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Spillover Effects of Quantitative Easing

Author

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  • Mayuri Mukherjee
  • Saumitra N. Bhaduri
Abstract
This study looks at the spillovers that the unilateral policies—adopted by the developed nations of the world—have on the emerging markets. For this study, we specifically take the example of quantitative easing (QE) which is a monetary policy adopted by USA post the 2008 financial crisis to stabilise its economy. The objective is to gauge and assess the nature of spillover effects it has on the BRICS markets. We collect data on weekly returns and weekly return volatilities through a VAR model that is fitted on it. We compute the Diebold spillover index (2009) from the process of variance error decomposition. The results indicate that QE has an adverse spillover effect on the volatilities of the BRICS nations.

Suggested Citation

  • Mayuri Mukherjee & Saumitra N. Bhaduri, 2015. "Spillover Effects of Quantitative Easing," Review of Market Integration, India Development Foundation, vol. 7(2), pages 117-132, August.
    • Handle: RePEc:sae:revmar:v:7:y:2015:i:2:p:117-132
    DOI: 10.1177/0974929216631382
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    References listed on IDEAS

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    4. Yanan Li & David E. Giles, 2015. "Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 20(2), pages 155-177, March.
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    Cited by:

    1. Justinas Lubys & Pradiptarathi Panda, 2021. "US and EU unconventional monetary policy spillover on BRICS financial markets: an event study," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(2), pages 353-371, May.

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