channel in Asia and emphasize the role of credit flows in transmitting financial conditions. The paper also provides new evidence of cross-border liquidity spillover in the syndicated loan market. We found that the overall spillover effect was large but differed significantly in Asia by types of borrowing firms, financing purposes, and loan terms at different stages of the quantitative easing programs. The paper concludes with a discussion of relevant policy implications for the region.

show abstract

Tinker, Taper, QE, Bye? The Effect of Quantitative Easing on Financial Flows to Developing Countries

Cited by 94 publications

References 71 publications

Effects of US Quantitative Easing on Emerging Market Economies

Effects of US Quantitative Easing on Emerging Market Economies

A Contagion Through Exposure to Foreign Banks During the Global Financial Crisis

Spillovers of the United States’ Unconventional Monetary Policy to Emerging Asia: The Bank Lending Channel

Contact Info

Product

Resources

About