{
  "title": "Spillovers from Japan’s Unconventional Monetary Policy to Emerging Asia: a Global VAR approach",
  "publication": "IMF Working Papers, May 20, 2016",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/31/spillovers-from-japans-unconventional-monetary-policy-to-emerging-asia-a-global-var-approach-43913",
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  "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.",
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    {
      "heading": "Summary",
      "content": "- Study uses a Global VAR model to analyze spillovers from the Bank of Japan’s quantitative and qualitative easing (QQE) on emerging Asia.\n- Main result: despite an appreciation of emerging Asia currencies vis-à-vis the yen, the impact on emerging Asia’s GDP tended to be positive and significant.\n- Interpretation: the positive effect of QQE on expectations, by improving confidence, more than offset negative exchange rate spillovers from expenditure switching toward Japanese goods.\n- Channels indicated: spillovers likely operated mainly through expectations and improved confidence—captured by increases in equity prices—rather than through balance sheet adjustments captured by movements in the monetary base."
    },
    {
      "heading": "Key findings and statistics",
      "content": "- Impact on emerging Asia’s GDP: positive and significant (as stated).\n- Exchange rate response: appreciation of emerging Asia currencies vis-à-vis the yen.\n- Mechanism emphasis:\n  - Equity prices increased, capturing the expectations/confidence channel.\n  - Monetary base movements played a lesser role, suggesting limited balance sheet transmission."
    },
    {
      "heading": "Policy-relevant implications",
      "content": "- Unconventional monetary policy in a major economy can generate net positive output spillovers to emerging Asia through confidence and equity price channels even when their currencies appreciate.\n- Monitoring equity market responses and confidence indicators may be more informative for spillover effects from QQE-like policies than focusing solely on monetary base measures."
    },
    {
      "heading": "Subject classification and keywords (as provided)",
      "content": "- Subject: Exchange rates, Financial institutions, Foreign exchange, Inflation, Monetary base, Monetary policy, Money, Prices, Stocks, Unconventional monetary policies\n- 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\n\n---\n\n Content in this bundle\n\n- wp1699 — GVAR analysis of Japan’s QQE spillovers\n  - wp1699 — GVAR analysis of Japan’s QQE spillovers (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp1699 — GVAR analysis of Japan’s QQE spillovers (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/spillovers-from-japans-unconventional-monetary-policy-to-emerging-asia-a-global-var-approach-43913"
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    "Authors: Giovanni Ganelli, Nour Tawk",
    "Published: May 20, 2016",
    "Series: IMF Working Papers",
    "Study uses a Global VAR model to analyze spillovers from the Bank of Japan’s quantitative and qualitative easing (QQE) on emerging Asia.",
    "Main result: despite an appreciation of emerging Asia currencies vis-à-vis the yen, the impact on emerging Asia’s GDP tended to be positive and significant.",
    "Interpretation: the positive effect of QQE on expectations, by improving confidence, more than offset negative exchange rate spillovers from expenditure switching toward Japanese goods.",
    "Channels indicated: spillovers likely operated mainly through expectations and improved confidence—captured by increases in equity prices—rather than through balance sheet adjustments captured by movements in the monetary base.",
    "Impact on emerging Asia’s GDP: positive and significant (as stated).",
    "Exchange rate response: appreciation of emerging Asia currencies vis-à-vis the yen.",
    "Mechanism emphasis:",
    "Unconventional monetary policy in a major economy can generate net positive output spillovers to emerging Asia through confidence and equity price channels even when their currencies appreciate.",
    "Monitoring equity market responses and confidence indicators may be more informative for spillover effects from QQE-like policies than focusing solely on monetary base measures.",
    "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",
    "**_wp1699 — GVAR analysis of Japan’s QQE spillovers**"
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