International spillover effects of unconventional monetary policies of major central banks

Crawford School of Public Policy
Image by PeterRoe from Pixabay

Event details

ACDE Seminar

Date & time

Tuesday 10 August 2021


Weston Theatre Level 1, JG Crawford Building #132, 1 Lennox Crossing, ANU


Tatsuyoshi Okimoto, Australian National University

This study examines effects of unconventional monetary policies (UMPs) of the major central banks – the Bank of England (BOE), Bank of Japan (BOJ), European Central Bank (ECB), and the Federal Reserve (Fed) – on international financial markets, taking global spillovers and monetary policy interaction into account. A Global Vector Autoregressive (GVAR) model is applied for 35 countries and one region for the period March 2009–July 2019. The analysis considers possible structural changes in effects. We find clear evidence of monetary policy coordination after the global financial crisis and less evidence of policy interaction in the recent period. The results also suggest that the UMPs of the major central banks generally had stronger effects on both domestic and international bond markets in earlier years. In contrast, global equity markets responded more positively to the UMPs in more recent years. There is no noticeable difference in the responses of domestic equity markets throughout the sample.

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