Little EME volatility spillover from Fed/ECB balance sheets

The ECB’s Frankfurt headquarters

A working paper from the European Central Bank (ECB) examines the volatility of spillovers from the expanded balance sheets of the ECB and the US Federal Reserve.

In Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies, Apostolos Apostolou and John Beirne look at the effects on the economies of 13 emerging market economies (EMEs) from 2003 to 2014.

The authors use a modified version of the two-step approach developed in Angela Ng’s Volatility

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