Unconventional Monetary Policy, (A)Synchronicity and the Yield Curve

Stedman, Karlye Dilts

doi:10.2139/ssrn.3490260

Cited by 3 publications

(2 citation statements)

References 35 publications

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“…In comparison with conventional monetary policies, Curcuru et al. (2018) found that QE did not exert greater international spillovers, although Dilts Stedman (2019) finds larger spillovers from QE. Other studies have also found that other major central banks' QE policies also triggered spillovers; Rogers, Scotti, and Wright (2014) and Chen et al.…”

Section: Why Do Monetary Policy Spillovers Occur?mentioning

confidence: 99%

Explaining Monetary Spillovers: The Matrix Reloaded

Kearns¹,

Schrimpf²,

Xia³

2022

J of Money Credit Banking

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Section: Why Do Monetary Policy Spillovers Occur?mentioning

confidence: 99%

Explaining Monetary Spillovers: The Matrix Reloaded

Kearns¹,

Schrimpf²,

Xia³

2022

J of Money Credit Banking

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“…Kawai (2015) compares the long-term response of emerging-economy stock prices and exchange rates to US and Japanese quantitative easing and suggests the United States has stronger effects. Stedman (2019) uses daily interest rate data to compare the magnitudes of monetary policy spillovers caused by the United States, the eurozone, the United Kingdom, and Japan during the period of quantitative easing and finds large spillovers from the United States into the other central banks and limited spillovers from the eurozone and the United Kingdom into the United States. Curcuru, De Pooter, and Eckerd (2018) conversely find spillovers from the European Central Bank into US interest rates that are similar to the spillovers from the Federal Reserve into European interest rates.…”

Section: Introductionmentioning

confidence: 99%

To What Degree and through Which Channel Do Central Banks Other Than the Federal Reserve Cause Spillovers?

Cotton¹

2023

Federal Reserve Bank of Boston Research Department Working Papers

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Spillovers play a crucial role in driving monetary policy around the world. The literature focuses predominantly on spillovers from the Federal Reserve. Less attention has been paid to spillovers from other central banks. I measure the degree to which 20 central banks cause spillovers. I show that central banks in medium-to high-income countries cause spillovers to medium-to longterm interest rates in similar countries through a bond-pricing channel. These effects are narrower than spillovers from the Federal Reserve, which also affect emerging markets, shortterm interest rates, and other assets. However, they are still pronounced. Fourteen central banks other than the Federal Reserve cause significant spillovers: the central banks of Australia,

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Unconventional monetary policy and international equity capital flows to emerging markets

Andreou

Dimic

Piljak

et al. 2021

Euro Fin Management

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This paper examines the relationship between monetary policies pursued by three major central banks (U.S. Federal Reserve, European Central Bank and Bank of Japan) and net equity capital flows to emerging markets (EMs) by global investment funds. We focus on two aspects of central bank policy: The growth of central bank assets and the surprise element of asset growth. We find, first, positive, economically large and statistically significant spillovers from the U.S. Federal Reserve asset growth to EM equity inflows following the adoption of unconventional monetary policies. Second, U.S. Federal Reserve and (to a lesser extent) European Central Bank asset growth surprises are negatively related to EM capital flows.

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Unconventional Monetary Policy, (A)Synchronicity and the Yield Curve

Cited by 3 publications

References 35 publications

Explaining Monetary Spillovers: The Matrix Reloaded

Explaining Monetary Spillovers: The Matrix Reloaded

To What Degree and through Which Channel Do Central Banks Other Than the Federal Reserve Cause Spillovers?

Unconventional monetary policy and international equity capital flows to emerging markets

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