Spillover Effects of U.S. Quantitative Easing: Evidence From Global Bond Markets

• 作者: Baiding Hu Christopher Gan Haiming Yu
• 来源期刊: 美中公共管理:英文版
• 学科: 经济
• 关键词: QUANTITATIVE easing(QE) MONETARY policy SHOCKS SPILLOVER effect
• 年，卷（期）: 2020,（1）
• 页码范围: 1-9
• 页数: 9页
• 分类号: F41

摘要

This study empirically examines the U.S.quantitative easing(QE)spillover effects on the global bond markets.With a novel measurement of the U.S.latest unconventional monetary shocks,we find that the U.S.QE policy shocks significantly lower the bond yields in developed markets during the entire U.S.QE phase.However,our results also suggest that not all U.S.monetary policy shocks at this period have the pronounced spillover effects on the global bond market.Moreover,the different responses between the advanced and emerging markets also suggest the potential direction of the global portfolio rebalancing activities,as well as the capital flows in global bond markets.