Spillovers of quantitative easing on financial markets of Thailand, Indonesia, and the Philippines

© Springer International Publishing Switzerland 2015. This paper provides the results of the effectiveness of the quantitative easing (QE) policy, including purchasing mortgage-backed securities, treasury securities, and other assets in the United States, on the financial markets of Thailand, Indone...

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Main Authors: Pathairat Pastpipatkul, Woraphon Yamaka, Aree Wiboonpongse, Songsak Sriboonchitta
Format: Conference Proceeding
Published: 2018
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Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84958550031&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/44650
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-446502018-04-25T07:54:23Z Spillovers of quantitative easing on financial markets of Thailand, Indonesia, and the Philippines Pathairat Pastpipatkul Woraphon Yamaka Aree Wiboonpongse Songsak Sriboonchitta Agricultural and Biological Sciences © Springer International Publishing Switzerland 2015. This paper provides the results of the effectiveness of the quantitative easing (QE) policy, including purchasing mortgage-backed securities, treasury securities, and other assets in the United States, on the financial markets of Thailand, Indonesia, and the Philippines (TIP) in the post-QE introduction period. In this study, we focused on three different financial markets, which include the exchange rate market, stock market, and bond market. We employed a Bayesian Markov-switching VAR model to study the transmission mechanisms of QE shocks between periods of expansion in the QE policy and turmoil with extraordinarily negative events in the financial markets and the global economy. We found that QE may have a direct substantial effect on the TIP financial markets. Therefore, if the Federal Reserve withdraws the QE policy, the move might also have an effect on the TIP financial market. In particular, purchasing the mortgage-backed securities (MBS) program is more likely to affect the TIP financial markets than purchasing the other programs. 2018-01-24T04:46:07Z 2018-01-24T04:46:07Z 2015-01-01 Conference Proceeding 03029743 2-s2.0-84958550031 10.1007/978-3-319-25135-6_35 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84958550031&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44650
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Agricultural and Biological Sciences
spellingShingle Agricultural and Biological Sciences
Pathairat Pastpipatkul
Woraphon Yamaka
Aree Wiboonpongse
Songsak Sriboonchitta
Spillovers of quantitative easing on financial markets of Thailand, Indonesia, and the Philippines
description © Springer International Publishing Switzerland 2015. This paper provides the results of the effectiveness of the quantitative easing (QE) policy, including purchasing mortgage-backed securities, treasury securities, and other assets in the United States, on the financial markets of Thailand, Indonesia, and the Philippines (TIP) in the post-QE introduction period. In this study, we focused on three different financial markets, which include the exchange rate market, stock market, and bond market. We employed a Bayesian Markov-switching VAR model to study the transmission mechanisms of QE shocks between periods of expansion in the QE policy and turmoil with extraordinarily negative events in the financial markets and the global economy. We found that QE may have a direct substantial effect on the TIP financial markets. Therefore, if the Federal Reserve withdraws the QE policy, the move might also have an effect on the TIP financial market. In particular, purchasing the mortgage-backed securities (MBS) program is more likely to affect the TIP financial markets than purchasing the other programs.
format Conference Proceeding
author Pathairat Pastpipatkul
Woraphon Yamaka
Aree Wiboonpongse
Songsak Sriboonchitta
author_facet Pathairat Pastpipatkul
Woraphon Yamaka
Aree Wiboonpongse
Songsak Sriboonchitta
author_sort Pathairat Pastpipatkul
title Spillovers of quantitative easing on financial markets of Thailand, Indonesia, and the Philippines
title_short Spillovers of quantitative easing on financial markets of Thailand, Indonesia, and the Philippines
title_full Spillovers of quantitative easing on financial markets of Thailand, Indonesia, and the Philippines
title_fullStr Spillovers of quantitative easing on financial markets of Thailand, Indonesia, and the Philippines
title_full_unstemmed Spillovers of quantitative easing on financial markets of Thailand, Indonesia, and the Philippines
title_sort spillovers of quantitative easing on financial markets of thailand, indonesia, and the philippines
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84958550031&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/44650
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