Spillovers from Japan’s Unconventional Monetary Policy to Emerging Asia: a Global VAR approach

May 20, 2016

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Format: Chicago

Giovanni Ganelli, and Nour Tawk. Spillovers from Japan’s Unconventional Monetary Policy to Emerging Asia: a Global VAR approach, (USA: International Monetary Fund, 2016) accessed December 22, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

We use a Global VAR model to study spillovers from the Bank of Japan’s quantitative and qualitative easing (QQE) on emerging Asia.1 Our main result is that, despite an appreciation of their currencies vis-à-vis the yen, the impact on emerging Asia’s GDP tended to be positive and significant. Our results suggest that the positive effect of QQE on expectations, by improving confidence, more than offset any negative exchange rate spillover due to expenditure switching from domestic demand to Japanese goods. They also suggest that spillovers from QQE might have worked mainly through the impact of expectations and improved confidence, captured by increases in equity prices, rather than through balance sheet adjustments which might have been captured by movements in the monetary base.

Subject: Exchange rates, Financial institutions, Foreign exchange, Inflation, Monetary base, Monetary policy, Money, Prices, Stocks, Unconventional monetary policies

Keywords: Asia and Pacific, Currency appreciation, Emerging Asia, Equity price, Equity price increase, Equity price shock, Europe, Exchange rates, Global, Inflation, Interest rate, Japan, Japan MSCI index, Japan's price competitiveness, Japan's QQE, Japan's quantitative easing program, Monetary base, Net export, Price, Price boom, QQE, QQE in Japan, Spillovers, Stock price effect, Stocks, Unconventional monetary policies, WP

Publication Details

Pages:

32
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2016/099
Stock No:

WPIEA2016099
ISBN:

9781484361689
ISSN:

1018-5941

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