Academic Star Publishing Company

Economics

ISSN: 2155-7950
Journal of Business and Economics

Volatility Spillover Effects of U.S. Quantitative Easing Policies: Evidence from BRIC Bond Markets

Haiming Yu¹, Baiding Hu², Christopher Gan³

(1. School of Economics and Management, Zhejiang University of Science and Technology, China;

2. Department of Global Value Chains and Trade, Lincoln University, New Zealand;

3. Department of Accounting and Finance, Lincoln University, New Zealand)

Abstract: We gauge the U.S. quantitative easing (QE) volatility spillover effects on BRIC (Brazil, Russia, India and China) bond markets. The results show a pronounced volatility spillover effect of U.S. QE policy shocks on BRIC bond markets. In particular, BRIC bond markets experienced a more volatile position during the early U.S. QE phases. The adverse U.S. QE spillover effects trigger volatility in BRIC bond markets and partially counteract the market-stabilizing domestic monetary policy effects. This finding indicates an improvement in international policy collaboration, especially between emerging and leading economies.

Key words: quantitative easing; monetary policy shock; BRIC bond markets; volatility spillover; DCC-MGARCH model

JEL codes: E52; F42; G15