This study analyzes effects of quantitative easing (QE) in the U.S. on foreign exchange ma rkets. Since the global financial crisis, FRB has promoted untraditional monetary policies like QE in response to economic slowdowns in the U.S. However, it is highly likely that the policies have infl uences not only on the U.S. economy but also all over the world. Thus, we focus on a relationship between the QE and exchange rates as a display of the global spillover effects. For this purpose, we identify the U.S. QE shock with a sign restriction VAR approach, and then reveal relationships between the QE shock and major currencies’ behavior. As a result, we fi nd that the QE depreciates EUR and GBP against USD while it appreciates JPY. We also show that the QE resulted in increases in volatility of EUR and JPY.