International spillover effects of unconventional monetary policies of major central banks

This study examines the effects of unconventional monetary policies (UMPs) by major central banks, namely Bank England (BOE), Japan (BOJ), European Central (ECB) and Federal Reserve (Fed), on international financial markets, taking global spillovers policy interaction into account. To this end, we applied Global Vector Autoregressive (GVAR) model to 35 countries/economies one region for period from March 2009 July 2019. In addition, accommodated smooth transition GVAR consider possible structural changes in UMPs interaction. Our results indicate importance capturing changes, showing remarkable difference between beginning end sample. For example, found clear evidence coordination after crisis less recent period. Also, our suggest that generally, banks had stronger both domestic bond markets earlier contrast, equity responded more positively period, although there was no noticeable responses throughout