Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies /:
This paper explores the effects of unconventional monetary and exchange rate policies. We find that official foreign asset purchases have large effects on current accounts that diminish as capital mobility rises and spill over to financially integrated countries. There is an additional effect throug...
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| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C. :
International Monetary Fund,
2017.
|
| Schriftenreihe: | IMF working paper ;
WP/17/56. |
| Schlagworte: | |
| Online-Zugang: | DE-862 DE-863 |
| Zusammenfassung: | This paper explores the effects of unconventional monetary and exchange rate policies. We find that official foreign asset purchases have large effects on current accounts that diminish as capital mobility rises and spill over to financially integrated countries. There is an additional effect through the stock of central bank assets. Domestic asset purchases have an effect on current accounts only when capital mobility is low. We also find that rising US bond yields drive foreign yields, stock prices and depreciations, but less so on days of policy announcements. We develop a theoretical model that is broadly consistent with our results. |
| Beschreibung: | 1 online resource (53 pages) |
| ISBN: | 9781475587012 1475587015 |
| ISSN: | 1018-5941 ; |
Internformat
MARC
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| 245 | 0 | 0 | |a Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies / |c by Joseph E. Gagnon [and four others]. |
| 260 | |a Washington, D.C. : |b International Monetary Fund, |c 2017. | ||
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| 490 | 1 | |a IMF working paper, |x 1018-5941 ; |v WP/17/56 | |
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| 505 | 0 | |a Cover; Contents; Abstract; I. Introduction; II. Current Account Effects of Net Official Flows and Quantitative Easing in Annual Panel Data; III. Financial Market Effects of US Unconventional Monetary Policy in Daily Data; IV. Imperfect Asset Substitution in an Open Economy Macro Model; V. Conclusions; Appendix; Data Sources and Definitions; Appendix Tables; 2.1a. Baseline Regressions -- First Stage; 2.1b. Baseline Regressions -- Second Stage; 2.2. Robustness Checks; 2.3. Correlations in Energy Exporters, 2000-14 (percent of GDP); 3.1. Spillovers to Sovereign Bond Yields -- Daily Regressions. | |
| 505 | 8 | |a 3.2. Spillovers to Stock Prices -- Daily Regressions3.3. Spillovers to Exchange Rates (with respect to US dollar) -- Daily Regressions; 3.4a. Determinants of Spillover Effects on Sovereign Yields -- Panel-Data; 3.4b. Determinants of Spillover Effects on Stock Prices -- Panel-Data Regressions; 3.4c. Determinants of Spillover Effects on Exchange Rates -- Panel-Data Regressions; 4.1. Effects of Selected Exogenous Variables on Bond Yield; 4.2. Effects of Selected Exogenous Variables on the Current Account; 4.3. Effects of Selected Exogenous Variables on Income (GDP); Appendix Figures. | |
| 505 | 8 | |a 2.1. Central Bank Domestic Assets in Major QE Episodes2.2 Current Accounts in Major QE Episodes; 2.3 Azerbaijan Current Account and Flows; 2.4 Nigeria Current Account and Flows; 2.5 Rep. of Congo Current Account and Flows; 2.6 Energy Exporters with Substantial NOF; 2.7 Energy Exporters with Small NOF; References. | |
| 520 | 3 | |a This paper explores the effects of unconventional monetary and exchange rate policies. We find that official foreign asset purchases have large effects on current accounts that diminish as capital mobility rises and spill over to financially integrated countries. There is an additional effect through the stock of central bank assets. Domestic asset purchases have an effect on current accounts only when capital mobility is low. We also find that rising US bond yields drive foreign yields, stock prices and depreciations, but less so on days of policy announcements. We develop a theoretical model that is broadly consistent with our results. | |
| 650 | 0 | |a Monetary policy. |0 http://id.loc.gov/authorities/subjects/sh85086787 | |
| 650 | 0 | |a Foreign exchange rates. |0 http://id.loc.gov/authorities/subjects/sh91004893 | |
| 650 | 6 | |a Politique monétaire. | |
| 650 | 6 | |a Taux de change. | |
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| 650 | 7 | |a Monetary policy |2 fast | |
| 700 | 1 | |a Gagnon, Joseph E., |e author. |0 http://id.loc.gov/authorities/names/n89638573 | |
