International Transmission Channels of US Quantitative Easing: Evidence from Canada

被引：12

作者：

Dahlhaus, Tatjana ^{[1
]}

Hess, Kristina ^{[1
]}

Reza, Abeer ^{[1
]}

机构：

[1] Bank Canada, Int Econ Anal, Ottawa, ON, Canada

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2018年 / 50卷 / 2-3期

关键词：

quantitative easing; international policy transmission; unconventional monetary policy; factor-augmented VAR; UNCONVENTIONAL MONETARY-POLICY; PURCHASES; SHOCKS;

D O I：

10.1111/jmcb.12470

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The U.S. Federal Reserve responded to the great recession by implementing quantitative easing, or large-scale asset purchases, when its conventional policy rate reached the zero lower bound. We assess the international spillover effects of this quantitative easing program on the Canadian economy in a factor-augmented vector autoregression (FAVAR) framework, by considering a counterfactual scenario in which the Federal Reserve's long-term asset holdings do not rise in response to the recession. We find that U.S. quantitative easing boosted Canadian output, mainly through the financial channel.

引用

页码：545 / 563

页数：19

共 31 条

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[Anonymous], 2012, COMMUNICATION 0831

[2]

[Anonymous], 2009, 15487 NBER

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