U.S. unconventional monetary policy and transmission to emerging market economies

•We investigate the effects of U.S. unconventional monetary policies on asset prices in emerging market economies.•U.S. monetary policy shocks have a significant effect on sovereign yields in most emerging market economies.•Country-specific characteristics drive the response of asset prices in the emerging market economies to changes in U.S. financial conditions.•The response of sovereign yields in emerging market economies to U.S. unconventional monetary policies are not outsized.

We investigate the effects of U.S. unconventional monetary policies on sovereign yields, foreign exchange rates, and stock prices in emerging market economies (EMEs), and we analyze how these effects depend on country-specific characteristics. We find that, although EME asset prices, mainly those of sovereign bonds, responded strongly to U.S. unconventional monetary policy announcements, these responses were not outsized with respect to a model that takes into account each country's currency regime and vulnerability to U.S. financial conditions.