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...
| Autor principal: | |
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| Otros Autores: | , |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Washington, D.C. :
International Monetary Fund
2017.
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| Colección: | EBSCO Academic eBook Collection Complete.
IMF Working Papers. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b37991024*spi |
Tabla de Contenidos:
- 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.
