We investigate the effects of US 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 US
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 …