International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada
用因子增强向量自回归模型评估美国量化宽松对加拿大经济的溢出效应，发现主要通过金融渠道提振了加拿大产出。
Abstract The U.S. Federal Reserve responded to the great recession by implementing quantitative easing, or large‐scale asset purchases, when its conventional policy rate reached the zero lower bound. We assess the international spillover effects of this quantitative easing program on the Canadian economy in a factor‐augmented vector autoregression (FAVAR) framework, by considering a counterfactual scenario in which the Federal Reserve's long‐term asset holdings do not rise in response to the recession. We find that U.S. quantitative easing boosted Canadian output, mainly through the financial channel.