Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies


Joseph E. Gagnon ; Tamim Bayoumi ; Juan M. Londono ; Christian Saborowski ; Horacio Sapriza

Publication Date:

March 13, 2017

Electronic Access:

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Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.


This paper explores the effects of unconventional monetary and exchange rate policies. We find that official foreign asset purchases have large effects on current accounts that diminish as capital mobility rises and spill over to financially integrated countries. There is an additional effect through the stock of central bank assets. Domestic asset purchases have an effect on current accounts only when capital mobility is low. We also find that rising US bond yields drive foreign yields, stock prices and depreciations, but less so on days of policy announcements. We develop a theoretical model that is broadly consistent with our results.


Working Paper No. 2017/056



Publication Date:

March 13, 2017



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