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Financial Crisis, US Unconventional Monetary Policy and International Spillovers / Qianying Chen, Andrew Filardo, Dong He, Feng Zhu.
- Format:
- Book
- Government document
- Author/Creator:
- Chen, Qianying.
- Series:
- IMF Working Papers; Working Paper ; No. 2015/085
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Capital movements--Econometric models.
- Financial crises--Econometric models.
- Monetary policy--United States--Econometric models.
- Local Subjects:
- Capital movements--Econometric models.
- Financial crises--Econometric models.
- Monetary policy--United States--Econometric models.
- Physical Description:
- 1 online resource (60 p.)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2015.
- Language Note:
- English
- Summary:
- We study the impact of the US quantitative easing (QE) on both the emerging and advanced economies, estimating a global vector error-correction model (GVECM) and conducting counterfactual analyses. We focus on the effects of reductions in the US term and corporate spreads. First, US QE measures reducing the US corporate spread appear to be more important than lowering the US term spread. Second, US QE measures might have prevented episodes of prolonged recession and deflation in the advanced economies. Third, the estimated effects on the emerging economies have been diverse but often larger than those recorded in the US and other advanced economies. The heterogeneous effects from US QE measures indicate unevenly distributed benefits and costs.
- Contents:
- Cover Page; Title Page; Copyright Page; Contents; Appendices; Figures; Table; I. Introduction; 1. The Federal Reserve's Large-Scale Asset Purchase (LSAP) Programs; II. Estimating the Effects of US Unconventional Policies; A. GVECM Analysis: Model and Variables; B. GVECM Analysis: Impulse Responses; 1. Impulse Responses to US Term and Corporate Spread Shocks: United States; C. Cross-Border Monetary Policy Spillovers; 2. Maximum Impulse Responses to a US Corporate Spread Shock; 3. Distribution of Maximum Impulse Responses to US Term and Corporate Spread Shocks
- III. GVECM-based counterfactual analysis4. Counterfactual Analysis of Domestic US QE Impact: US Corporate Spread; A. Spillovers From Reductions in the US Corporate Spread; 5. Counterfactual Analysis of Euro Area Impact: US Corporate Spread; 6. Counterfactual Analysis of Impact in Brazil: US Corporate Spread; 7. Counterfactual Analysis of Impact in China: US Corporate Spread; IV. Conclusion; I: Structure of the GVECM Model; II: Foreign Exchange Pressure Index; III: Time-Varying Weights for Foreign Variables; IV: Data; References; Footnotes
- Notes:
- Description based upon print version of record.
- Description based on print version record.
- ISBN:
- 9781484340776
- 1484340779
- 9781484340714
- 148434071X
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