Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/296759 
Year of Publication: 
2023
Series/Report no.: 
ADBI Working Paper No. 1364
Publisher: 
Asian Development Bank Institute (ADBI), Tokyo
Abstract: 
We investigate the impact of asset purchase programs (APPs) 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 in the absence of APPs, EME bond spreads would have been significantly higher. Country-specific VAR impulse response functions indicate that a shock imposed on asset purchases becomes persistent on bond spreads after around five to ten 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.
Subjects: 
asset purchase program
quantitative easing
emerging market economies
JEL: 
E44
E52
E58
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper

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