There is a new paper on this topic, and I have not yet had time to digest it properly, but it is worth passing along. Jamus Jerome Lim, Sanket Mohapatra, and Marc Stocker, all of the World Bank, wrote a guest blog on their paper for Econbrowser, here are excerpts:
Visual evidence (see figure below) suggests that cumulative gross inflows into the developing world displayed substantial gains during QE episodes, rising from $192 billion in mid-2009 to $598 billion by the first quarter of 2013…
Rather than ascribe a specific, quantitative estimate to the total effect of QE—which would require us to first establish the impact of QE on a range of fundamental variables—our strategy is to begin by accounting for potential QE spillover effects through observable transmission channels identified in the literature—those associated with liquidity, portfolio balancing, and confidence—followed by identifying whether QE episodes saw any additional effects on financial inflows that may be attributable to unobservables.
We find evidence in favor of QE transmission all three potential observable channels (see figure). Our estimates suggest that a one standard deviation change in U.S. short-term interest rates (the liquidity channel) is associated with changes in inflows of around 0.29 standard deviations, while that of changes in the yield curve (the portfolio balance channel) and the VIX (the confidence channel) are around 0.24 and 0.15 standard deviations, respectively. Perhaps more importantly, we also find evidence for a QE effect attributable to unobservables; this effect can account for around 0.26 standard deviation of the increase in inflows.
As I’ve said before, and as Bernanke remarked about QE today, this is all data in search of a theory. Still, the effects appear to be very real indeed. The paper itself is here (pdf), much there to ponder, but little chance you will reach a certain conclusion.