The international spillovers of US unconventional monetary policy

Abstract

I analyse the response of several developed, emerging, and frontier markets to Fed’s unconventional monetary policy announcements, by exercising an event study approach. Since the Fed’s QE policy has spilled over internationally, it is worth to understand the channels of transmission and measure the significance of the impact on international markets. My findings suggest that the Fed’s policy has had a large and significant impact on developed and emerging markets and relatively moderate impact on frontier markets.