Swing in the Fed’s balance sheet policy and spillover effects on emerging Asian countries

Yves, Togba Boboy and Yoon, Seong-Min (2018): Swing in the Fed’s balance sheet policy and spillover effects on emerging Asian countries.

Abstract

This paper investigates the effects of the Fed’s balance sheet policy at the zero lower bound on the macroeconomic and financial variables of emerging Asian countries. Based on a heterogeneous structural panel VAR model using monthly data from eight emerging Asian countries, we find evidence of cross-border spillover effects on long-term bond yields, GDP, prices, stock market index, local currency, and real credit. However, the quantile responses show that there is substantial heterogeneity among countries’ responses to Fed shocks. Accordingly, these effects vary across countries and horizons depending on their macroeconomic fundamentals, financial openness, and intensity of macroprudential regulations.

• Item Type: MPRA Paper
• Language: English
• Keywords: Quantitative easing; Unconventional monetary policy; International transmission mechanism, Structural panel VAR model; Quantile response.
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C31 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions ; Social Interaction Models; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics

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