| 758 | |i has work: |a Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies (Text) |1 https://id.oclc.org/worldcat/entity/E39PCFXRrQdGhhfGyBVYJPPKgq |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Gagnon, Joseph E. |t Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies. |d Washington, D.C. : International Monetary Fund, ©2017 |z 9781475586237 |
| 830 | 0 | |a IMF working paper ; |v WP/17/56. |0 http://id.loc.gov/authorities/names/no89010263 | |
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| author | Gagnon, Joseph E. |
| author_GND | http://id.loc.gov/authorities/names/n89638573 |
| author_facet | Gagnon, Joseph E. |
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| author_sort | Gagnon, Joseph E. |
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| contents | Cover; Contents; Abstract; I. Introduction; II. Current Account Effects of Net Official Flows and Quantitative Easing in Annual Panel Data; III. Financial Market Effects of US Unconventional Monetary Policy in Daily Data; IV. Imperfect Asset Substitution in an Open Economy Macro Model; V. Conclusions; Appendix; Data Sources and Definitions; Appendix Tables; 2.1a. Baseline Regressions -- First Stage; 2.1b. Baseline Regressions -- Second Stage; 2.2. Robustness Checks; 2.3. Correlations in Energy Exporters, 2000-14 (percent of GDP); 3.1. Spillovers to Sovereign Bond Yields -- Daily Regressions. 3.2. Spillovers to Stock Prices -- Daily Regressions3.3. Spillovers to Exchange Rates (with respect to US dollar) -- Daily Regressions; 3.4a. Determinants of Spillover Effects on Sovereign Yields -- Panel-Data; 3.4b. Determinants of Spillover Effects on Stock Prices -- Panel-Data Regressions; 3.4c. Determinants of Spillover Effects on Exchange Rates -- Panel-Data Regressions; 4.1. Effects of Selected Exogenous Variables on Bond Yield; 4.2. Effects of Selected Exogenous Variables on the Current Account; 4.3. Effects of Selected Exogenous Variables on Income (GDP); Appendix Figures. 2.1. Central Bank Domestic Assets in Major QE Episodes2.2 Current Accounts in Major QE Episodes; 2.3 Azerbaijan Current Account and Flows; 2.4 Nigeria Current Account and Flows; 2.5 Rep. of Congo Current Account and Flows; 2.6 Energy Exporters with Substantial NOF; 2.7 Energy Exporters with Small NOF; References. |
| ctrlnum | (OCoLC)982012185 |
| dewey-full | 332.46 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.46 |
| dewey-search | 332.46 |
| dewey-sort | 3332.46 |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBA-ocn982012185 |
| illustrated | Not Illustrated |
| indexdate | 2025-04-11T08:43:42Z |
| institution | BVB |
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| issn | 1018-5941 ; |
| language | English |
| oclc_num | 982012185 |
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| series2 | IMF working paper, |
| spelling | Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies / by Joseph E. Gagnon [and four others]. Washington, D.C. : International Monetary Fund, 2017. 1 online resource (53 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF working paper, 1018-5941 ; WP/17/56 Print version record. Cover; Contents; Abstract; I. Introduction; II. Current Account Effects of Net Official Flows and Quantitative Easing in Annual Panel Data; III. Financial Market Effects of US Unconventional Monetary Policy in Daily Data; IV. Imperfect Asset Substitution in an Open Economy Macro Model; V. Conclusions; Appendix; Data Sources and Definitions; Appendix Tables; 2.1a. Baseline Regressions -- First Stage; 2.1b. Baseline Regressions -- Second Stage; 2.2. Robustness Checks; 2.3. Correlations in Energy Exporters, 2000-14 (percent of GDP); 3.1. Spillovers to Sovereign Bond Yields -- Daily Regressions. 3.2. Spillovers to Stock Prices -- Daily Regressions3.3. Spillovers to Exchange Rates (with respect to US dollar) -- Daily Regressions; 3.4a. Determinants of Spillover Effects on Sovereign Yields -- Panel-Data; 3.4b. Determinants of Spillover Effects on Stock Prices -- Panel-Data Regressions; 3.4c. Determinants of Spillover Effects on Exchange Rates -- Panel-Data Regressions; 4.1. Effects of Selected Exogenous Variables on Bond Yield; 4.2. Effects of Selected Exogenous Variables on the Current Account; 4.3. Effects of Selected Exogenous Variables on Income (GDP); Appendix Figures. 2.1. Central Bank Domestic Assets in Major QE Episodes2.2 Current Accounts in Major QE Episodes; 2.3 Azerbaijan Current Account and Flows; 2.4 Nigeria Current Account and Flows; 2.5 Rep. of Congo Current Account and Flows; 2.6 Energy Exporters with Substantial NOF; 2.7 Energy Exporters with Small NOF; References. This paper explores the effects of unconventional monetary and exchange rate policies. We find that official foreign asset purchases have large effects on current accounts that diminish as capital mobility rises and spill over to financially integrated countries. There is an additional effect through the stock of central bank assets. Domestic asset purchases have an effect on current accounts only when capital mobility is low. We also find that rising US bond yields drive foreign yields, stock prices and depreciations, but less so on days of policy announcements. We develop a theoretical model that is broadly consistent with our results. Monetary policy. http://id.loc.gov/authorities/subjects/sh85086787 Foreign exchange rates. http://id.loc.gov/authorities/subjects/sh91004893 Politique monétaire. Taux de change. BUSINESS & ECONOMICS Finance. bisacsh Foreign exchange rates fast Monetary policy fast Gagnon, Joseph E., author. http://id.loc.gov/authorities/names/n89638573 has work: Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies (Text) https://id.oclc.org/worldcat/entity/E39PCFXRrQdGhhfGyBVYJPPKgq https://id.oclc.org/worldcat/ontology/hasWork Print version: Gagnon, Joseph E. Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies. Washington, D.C. : International Monetary Fund, ©2017 9781475586237 IMF working paper ; WP/17/56. http://id.loc.gov/authorities/names/no89010263 |
| spellingShingle | Gagnon, Joseph E. Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies / IMF working paper ; Cover; Contents; Abstract; I. Introduction; II. Current Account Effects of Net Official Flows and Quantitative Easing in Annual Panel Data; III. Financial Market Effects of US Unconventional Monetary Policy in Daily Data; IV. Imperfect Asset Substitution in an Open Economy Macro Model; V. Conclusions; Appendix; Data Sources and Definitions; Appendix Tables; 2.1a. Baseline Regressions -- First Stage; 2.1b. Baseline Regressions -- Second Stage; 2.2. Robustness Checks; 2.3. Correlations in Energy Exporters, 2000-14 (percent of GDP); 3.1. Spillovers to Sovereign Bond Yields -- Daily Regressions. 3.2. Spillovers to Stock Prices -- Daily Regressions3.3. Spillovers to Exchange Rates (with respect to US dollar) -- Daily Regressions; 3.4a. Determinants of Spillover Effects on Sovereign Yields -- Panel-Data; 3.4b. Determinants of Spillover Effects on Stock Prices -- Panel-Data Regressions; 3.4c. Determinants of Spillover Effects on Exchange Rates -- Panel-Data Regressions; 4.1. Effects of Selected Exogenous Variables on Bond Yield; 4.2. Effects of Selected Exogenous Variables on the Current Account; 4.3. Effects of Selected Exogenous Variables on Income (GDP); Appendix Figures. 2.1. Central Bank Domestic Assets in Major QE Episodes2.2 Current Accounts in Major QE Episodes; 2.3 Azerbaijan Current Account and Flows; 2.4 Nigeria Current Account and Flows; 2.5 Rep. of Congo Current Account and Flows; 2.6 Energy Exporters with Substantial NOF; 2.7 Energy Exporters with Small NOF; References. Monetary policy. http://id.loc.gov/authorities/subjects/sh85086787 Foreign exchange rates. http://id.loc.gov/authorities/subjects/sh91004893 Politique monétaire. Taux de change. BUSINESS & ECONOMICS Finance. bisacsh Foreign exchange rates fast Monetary policy fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85086787 http://id.loc.gov/authorities/subjects/sh91004893 |
| title | Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies / |
| title_auth | Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies / |
| title_exact_search | Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies / |
| title_full | Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies / by Joseph E. Gagnon [and four others]. |
| title_fullStr | Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies / by Joseph E. Gagnon [and four others]. |
| title_full_unstemmed | Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies / by Joseph E. Gagnon [and four others]. |
| title_short | Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies / |
| title_sort | direct and spillover effects of unconventional monetary and exchange rate policies |
| topic | Monetary policy. http://id.loc.gov/authorities/subjects/sh85086787 Foreign exchange rates. http://id.loc.gov/authorities/subjects/sh91004893 Politique monétaire. Taux de change. BUSINESS & ECONOMICS Finance. bisacsh Foreign exchange rates fast Monetary policy fast |
| topic_facet | Monetary policy. Foreign exchange rates. Politique monétaire. Taux de change. BUSINESS & ECONOMICS Finance. Foreign exchange rates Monetary policy |
| work_keys_str_mv | AT gagnonjosephe directandspillovereffectsofunconventionalmonetaryandexchangeratepolicies |