On the International Spillovers of US Quantitative Easing

Dados 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)
Ano2018
Volume128
Fascículo608
Páginas330-377
Data de publicação2018-02-01
Peer ReviewedSim
Open AccessSim
TipoARTICLE
PeriódicoThe Economic Journal (JOURNAL)
Identificadores do periódicoISSN: 0013-0133 • E-ISSN: 1468-0297
EditoraOxford University Press (OUP) (PUBLISHER)
DOI10.1111/ecoj.12435
OpenAlexW3124546432
IdiomaEN
Citações recebidas10
Referências 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