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Central bank asset purchase programs in emerging market economies

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  • Beirne, John
  • Sugandi, Eric

Abstract

We investigate the impact of Asset Purchase Programs by 14 EME central banks during COVID-19, finding a statistically significant effect in compressing bond spreads vis-à-vis the US. A counterfactual analysis shows that without APPs, EME bond spreads would have been higher. Country-specific VAR impulse response functions indicate that a shock imposed on asset purchases becomes persistent on bond spreads after around 5 – 10 days, with a peak effect of around 40 basis points. Persistent stabilizing effects are also found on exchange rates and capital flow volatility, while stock markets and inflation expectations are overall not affected by the APPs.

Suggested Citation

  • Beirne, John & Sugandi, Eric, 2023. "Central bank asset purchase programs in emerging market economies," Finance Research Letters, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001423
    DOI: 10.1016/j.frl.2023.103769
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    Cited by:

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    More about this item

    Keywords

    Asset purchase program; Quantitative easing; Emerging market economies;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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