Global liquidity effect of quantitative easing on emerging markets
Empirical Economics, cilt.67, sa.6, ss.2449-2461, 2024 (SSCI, Scopus)
- 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.