Global liquidity effect of quantitative easing on emerging markets

Balcilar M., USMAN O., Wohar M., Roubaud D., Gungor H.

Empirical Economics, vol.67, no.6, pp.2449-2461, 2024 (SSCI, Scopus) identifier

  • Nəşrin Növü: Article / Article
  • Cild: 67 Say: 6
  • Nəşr tarixi: 2024
  • Doi nömrəsi: 10.1007/s00181-024-02625-9
  • jurnalın adı: Empirical Economics
  • Jurnalın baxıldığı indekslər: Social Sciences Citation Index (SSCI), Scopus, IBZ Online, International Bibliography of Social Sciences, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, Geobase, Public Affairs Index
  • Səhifə sayı: pp.2449-2461
  • Açar sözlər: Emerging markets, Global liquidity effect, Quantitative easing, Unconventional monetary policy
  • Açıq Arxiv Kolleksiyası: Məqalə
  • Adres: Bəli

Qısa məlumat

Using a panel quantile vector autoregression model, we investigate the global liquidity effect of quantitative easing (QE) in the US on emerging markets (EMs) over the period 2010:Q1 to 2019:Q3. Our empirical result suggests that tapering of QE in the US triggers a large capital outflow from the EMs. In addition, we find a significant asymmetric effect of QE on portfolio investment flows to EMs with a stronger effect in the higher quantiles. The implication of these findings is that tapering the large-scale asset purchases and other instruments of unconventional monetary policy have a larger effect on EMs.