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Abstract This paper investigates the impacts of conventional and unconventional US monetary policies on global financial markets, using the global vector autoregressive (GVAR) model from 2004 through 2017. The impulse response results suggest unconventional easing had little effect on stock prices as in conventional easing while the responses of interest rates indicate liquidity was provided throughout the world. An unconventional US monetary tightening policy shock could effectively affect the stock prices of the world as is the case with a conventional US monetary tightening shock. Furthermore, the transmission of a US monetary policy shock to stock prices via exchange rates tends to attenuate the decrease in stock prices both in the conventional and unconventional tightening (the exit from a zero rate) phases. On the other hand, the transmission tends to push down stock prices in the conventional, unconventional monetary easing and the unconventional tightening (the shadow rate is negative) phases.
Shigeki Ono (Tue,) studied this question.