The high degree of interconnectedness and interdependence within the global financial system implies that cross-border spillovers from monetary policy propagate through complex transmission channels. This study uses a global vector autoregression (GVAR) model, using monthly data from 17 G20 economies over the period 2008–2023, to systematically investigate how US quantitative easing (QE) monetary policy, proxied by two key spread measures, affects global financial markets. The first proxy, the term spread, is defined as the yield on 30-year US Treasury securities minus that on 10-year Treasury securities; the second, the mortgage spread, is defined as the 30-year fixed mortgage rate minus the 10-year Treasury yield. A negative shock to either spread (that is, a narrowing) captures the interest rate compression typically induced by QE. The empirical results reveal that a 1% decline in the 30-year Treasury yield is associated with an increase of up to 5% in 10-year government bond yields in advanced economies, while the most pronounced effects in emerging markets occur in foreign exchange markets, where exchange rate responses reach as high as 23%. Moreover, the mortgage spread exerts a stronger influence across regional financial markets than the term spread, consistently generating more significant spillover effects. The Chicago Board Options Exchange volatility index (VIX) and monetary policy uncertainty (MPU) emerge as the two dominant transmission channels. Our analysis highlights substantial heterogeneity in cross-country responses, particularly in foreign exchange markets. Furthermore, the study examines the moderating roles of financial leverage and commodity exposure, showing that these factors significantly shape the magnitude and persistence of spillover effects.
Citation: Weiqiang Huang, Xiaomeng Li. Impact of U.S. quantitative easing on international financial markets: evidence from a GVAR model[J]. Data Science in Finance and Economics, 2026, 6(2): 212-249. doi: 10.3934/DSFE.2026008
The high degree of interconnectedness and interdependence within the global financial system implies that cross-border spillovers from monetary policy propagate through complex transmission channels. This study uses a global vector autoregression (GVAR) model, using monthly data from 17 G20 economies over the period 2008–2023, to systematically investigate how US quantitative easing (QE) monetary policy, proxied by two key spread measures, affects global financial markets. The first proxy, the term spread, is defined as the yield on 30-year US Treasury securities minus that on 10-year Treasury securities; the second, the mortgage spread, is defined as the 30-year fixed mortgage rate minus the 10-year Treasury yield. A negative shock to either spread (that is, a narrowing) captures the interest rate compression typically induced by QE. The empirical results reveal that a 1% decline in the 30-year Treasury yield is associated with an increase of up to 5% in 10-year government bond yields in advanced economies, while the most pronounced effects in emerging markets occur in foreign exchange markets, where exchange rate responses reach as high as 23%. Moreover, the mortgage spread exerts a stronger influence across regional financial markets than the term spread, consistently generating more significant spillover effects. The Chicago Board Options Exchange volatility index (VIX) and monetary policy uncertainty (MPU) emerge as the two dominant transmission channels. Our analysis highlights substantial heterogeneity in cross-country responses, particularly in foreign exchange markets. Furthermore, the study examines the moderating roles of financial leverage and commodity exposure, showing that these factors significantly shape the magnitude and persistence of spillover effects.
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Figures(10) / Tables(1)
Weiqiang Huang, Xiaomeng Li. Impact of U.S. quantitative easing on international financial markets: evidence from a GVAR model[J]. Data Science in Finance and Economics, 2026, 6(2): 212-249. doi: 10.3934/DSFE.2026008
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