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Portfolio Rebalancing in Japan : Constraints and Implications for Quantitative Easing
Arslanalp, Serkan - 2015
Portfolio rebalancing is a key transmission channel of quantitative easing in Japan. We construct a realistic …
Persistent link: https://www.econbiz.de/10013015596
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Spillovers from Japan's Unconventional Monetary Policy to Emerging Asia : A Global VAR Approach
Ganelli, Giovanni - 2016
We use a Global VAR model to study spillovers from the Bank of Japan's quantitative and qualitative easing (QQE) on …
Persistent link: https://www.econbiz.de/10012977736
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Should Korea Worry About a Permanently Weak Yen?
Ree, Jack - 2015
Three years have passed since the Bank of Japan's asset purchase program was introduced in 2011, causing a sharp … decline in the value of the Japanese Yen. What would be the implications for Japan and Korea's exporters if the weak Yen is … shocks. We find that if the weak Yen persists, it would strengthen Japan's price competitiveness over time as export prices …
Persistent link: https://www.econbiz.de/10013016594
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Scarcity Effects of Quantitative Easing on Market Liquidity : Evidence from the Japanese Government Bond Market
Han, Fei - 2018
) effects of the Bank of Japan (BOJ)'s JGB purchases on market liquidity. Moreover, we also find evidence that such scarcity …
Persistent link: https://www.econbiz.de/10012913879
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The Scarcity Effect of Quantitative Easing on Repo Rates : Evidence from the Euro Area
Arrata, William - 2019
Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks' excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we...
Persistent link: https://www.econbiz.de/10012895124
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Quantitative Easing and Long-Term Yields in Small Open Economies
Diez de los Rios, Antonio - 2017
We compare the effectiveness of Federal Reserve's asset purchase programs in lowering long term yields with that of similar programs implemented by the Bank of England, the Swedish Riksbank, and the Swiss National Bank's reserve expansion program. We decompose government bond yields into (i) an...
Persistent link: https://www.econbiz.de/10012944960
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Unconventional Monetary Policy in a Small Open Economy
MacDonald, Margaux - 2018
This paper investigates the effects of unconventional monetary policy in a small open economy.Using recently proposed shadow interest rates to capture unconventional monetary policy at the zerolower bound (ZLB) we estimate a Bayesian structural vector autoregressive model for Canada - auseful...
Persistent link: https://www.econbiz.de/10012929942
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Quantitative Easing and Credit Rating Agencies
Abidi, Nordine; Falagiarda, Matteo; Miquel-Flores, Ixart - 2022
This paper investigates the behaviour of credit rating agencies using a natural experiment in monetary policy. We exploit the corporate QE of the Eurosystem and its rating-based specific design which generates exogenous variation in the probability for a bond of becoming eligible for outright...
Persistent link: https://www.econbiz.de/10013405784
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Shock Therapy! What Role for Thai Monetary Policy?
Alp, Harun - 2012
Thailand had to endure three major shocks during 2008-2011: the global financial crisis, the Japanese earthquake, and the Thai floods of 2011. Over this period, consistent with its inflation targeting framework, the Bank of Thailand (BOT) let the exchange rate depreciate and cut interest rates...
Persistent link: https://www.econbiz.de/10013096276
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A VAR Analysis of Kenya's Monetary Policy Transmission Mechanism : How Does the Central Bank's Repo Rate Affect the Economy?
Cheng, Kevin C. - 2007
This paper examines the impact of a monetary policy shock on output, prices, and the nominal effective exchange rate for Kenya using data during 1997-2005. Based on techniques commonly used in the vector autoregression literature, the main results suggest that an exogenous increase in the...
Persistent link: https://www.econbiz.de/10012777936