ACADEMIC PAPER Unconventional monetary policy spillovers: Evidence from India Aiswarya Thomas | Lakshmi Kumar Economics, Institute for Financial Management and Research, Chennai, India Correspondence Aiswarya Thomas, Research Scholar, Institute for Financial Management and Research, 196 Pathasarathy Gardens, TT Krishnamachari Road, Alwarpet, Chennai 600018, India. Email: aishwarya.thomas@ifmr.ac.in Many of the studies on the unconventional monetary policy spillover effects concentrated primarily on the policy announcements of the U.S. Federal Reserve. Using a time series approach, with dummies in the event study framework, this study estimates the monetary policy spillover effects of the unconventional monetary policy announcements of the central banks of four major economic regions: the United States, the United Kingdom, European Central bank, and Japan on the asset prices in India. In addition to that, this study estimates the asymmetry in the responses to positive and negative surprise announcements. The study reveals that unconventional monetary surprises do not have any significant impact on the asset prices in India in a narrow time window. 1 | INTRODUCTION The effects of unconventional monetary policy (UMP) measures have drawn attention from both academia and policymakers. The UMP measures were adopted by large economies like the United States, the United Kingdom, Eurozone, and Japan to address the financial vulnerabilities in these economies after the global financial crisis, 2008. These measures were almost inevitable for these large economies to combat the financial debacle. However, critics opine that the UMPS also entail portfolio capital flows to emerging market economies (EMES) and other non‐UMP advanced economies, thus raising concerns in the non‐UMP economies. Historically, these concerns are motivated by the Asian financial crisis of 1997–1998 partly caused by the monetary policy fluctuations in advanced economies. Exchange rate regimes were identified as the chief contributing factor of the international monetary policy spillovers, then Mundell (1963). However, recent studies argue that the major contributing factors of international monetary policy spillovers are capital flows, credit growth, and bank leverages (Rey, 2015; Chen, Filardo, He, & Zhu, 2016; Prabu, Bhattacharyya, & Ray, 2016). These factors have become quite prominent as a result of the unconventional monetary measures implemented by the large advanced economies. Hence, the UMP spillovers call forth adequate attention from all the major non‐UMP economies including India. The burgeoning literature on the UMP suggests that these measures have exerted significant spillover effects globally (Ahmad and Zlate, 2014; Diez & Presno, 2013; Berge & Cao, 2014). Majority of the studies on the UMP spillovers focus on the UMP spillovers on the asset prices of EMES in a panel framework (see, for example, Tillman, 2016; Bowman, Londono, & Sapriza, 2015; and Chen et al.,2015). There are also studies on the spillover effects of UMP on large advanced economies (see, inter alia, Bauer & Neely, 2014; Rogers, Scotti, & Wright, 2014; Glick & Leduc, 2012). However, studies on the UMP spillovers on a single emerging market economy is very scant. Though there are limited numbers of studies on the UMP spillovers on the Indian asset markets, they either study a single asset price (see, for example, Prabu et al., 2016) or they consider only the monetary policy announcements of the Federal Reserve (see, for example, Patra, Khundrakpam, et al., 2016). In an effort to fill in this gap, this study estimates the impact of UMP announcements by the central banks of four major currency areas (the United States, Euro area, United Kingdom, and Japan) on three major asset prices (government bond yields, equities, and exchange rates). In addition to that, this study also tries to capture the spillover asymmetries with respect to positive and negative surprise induced by the UMP announcements. This study uses high‐frequency data to implement an event study in appropriate windows around the policy announcements. Received: 11 February 2019 Accepted: 23 February 2019 DOI: 10.1002/pa.1940 J Public Affairs. 2019;e1940. https://doi.org/10.1002/pa.1940 © 2019 John Wiley & Sons, Ltd. wileyonlinelibrary.com/journal/pa 1 of 8