This study employs the panel vector autoregressive (PVAR) model to examine the spillover effect of US unconventional monetary policy on inflation and non-inflation targeting emerging markets post credit crunch and during COVID-19 from 2000Q1 to 2020Q4. Unlike other analyses, this paper adds to the existing body of knowledge by employing a dummy variable to represent the United States’ quantitative easing. Other included control variables are equity prices, the federal reserve rate, the exchange rate, central bank assets and the short-term interest rate. This paper estimated two-panel VARs, Model one and Model two, for inflation and non-inflation targeting emerging markets, respectively. Model one consists of eight inflation-targeting markets, and Model two consists of four non-inflation-targeting countries. Other included control variables are equity prices, the federal reserve rate, the nominal effective exchange rate, and the central bank policy rate. According to the empirical results, the US unconventional monetary policy induces a surge in the exchange rate and a decrease in the central bank policy rate for both inflation and non-inflation targeting emerging markets. However, there was no significant impact on the equity prices. The empirical results are statistically significant, robust, and consistent with previous studies except for the response of equity prices. Unconventional monetary policy is effective in steering macroeconomic variables in developed economies. The monetary policymakers in emerging markets must also use the currency reserve to stabilise the macroeconomic variables in response to US unconventional monetary policy shocks.
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