How does unconventional monetary policy affect the global financial markets?
Abstract 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 coun...
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| Autor*in: |
Inoue, Tomoo [verfasserIn] |
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| Format: |
Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2021 |
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| Schlagwörter: |
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| Anmerkung: |
© The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 |
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| Übergeordnetes Werk: |
Enthalten in: Empirical economics - Springer Berlin Heidelberg, 1976, 62(2021), 3 vom: 18. Mai, Seite 1013-1036 |
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| Übergeordnetes Werk: |
volume:62 ; year:2021 ; number:3 ; day:18 ; month:05 ; pages:1013-1036 |
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| DOI / URN: |
10.1007/s00181-021-02067-7 |
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OLC2078062286 |
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| 520 | |a Abstract 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. | ||
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10.1007/s00181-021-02067-7 doi (DE-627)OLC2078062286 (DE-He213)s00181-021-02067-7-p DE-627 ger DE-627 rakwb eng 650 VZ 000 330 VZ Inoue, Tomoo verfasserin aut How does unconventional monetary policy affect the global financial markets? 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 Abstract 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. Monetary policy Financial linkage International spillover Global VAR Smooth-transition model Okimoto, Tatsuyoshi (orcid)0000-0002-1196-4599 aut Enthalten in Empirical economics Springer Berlin Heidelberg, 1976 62(2021), 3 vom: 18. Mai, Seite 1013-1036 (DE-627)130166235 (DE-600)519394-1 (DE-576)015709310 0377-7332 nnns volume:62 year:2021 number:3 day:18 month:05 pages:1013-1036 https://doi.org/10.1007/s00181-021-02067-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_2018 GBV_ILN_4277 AR 62 2021 3 18 05 1013-1036 |
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10.1007/s00181-021-02067-7 doi (DE-627)OLC2078062286 (DE-He213)s00181-021-02067-7-p DE-627 ger DE-627 rakwb eng 650 VZ 000 330 VZ Inoue, Tomoo verfasserin aut How does unconventional monetary policy affect the global financial markets? 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 Abstract 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. Monetary policy Financial linkage International spillover Global VAR Smooth-transition model Okimoto, Tatsuyoshi (orcid)0000-0002-1196-4599 aut Enthalten in Empirical economics Springer Berlin Heidelberg, 1976 62(2021), 3 vom: 18. Mai, Seite 1013-1036 (DE-627)130166235 (DE-600)519394-1 (DE-576)015709310 0377-7332 nnns volume:62 year:2021 number:3 day:18 month:05 pages:1013-1036 https://doi.org/10.1007/s00181-021-02067-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_2018 GBV_ILN_4277 AR 62 2021 3 18 05 1013-1036 |
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10.1007/s00181-021-02067-7 doi (DE-627)OLC2078062286 (DE-He213)s00181-021-02067-7-p DE-627 ger DE-627 rakwb eng 650 VZ 000 330 VZ Inoue, Tomoo verfasserin aut How does unconventional monetary policy affect the global financial markets? 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 Abstract 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. Monetary policy Financial linkage International spillover Global VAR Smooth-transition model Okimoto, Tatsuyoshi (orcid)0000-0002-1196-4599 aut Enthalten in Empirical economics Springer Berlin Heidelberg, 1976 62(2021), 3 vom: 18. Mai, Seite 1013-1036 (DE-627)130166235 (DE-600)519394-1 (DE-576)015709310 0377-7332 nnns volume:62 year:2021 number:3 day:18 month:05 pages:1013-1036 https://doi.org/10.1007/s00181-021-02067-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_2018 GBV_ILN_4277 AR 62 2021 3 18 05 1013-1036 |
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10.1007/s00181-021-02067-7 doi (DE-627)OLC2078062286 (DE-He213)s00181-021-02067-7-p DE-627 ger DE-627 rakwb eng 650 VZ 000 330 VZ Inoue, Tomoo verfasserin aut How does unconventional monetary policy affect the global financial markets? 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 Abstract 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. Monetary policy Financial linkage International spillover Global VAR Smooth-transition model Okimoto, Tatsuyoshi (orcid)0000-0002-1196-4599 aut Enthalten in Empirical economics Springer Berlin Heidelberg, 1976 62(2021), 3 vom: 18. Mai, Seite 1013-1036 (DE-627)130166235 (DE-600)519394-1 (DE-576)015709310 0377-7332 nnns volume:62 year:2021 number:3 day:18 month:05 pages:1013-1036 https://doi.org/10.1007/s00181-021-02067-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_2018 GBV_ILN_4277 AR 62 2021 3 18 05 1013-1036 |
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10.1007/s00181-021-02067-7 doi (DE-627)OLC2078062286 (DE-He213)s00181-021-02067-7-p DE-627 ger DE-627 rakwb eng 650 VZ 000 330 VZ Inoue, Tomoo verfasserin aut How does unconventional monetary policy affect the global financial markets? 2021 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 Abstract 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. Monetary policy Financial linkage International spillover Global VAR Smooth-transition model Okimoto, Tatsuyoshi (orcid)0000-0002-1196-4599 aut Enthalten in Empirical economics Springer Berlin Heidelberg, 1976 62(2021), 3 vom: 18. Mai, Seite 1013-1036 (DE-627)130166235 (DE-600)519394-1 (DE-576)015709310 0377-7332 nnns volume:62 year:2021 number:3 day:18 month:05 pages:1013-1036 https://doi.org/10.1007/s00181-021-02067-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_2018 GBV_ILN_4277 AR 62 2021 3 18 05 1013-1036 |
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Abstract 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. © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 |
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Abstract 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. © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 |
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Abstract 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. © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 |
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How does unconventional monetary policy affect the global financial markets? |
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