Authors: NIKOLAOS A. KYRIAZIS, Stephanos Papadamou, Panayiotis Tzeremes

Title: Spillover Effects of US QE Tapering on African and Middle Eastern Financial Markets.

Abstract

This paper studies the spillover effects before, during, and after unconventional monetary policies by the US Fed, on the capital markets of six African and nine Middle Eastern emerging economies. Notably, the methodologies employed for detecting dual causality are: the classical, the dynamic, and the time-varying Granger causality tests. Results indicate that US non-conventional actions weakened the Fed’s balance sheet impact on stock indices of these emerging countries. Interestingly, there is evidence that two African and three Middle Eastern countries, different according to each of the specifications in methodology were affected by the US unconventional monetary practices’ tapering.