Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets

Financial Innovation

Table 3 The point estimates of the SVAR parameters

Estimated structural parameters	Types of US spread shocks
	Mortgage spread			Term spread
	US	Typical EME	Typical AE	US	Typical EME	Typical AE
b21	− 0.2745			− 0.1952
b31		− 0.0101	0.1029		0.0433	0.2602
b32		− 0.0407	0.0760		− 0.0470	0.1054
b41		0.0119	0.0140		0.0131	− 0.0067
b42		0.0477	0.0756		0.0518	0.0805
b51		− 0.0046	− 0.0020		0.0034	0.0116
b52		− 0.0163	− 0.0153		− 0.0180	− 0.0163
b61		− 0.0333	− 0.0477		− 0.0189	0.0024
b62		− 0.1331	− 0.0748		− 0.1450	− 0.0900

The point estimates of the contemporaneous coefficients matrix, \({\stackrel{\sim }{\mathrm{B}}}_{0}\), are obtained by using the Broyden–Fletcher–Goldfarb–Shanno (the BFGS) algorithm. Only the estimated structural parameters measuring the impact of US shocks (spread and VIX) are reported because this study specifically analyzes the influence of such shocks on the global risk appetite and foreign financial markets. The parameters for a typical EME (or AE) are obtained by taking a simple arithmetic average of the estimated parameters of 20 EMEs [or 20 AEs] (see Appendix Table 4 for country-level estimates). The average parameters represent the results of a typical EME (or AE)