Spillback effects of US unconventional monetary policy

被引：0
|
作者：
Yang, Yang [1 ]
Tang, Yanling [1 ]
Cheng, Kai [2 ]
机构：
[1] Zhongnan Univ Econ & Law, Sch Finance, Wuhan, Peoples R China
[2] Hubei Univ Econ, Sch Finance, Wuhan, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 53卷
基金：
中国国家自然科学基金;
关键词：
Spillback; Proxy SVAR; Unconventional monetary policy; Structural scenario analysis; CYCLE;
D O I：
10.1016/j.frl.2023.103682
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study examines the spillback effects of US forward guidance (FG) and large-scale asset purchases (LSAPs) policies based on a proxy structural vector autoregression model and structural scenario analysis. We use high-frequency asset price surprises to identify FG and LSAP shocks. We find that both FG and LSAP shocks have significant spillback effects on economic activity and inflation in the US. Geographically, spillbacks of US unconventional monetary policies materialize more for advanced economies than emerging market economies. In addition, we find that spillbacks materialize through the exchange rate channel, the Tobin's q channel, and the cash flow channel.
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页数：7
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