Effects of US quantitative easing on emerging market economies

E§ects of US Quantitative Easing on Emerging Market Economies∗

This paper estimates international spillover e§ects 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. This identified shock is then used in another Bayesian panel VAR for emerging market economies to infer the international spillover e§ec...

Wealth effects in emerging market economies

Article history: Received 24 June 2010 Received in revised form 17 January 2012 Accepted 19 January 2012 Available online 27 January 2012 We build a panel of 14 emerging economies to estimate the magnitude of wealth effects on consumption. Usingmodern econometric techniques and quarterly data,we show that: (i)wealth effects are statistically significant and relatively large inmagnitude; (ii) st...

Does Quantitative Easing Affect Market Liquidity?

The second round of large-scale asset purchases by the Federal Reserve—frequently referred to as QE2—included repeated purchases of Treasury inflation-protected securities (TIPS). To quantify the effect QE2 had on the functioning of the TIPS market and the related market for inflation swaps, we exploit the measure of combined liquidity premiums in TIPS yields and inflation swap rates derived by...

Banking Efficiency in Emerging Market Economies

This working paper is produced for discussion purpose only. These working papers are expected to be published in due course, in revised form, and should not be quoted or cited without the author's written permission. I am grateful without implication to Tiantian Zhang (PhD candidate Cardiff University) and Momna Saeed (SBP) for able research assistance in the production of this paper. 2 1. Intr...

The Macroeconomic Effects of Quantitative Easing