[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/p/bis/biswps/610.html
   My bibliography  Save this paper

Global impact of US and euro area unconventional monetary policies: a comparison

Author

Listed:
  • Qianying Chen
  • Marco Lombardi
  • Alex Ross
  • Feng Zhu
Abstract
The paper analyses and compares the domestic and cross-border effects of US and euro area unconventional monetary policy measures on 24 major advanced and emerging economies, based on an estimated global vector error-correction model (GVECM). Unconventional monetary policies are measured using shadow interest rates developed by Lombardi and Zhu (2014). Monetary policy shocks are identified using sign restrictions. The GVECM impulse responses suggest that US unconventional monetary policy generally has stronger domestic and cross-border impacts than euro area non-standard measures. Its spillovers to other economies are estimated to be more sizeable and persistent, especially in terms of output growth and inflation. There is evidence of diverse responses in the emerging economies in terms of exchange rate pressures, credit growth as well as monetary policy. In addition, the strength of cross-border transmission channels to the emerging economies appears to differ for US and euro area policies.

Suggested Citation

  • Qianying Chen & Marco Lombardi & Alex Ross & Feng Zhu, 2017. "Global impact of US and euro area unconventional monetary policies: a comparison," BIS Working Papers 610, Bank for International Settlements.
    • Handle: RePEc:bis:biswps:610
    as

