全球智库信息集成服务系统(G2TT): DP9195 A global monetary tsunami? On the spillovers of US Quantitative Easing

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP9195
	DP9195 A global monetary tsunami? On the spillovers of US Quantitative Easing
	Marcel Fratzscher; Roland Straub; Marco Lo Duca
发表日期	2012-10-28
出版年	2012
语种	英语
摘要	The paper analyses the global spillovers of the Federal Reserve?s unconventional monetary policy measures since 2007. First, we find that Fed measures in the early phase of the crisis (QE1), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets in the US and globally across 65 countries. Yet Fed policies functioned in a pro-cyclical manner for capital flows to EMEs and a counter-cyclical way for the US, triggering a portfolio rebalancing across countries out of emerging markets (EMEs) into US equity and bond funds under QE1, and in the opposite direction under QE2. Second, the impact of Fed operations, such as Treasury and MBS purchases, on portfolio allocations and asset prices dwarfed those of Fed announcements, underlining the importance of the market repair and liquidity functions of Fed policies. Third, we find no evidence that FX or capital account policies helped countries shield themselves from these US policy spillovers, but rather that responses to Fed policies are related to country risk. The results thus illustrate how US monetary policy since 2007 has contributed to portfolio reallocation as well as a re-pricing of risk in global financial markets.
主题	International Macroeconomics
关键词	Capital flows Emerging markets Federal Reserve monetary policy Panel data Portfolio choice Quantitative easing Spillovers United states
URL	https://cepr.org/publications/dp9195
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/538029
推荐引用方式 GB/T 7714	Marcel Fratzscher,Roland Straub,Marco Lo Duca. DP9195 A global monetary tsunami? On the spillovers of US Quantitative Easing. 2012.