On the International Spillovers of US Quantitative Easing

Datos Bibliográficos

ID9708656
AutoresMarcel Fratzscher (0000-0001-6592-6646, DIW Berlin, Humboldt-University Berlin and CEPR), Marco Lo Duca (European Central Bank), Roland Straub (European Central Bank)
Año2018
Volumen128
Número608
Páginas330-377
Fecha de publicación2018-02-01
Peer ReviewedSí
Open AccessSí
TipoARTICLE
RevistaThe Economic Journal (JOURNAL)
Identificadores de la revistaISSN: 0013-0133 • E-ISSN: 1468-0297
EditorialOxford University Press (OUP) (PUBLISHER)
DOI10.1111/ecoj.12435
OpenAlexW3124546432
IdiomaEN
Citas recibidas10
Referencias citadas29

This article analyses the effects of the Federal Reserve’s quantitative easing (QE) on global portfolio flows, differentiating across recipient region of the flows, type of flow and QE rounds. Furthermore, the analysis differentiates between the impact of QE expansionary announcements and the actual market operations. The analysis shows that QE1 resulted in (slight) rebalancing towards the US, while QE2 and QE3 resulted in rebalancing towards non‐US assets. This suggests that QE increased the pro‐cyclicality of flows outside the US, in particular into emerging market equities. The results also suggest a link between US macro‐financial conditions and the transmission of QE to portfolio flows

Central bank · Economics · Financial economics · Macro · Monetary economics · Monetary policy · Portfolio · Quantitative easing · Computer Science · Global Financial Crisis and Policies · Market Dynamics and Volatility · Monetary Policy and Economic Impact