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Book Cover
E-book
Author Ganelli, Giovanni, author

Title Spillovers from Japan's unconventional monetary policy to emerging Asia : a global VAR approach / prepared by Giovanni Ganelli and Nour Tawk
Published [Washington, D.C.] : International Monetary Fund, [2016]
©2016
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Description 1 online resource (32 pages) : illustrations
Series IMF Working Paper ; WP/16/99
IMF working paper ; WP/16/99
Contents Cover; Contents; Abstract ; I. Introduction; II. Literature review; III. Data and VARX setup; A. Unconventional monetary policy shock identification; B. Data; C. The weighting schemes of the GVAR model; D. VARX setups; IV. Dynamic Analysis; A. Structural Impulse Response; B. Impulse response results; One negative standard deviation shock to Japan's interest rates; One positive standard deviation shock to Japan's monetary base; One positive standard deviation shock to Japan's equity prices; V. Counterfactual analysis; VI. Conclusion; Technical appendix; A. The GVAR model framework
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
Notes B. GVAR estimation
Bibliography Includes bibliographical references (pages 28-29)
Notes Print version record
Subject Monetary policy -- Asia.
Monetary policy -- Japan.
Form Electronic book
Author Tawk, Nour, author
ISBN 1475526008
1484361687
9781475526004
9781484361689