Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies
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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.
Series:
Working Paper No. 2017/056
Subject:
Balance of payments Bond yields Current account Current account balance Exchange rates Financial institutions Foreign exchange Monetary policy Unconventional monetary policies
English
Publication Date:
March 13, 2017
ISBN/ISSN:
9781475586237/1018-5941
Stock No:
WPIEA2017056
Pages:
52
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