This paper studies the spillover effects of US quantitative easing on emerging market economies. I estimate the spillover effects using Bayesian VAR models for the US economy and a set of emerging market economies. A 1% increase in the Federal Reserves securities held outright has positive and...

This paper investigates the relationship between monetary policy surprises and housing price in Canada. Using a credible approach to identify structural monetary policy shocks in Canada and a comprehensive Bayesian VAR model to analyze their effects on financial and macroeconomic variables, we...

We study whether regulation that relies on historical cost accounting (HCA) rather than mark-to-market accounting (MMA) to insulate banks’ net worth from financial market volatility affects the transmission of quantitative easing (QE) through the bank lending channel. Using detailed...

Long-term yields can be broken down into two components: a risk-neutral rate and a term premium. While the transmission of Quantitative Easing (QE) through the risk-neutral rate is attributed to the well-known signaling effect, changes in the term premium are usually associated to the so-called...

Emerging economies are fighting COVID-19 and the economic sudden stop imposed by lockdown policies. Even before COVID-19 took root in emerging economies, however, investors had already started to flee these markets–to a much greater extent than they had at the onset of the 2008 global...

What are the cross-border spillovers from major economies’ quantitative easing policies to their trading partners? We provide evidence by concentrating on spillovers from the US to Canada during the ZLB period when QE policies were actively used. We identify QE shocks in the US and estimate...

The Covid-19 Pandemic and policy response rattled the USTreasury markets. Conventional US Treasuries, inflation adjustedUS Treasuries, and the relationship between the two developed inways such that ignoring changes in real interest rates yielded dis-torted inflation expectations estimates....