    Download full text from publisher

    File URL: http://www.bis.org/publ/work610.pdf
    File Function: Full PDF document
    Download Restriction: no
    File URL: http://www.bis.org/publ/work610.htm
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Glick, Reuven & Leduc, Sylvain, 2012. "Central bank announcements of asset purchases and the impact on global financial and commodity markets," Journal of International Money and Finance, Elsevier, vol. 31(8), pages 2078-2101.
    2. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
    3. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(2 (Fall)), pages 215-287.
    4. Filippo di Mauro & L. Vanessa Smith & Stephane Dees & M. Hashem Pesaran, 2007. "Exploring the international linkages of the euro area: a global VAR analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 1-38.
    5. Chen, Qianying & Filardo, Andrew & He, Dong & Zhu, Feng, 2016. "Financial crisis, US unconventional monetary policy and international spillovers," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 62-81.
    6. Michael Binder & Qianying Chen & Xuan Zhang, 2010. "On the Effects of Monetary Policy Shocks on Exchange Rates," CESifo Working Paper Series 3162, CESifo.
    7. Christian Dembiermont & Mathias Drehmann & Siriporn Muksakunratana, 2013. "How much does the private sector really borrow - a new database for total credit to the private non-financial sector," BIS Quarterly Review, Bank for International Settlements, March.
    8. Marcel Fratzscher & Marco Lo Duca & Roland Straub, 2018. "On the International Spillovers of US Quantitative Easing," Economic Journal, Royal Economic Society, vol. 128(608), pages 330-377, February.
    9. Annette Vissing-Jorgensen & Arvind Krishnamurthy, 2011. "The Effects of Quantitative Easing on Long-term Interest Rates," 2011 Meeting Papers 1447, Society for Economic Dynamics.
    10. Marco J. Lombardi & Feng Zhu, 2018. "A Shadow Policy Rate to Calibrate U.S. Monetary Policy at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 14(5), pages 305-346, December.
    11. Jonathan David Ostry & Atish R. Ghosh, 2013. "Obstacles to International Policy Coordination, and How to Overcome Them," IMF Staff Discussion Notes 13/11, International Monetary Fund.
    12. Eickmeier, Sandra & Ng, Tim, 2015. "How do US credit supply shocks propagate internationally? A GVAR approach," European Economic Review, Elsevier, vol. 74(C), pages 128-145.
    13. Jack Meaning & Feng Zhu, 2011. "The impact of recent central bank asset purchase programmes," BIS Quarterly Review, Bank for International Settlements, December.
    14. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2011. "The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases," International Journal of Central Banking, International Journal of Central Banking, vol. 7(1), pages 3-43, March.
    15. Pesaran M.H. & Schuermann T. & Weiner S.M., 2004. "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 129-162, April.
    16. Jens H. E. Christensen & Glenn D. Rudebusch, 2015. "Estimating Shadow-Rate Term Structure Models with Near-Zero Yields," Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 226-259.
    17. Obstfeld, Maurice & Rogoff, Kenneth, 2001. "Global Implications of Self-Oriented National Monetary Rules," Department of Economics, Working Paper Series qt6412m5b7, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    18. John Taylor, 2013. "International Monetary Policy Coordination: Past, Present and Future," Discussion Papers 12-034, Stanford Institute for Economic Policy Research.
    19. Maurice Obstfeld & Kenneth Rogoff, 2002. "Global Implications of Self-Oriented National Monetary Rules," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(2), pages 503-535.
    20. Leo Krippner, 2011. "Modifying Gaussian term structure models when interest rates are near the zero lower bound," CAMA Working Papers 2011-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    21. Scholl, Almuth & Uhlig, Harald, 2008. "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," Journal of International Economics, Elsevier, vol. 76(1), pages 1-13, September.
    22. Ben S. Bernanke & Vincent R. Reinhart, 2004. "Conducting Monetary Policy at Very Low Short-Term Interest Rates," American Economic Review, American Economic Association, vol. 94(2), pages 85-90, May.
    23. Black, Fischer, 1995. "Interest Rates as Options," Journal of Finance, American Finance Association, vol. 50(5), pages 1371-1376, December.
    24. Mr. Jonathan David Ostry & Mr. Atish R. Ghosh, 2013. "Obstacles to International Policy Coordination, and How to Overcome Them," IMF Staff Discussion Notes 2013/011, International Monetary Fund.
    25. Patrick McGuire & Philip Wooldridge, 2005. "The BIS consolidated banking statistics: structure, uses and recent enhancements," BIS Quarterly Review, Bank for International Settlements, September.
    26. Qianying Chen & Andrew Filardo & Dong He & Feng Zhu, 2012. "International spillovers of central bank balance sheet policies," BIS Papers chapters, in: Bank for International Settlements (ed.), Are central bank balance sheets in Asia too large?, volume 66, pages 220-264, Bank for International Settlements.
    27. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 43(2 (Fall)), pages 215-287.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Chen, Qianying & Filardo, Andrew & He, Dong & Zhu, Feng, 2016. "Financial crisis, US unconventional monetary policy and international spillovers," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 62-81.
    2. Bernhard, Severin & Ebner, Till, 2017. "Cross-border spillover effects of unconventional monetary policies on Swiss asset prices," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 109-127.
    3. Georgiadis, Georgios, 2016. "Determinants of global spillovers from US monetary policy," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 41-61.
    4. Margaux MacDonald & Michał Ksawery Popiel, 2020. "Unconventional Monetary Policy in a Small Open Economy," Open Economies Review, Springer, vol. 31(5), pages 1061-1115, November.
    5. Belke, Angar & Gros, Daniel & Osowski, Thomas, 2017. "The effectiveness of the Fed’s quantitative easing policy: New evidence based on international interest rate differentials," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 335-349.
    6. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2020. "International effects of a compression of euro area yield curves," Journal of Banking & Finance, Elsevier, vol. 113(C).
    7. Cenedese, Gino & Elard, Ilaf, 2021. "Unconventional monetary policy and the portfolio choice of international mutual funds," Journal of International Money and Finance, Elsevier, vol. 115(C).
    8. Pagliari, Maria Sole, 2024. "Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies," European Economic Review, Elsevier, vol. 168(C).
    9. Bhattarai, Saroj & Chatterjee, Arpita & Park, Woong Yong, 2021. "Effects of US quantitative easing on emerging market economies," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
    10. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2017. "The impact of monetary policy on corporate bonds under regime shifts," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 176-202.
    11. Tamim Bayoumi & Giovanni Dell'Ariccia & Karl F Habermeier & Tommaso Mancini Griffoli & Fabian Valencia, 2014. "Monetary Policy in the New Normal," IMF Staff Discussion Notes 14/3, International Monetary Fund.
    12. Martien Lamers & Frederik Mergaerts & Elien Meuleman & Rudi Vander Vennet, 2019. "The Tradeoff between Monetary Policy and Bank Stability," International Journal of Central Banking, International Journal of Central Banking, vol. 15(2), pages 1-42, June.
    13. Marco J. Lombardi & Feng Zhu, 2018. "A Shadow Policy Rate to Calibrate U.S. Monetary Policy at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 14(5), pages 305-346, December.
    14. Wang, Ling, 2019. "Measuring the effects of unconventional monetary policy on MBS spreads: A comparative study," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 235-251.
    15. Zhou, Siwen, 2018. "Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound," MPRA Paper 87084, University Library of Munich, Germany.
    16. Mehmet ORHAN & Halil İbrahim ÇELİKEL, 2014. "The Spillover Effects of Fed’s Policies with Emphasis to the Fragile Five," Journal of Economics and Behavioral Studies, AMH International, vol. 6(12), pages 1011-1020.
    17. Claus, Edda & Claus, Iris & Krippner, Leo, 2018. "Asset market responses to conventional and unconventional monetary policy shocks in the United States," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 270-282.
    18. Matteo Falagiarda, 2014. "Evaluating quantitative easing: a DSGE approach," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 7(4), pages 302-327.
    19. Belke, Ansgar, 2018. "The Effectiveness of the Fed?s Quantitative Easing Policy - A Survey of the Econometrics/La efectividad de expansión cuantitativa de la Fed. Una panorámica econométrica," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 36, pages 291-308, Enero.
    20. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.

    More about this item

    Keywords

    unconventional monetary policy; quantitative easing; shadow interest rate; spillover; global vector error correction model (GVECM);
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bis:biswps:610. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Martin Fessler (email available below). General contact details of provider: https://edirc.repec.org/data/bisssch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.