How does unconventional monetary policy affect the global financial markets?

Tomoo Inoue, Tatsuyoshi Okimoto

研究成果: Article査読

抄録

This paper examines the spillover effects of unconventional monetary policies (UMPs) by the Bank of Japan (BOJ) and the Federal Reserve (Fed) on the domestic and global financial markets, taking a possible regime change into account. Applying a smooth-transition global VAR model to ten countries and the Euro zone for the sample period between 2002–2015, we find that the BOJ’s expansionary UMPs have significantly increased the equity prices and depreciated the exchange rates, regardless of the regimes. Also, our results indicate that the BOJ’s UMPs have become more effective for the government and corporate bond prices in more recent years. In addition, we find that the Fed’s expansionary UMPs have had significant positive effects on their domestic financial markets throughout the sample period. Finally, our results suggest that the BOJ’s UMPs have rather limited effects on global financial markets and that the effects of the Fed’s UMPs are considerably larger.

本文言語English
ページ(範囲)1013-1036
ページ数24
ジャーナルEmpirical Economics
62
3
DOI
出版ステータスPublished - 2022 3月
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 数学(その他)
  • 社会科学(その他)
  • 経済学、計量経済学

フィンガープリント

「How does unconventional monetary policy affect the global financial markets?」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル