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...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2017.
|
| Series: | IMF working paper ;
WP/17/56. |
| Subjects: | |
| Online Access: | DE-862 DE-863 |
| Summary: | 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. |
| Physical Description: | 1 online resource (53 pages) |
| ISBN: | 9781475587012 1475587015 |
| ISSN: | 1018-5941 ; |
Staff View
MARC
| LEADER | 00000cam a2200000 4500 | ||
|---|---|---|---|
| 001 | ZDB-4-EBA-ocn982012185 | ||
| 003 | OCoLC | ||
| 005 | 20250103110447.0 | ||
| 006 | m o d | ||
| 007 | cr |n|---||||| | ||
| 008 | 170408s2017 dcu o 000 0 eng d | ||
| 040 | |a EBLCP |b eng |e pn |c EBLCP |d YDX |d IDEBK |d MERUC |d LLB |d OCLCQ |d OCLCO |d OCLCF |d WRM |d CEF |d OTZ |d N$T |d AGLDB |d IGB |d OCLCQ |d G3B |d S8J |d STF |d D6H |d BTN |d AUW |d INTCL |d MHW |d SNK |d OCLCQ |d CUS |d OCLCO |d OCLCQ |d OCLCO |d OCLCL |d OCLCQ | ||
| 019 | |a 981592072 |a 981861399 |a 981995546 |a 1264815772 | ||
| 020 | |a 9781475587012 |q (electronic bk.) | ||
| 020 | |a 1475587015 |q (electronic bk.) | ||
| 020 | |z 1475587015 | ||
| 020 | |z 147558623X | ||
| 020 | |z 9781475586237 | ||
| 024 | 7 | |a 10.5089/9781475586237.001 |2 doi | |
| 035 | |a (OCoLC)982012185 |z (OCoLC)981592072 |z (OCoLC)981861399 |z (OCoLC)981995546 |z (OCoLC)1264815772 | ||
| 037 | |a 1004660 |b MIL | ||
| 050 | 4 | |a HG230.3 | |
| 072 | 7 | |a BUS |x 027000 |2 bisacsh | |
| 082 | 7 | |a 332.46 |2 23 | |
| 049 | |a MAIN | ||
| 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. | ||
| 300 | |a 1 online resource (53 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper, |x 1018-5941 ; |v WP/17/56 | |
| 588 | 0 | |a Print version record. | |
| 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. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Foreign exchange rates |2 fast | |
| 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 | |
| 966 | 4 | 0 | |l DE-862 |p ZDB-4-EBA |q FWS_PDA_EBA |u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1496840 |3 Volltext |
| 966 | 4 | 0 | |l DE-863 |p ZDB-4-EBA |q FWS_PDA_EBA |u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1496840 |3 Volltext |
| 936 | |a BATCHLOAD | ||
| 938 | |a ProQuest Ebook Central |b EBLB |n EBL4835193 | ||
| 938 | |a EBSCOhost |b EBSC |n 1496840 | ||
| 938 | |a ProQuest MyiLibrary Digital eBook Collection |b IDEB |n cis37908722 | ||
| 938 | |a YBP Library Services |b YANK |n 13953448 | ||
| 994 | |a 92 |b GEBAY | ||
| 912 | |a ZDB-4-EBA | ||
| 049 | |a DE-862 | ||
| 049 | |a DE-863 | ||
Record in the Search Index
| DE-BY-FWS_katkey | ZDB-4-EBA-ocn982012185 |
|---|---|
| _version_ | 1829095103687294976 |
| adam_text | |
| any_adam_object | |
| author | Gagnon, Joseph E. |
| author_GND | http://id.loc.gov/authorities/names/n89638573 |
| author_facet | Gagnon, Joseph E. |
| author_role | aut |
| author_sort | Gagnon, Joseph E. |
| author_variant | j e g je jeg |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG230 |
| callnumber-raw | HG230.3 |
| callnumber-search | HG230.3 |
| callnumber-sort | HG 3230.3 |
| callnumber-subject | HG - Finance |
| collection | ZDB-4-EBA |
| 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 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.46 |
| dewey-search | 332.46 |
| dewey-sort | 3332.46 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>05030cam a2200625 4500</leader><controlfield tag="001">ZDB-4-EBA-ocn982012185</controlfield><controlfield tag="003">OCoLC</controlfield><controlfield tag="005">20250103110447.0</controlfield><controlfield tag="006">m o d </controlfield><controlfield tag="007">cr |n|---|||||</controlfield><controlfield tag="008">170408s2017 dcu o 000 0 eng d</controlfield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">EBLCP</subfield><subfield code="b">eng</subfield><subfield code="e">pn</subfield><subfield code="c">EBLCP</subfield><subfield code="d">YDX</subfield><subfield code="d">IDEBK</subfield><subfield code="d">MERUC</subfield><subfield code="d">LLB</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCF</subfield><subfield code="d">WRM</subfield><subfield code="d">CEF</subfield><subfield code="d">OTZ</subfield><subfield code="d">N$T</subfield><subfield code="d">AGLDB</subfield><subfield code="d">IGB</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">G3B</subfield><subfield code="d">S8J</subfield><subfield code="d">STF</subfield><subfield code="d">D6H</subfield><subfield code="d">BTN</subfield><subfield code="d">AUW</subfield><subfield code="d">INTCL</subfield><subfield code="d">MHW</subfield><subfield code="d">SNK</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">CUS</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCL</subfield><subfield code="d">OCLCQ</subfield></datafield><datafield tag="019" ind1=" " ind2=" "><subfield code="a">981592072</subfield><subfield code="a">981861399</subfield><subfield code="a">981995546</subfield><subfield code="a">1264815772</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781475587012</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1475587015</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">1475587015</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">147558623X</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">9781475586237</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.5089/9781475586237.001</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)982012185</subfield><subfield code="z">(OCoLC)981592072</subfield><subfield code="z">(OCoLC)981861399</subfield><subfield code="z">(OCoLC)981995546</subfield><subfield code="z">(OCoLC)1264815772</subfield></datafield><datafield tag="037" ind1=" " ind2=" "><subfield code="a">1004660</subfield><subfield code="b">MIL</subfield></datafield><datafield tag="050" ind1=" " ind2="4"><subfield code="a">HG230.3</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS</subfield><subfield code="x">027000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="082" ind1="7" ind2=" "><subfield code="a">332.46</subfield><subfield code="2">23</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">MAIN</subfield></datafield><datafield tag="245" ind1="0" ind2="0"><subfield code="a">Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies /</subfield><subfield code="c">by Joseph E. Gagnon [and four others].</subfield></datafield><datafield tag="260" ind1=" " ind2=" "><subfield code="a">Washington, D.C. :</subfield><subfield code="b">International Monetary Fund,</subfield><subfield code="c">2017.</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (53 pages)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">computer</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">online resource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">IMF working paper,</subfield><subfield code="x">1018-5941 ;</subfield><subfield code="v">WP/17/56</subfield></datafield><datafield tag="588" ind1="0" ind2=" "><subfield code="a">Print version record.</subfield></datafield><datafield tag="505" ind1="0" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="520" ind1="3" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Monetary policy.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85086787</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Foreign exchange rates.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh91004893</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Politique monétaire.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Taux de change.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS</subfield><subfield code="x">Finance.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Foreign exchange rates</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Monetary policy</subfield><subfield code="2">fast</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Gagnon, Joseph E.,</subfield><subfield code="e">author.</subfield><subfield code="0">http://id.loc.gov/authorities/names/n89638573</subfield></datafield><datafield tag="758" ind1=" " ind2=" "><subfield code="i">has work:</subfield><subfield code="a">Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies (Text)</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PCFXRrQdGhhfGyBVYJPPKgq</subfield><subfield code="4">https://id.oclc.org/worldcat/ontology/hasWork</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Print version:</subfield><subfield code="a">Gagnon, Joseph E.</subfield><subfield code="t">Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies.</subfield><subfield code="d">Washington, D.C. : International Monetary Fund, ©2017</subfield><subfield code="z">9781475586237</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">IMF working paper ;</subfield><subfield code="v">WP/17/56.</subfield><subfield code="0">http://id.loc.gov/authorities/names/no89010263</subfield></datafield><datafield tag="966" ind1="4" ind2="0"><subfield code="l">DE-862</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FWS_PDA_EBA</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1496840</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="4" ind2="0"><subfield code="l">DE-863</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FWS_PDA_EBA</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1496840</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="936" ind1=" " ind2=" "><subfield code="a">BATCHLOAD</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ProQuest Ebook Central</subfield><subfield code="b">EBLB</subfield><subfield code="n">EBL4835193</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">EBSCOhost</subfield><subfield code="b">EBSC</subfield><subfield code="n">1496840</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ProQuest MyiLibrary Digital eBook Collection</subfield><subfield code="b">IDEB</subfield><subfield code="n">cis37908722</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">YBP Library Services</subfield><subfield code="b">YANK</subfield><subfield code="n">13953448</subfield></datafield><datafield tag="994" ind1=" " ind2=" "><subfield code="a">92</subfield><subfield code="b">GEBAY</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBA</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-862</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-863</subfield></datafield></record></collection> |
| id | ZDB-4-EBA-ocn982012185 |
| illustrated | Not Illustrated |
| indexdate | 2025-04-11T08:43:42Z |
| institution | BVB |
| isbn | 9781475587012 1475587015 |
| issn | 1018-5941 ; |
| language | English |
| oclc_num | 982012185 |
| open_access_boolean | |
| owner | MAIN DE-862 DE-BY-FWS DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-862 DE-BY-FWS DE-863 DE-BY-FWS |
| physical | 1 online resource (53 pages) |
| psigel | ZDB-4-EBA FWS_PDA_EBA ZDB-4-EBA |
| publishDate | 2017 |
| publishDateSearch | 2017 |
| publishDateSort | 2017 |
| publisher | International Monetary Fund, |
| record_format | marc |
| series | IMF working paper ; |
| 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 |