Global liquidity effect of quantitative easing on emerging markets

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

Empirical Economics, cilt.67, sa.6, ss.2449-2461, 2024 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 67 Sayı: 6
  • Basım Tarihi: 2024
  • Doi Numarası: 10.1007/s00181-024-02625-9
  • Dergi Adı: Empirical Economics
  • Derginin Tarandığı İndeksler: 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
  • Sayfa Sayıları: ss.2449-2461
  • Anahtar Kelimeler: Emerging markets, Global liquidity effect, Quantitative easing, Unconventional monetary policy
  • İstanbul Ticaret Üniversitesi Adresli: Evet

Özet

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.