Open AccessOn the International Spillovers of US Quantitative Easing
Author(s) -
Fratzscher Marcel,
Lo Duca Marco,
Straub Roland
Publication year - 2018
Publication title -
the economic journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 4.683
H-Index - 160
eISSN - 1468-0297
pISSN - 0013-0133
DOI - 10.1111/ecoj.12435
Subject(s) - quantitative easing , portfolio , economics , monetary economics , macro , financial economics , monetary policy , central bank , computer science , programming language
This article analyses the effects of the Federal Reserve's quantitative easing ( QE ) on global portfolio flows, differentiating across recipient region of the flows, type of flow and QE rounds. Furthermore, the analysis differentiates between the impact of QE expansionary announcements and the actual market operations. The analysis shows that QE 1 resulted in (slight) rebalancing towards the US , while QE 2 and QE 3 resulted in rebalancing towards non‐ US assets. This suggests that QE increased the pro‐cyclicality of flows outside the US , in particular into emerging market equities. The results also suggest a link between US macro‐financial conditions and the transmission of QE to portfolio flows.