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    Global liquidity effect of quantitative easing on emerging markets
    (Springer Science and Business Media Deutschland GmbH, 2024) Balcılar, Mehmet; Usman, Ojonugwa; Wohar, Mark; Roubaud, David; Güngör, Hasan
    Using a panel quantile vector autoregression model, we investigate the global liquidity effect of quantitative easing (QE) in the US on emerging markets (EMs) over the period 2010:Q1 to 2019:Q3. Our empirical result suggests that tapering of QE in the US triggers a large capital outflow from the EMs. In addition, we find a significant asymmetric effect of QE on portfolio investment flows to EMs with a stronger effect in the higher quantiles. The implication of these findings is that tapering the large-scale asset purchases and other instruments of unconventional monetary policy have a larger effect on EMs.
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    How do energy market shocks affect economic activity in the US under changing financial conditions?
    (Springer International Publishing, 2022) Balcılar, Mehmet; Usman, Ojonugwa; Roubaud, David
    Credit markets play a crucial role in the propagation of shocks through an economy. Both economic uncertainty and oil market shocks transmit through credit markets to various sectors of an economy. However, the transmission of the shocks depends on the state of an economy as crises periods behave quite differently from normal times. We use a nonlinear vector autoregressive (VAR) model to study the transmission of uncertainty and oil market shocks using monthly data over the 1986:M1–2021:M1 period. The nonlinear VAR model allows the transmission of uncertainty and oil market shocks to a change during financial distress periods. We find that economic uncertainty is closely related to financial conditions and transmission dynamic change during financial crises. Uncertainty shocks are recessionary with a stronger effect during financial distress. Oil supply shocks associated with increasing oil prices are also recessionary and stronger during financial distress while positive demand shocks are expansionary. We find strong asymmetry in responses of macroeconomic aggregates across financial regimes and signs of the shocks. © The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2022.