Cross-financial-market correlations and quantitative easing

- Effect on stock/bond/forward correlations differ by U.S. QE period.
- U.S. QEs have spillover effects on international financial markets.
- Mean DCC-GARCH model correlations higher for developed than emerging markets.

We examine the correlations between bond markets, stock markets and currency forwards during the quantitative easing (QE) programs launched by the U.S. Federal Reserve. Using DCC-GARCH models, we document a spillover impact of QE on the international financial markets and find that these correlations differ by QE period across developed and emerging countries. Our findings provide new insights into the impact of unconventional monetary policy regimes on the relationships between various international financial asset markets.