We examine the impact of large-scale asset purchases of government bonds on real GDP and the CPI in the United Kingdom and the United States with a Bayesian VAR, estimated on monthly data from 2009 M3 to 2013 M5. We identify an asset purchase shock with sign and zero restrictions. In contrast to...

As global financial integration deepens, shocks from a local market can generate global spillover effects more easily. Historical episodes, such as the 2008 financial crisis and the COVID-19 pandemic show that the connectedness of financial markets is closely related to global systemic risks....