Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies
Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies
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非常规货币和汇率政策的直接和溢出效应
DOI：
10.1007/s11079-017-9437-0
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发表时间：
2017
影响因子：
1.2
通讯作者：
Horacio. Sapriza
中科院分区：
文献类型：
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作者：
Joseph E. Gagnon;Tamim A. Bayoumi;Juan M. Londoño;Christian Saborowski;Horacio. Sapriza
本文探讨了非常规货币和汇率政策的直接影响和溢出效应。我们发现，官方购买外国资产对一个国家的经常账户有很大的积极影响，随着资本流动性的增加，这种影响会大大减少。官方资产的滞后存量还有一个重要的额外影响。官方购买国内资产，或量化宽松政策，在资本流动性高的情况下，似乎对一国的经常账户没有重大影响，但在资本流动性低的情况下，有一定的积极影响。购买外国资产的影响会根据其他国家的国际金融一体化程度而溢出到其他国家。我们还发现，美国债券收益率的上升与外国债券收益率和股票价格的上升以及外国货币的贬值有关，但在美国宣布非常规货币政策的日子里，所有这些影响都较小。我们开发了一个理论模型，与我们的实证结果基本一致，并强调了国内非常规政策作为类似类型的外交政策影响的反应的潜在有用性。
This paper explores the direct effects and spillovers of unconventional monetary and exchange rate policies. We find that official purchases of foreign assets have a large positive effect on a country’s current account that diminishes considerably as capital mobility rises. There is an important additional effect through the lagged stock of official assets. Official purchases of domestic assets, or quantitative easing (QE), appear to have no significant effect on a country’s current account when capital mobility is high, but there is a modest positive impact when capital mobility is low. The effects of purchases of foreign assets spill over to other countries in proportion to their degree of international financial integration. We also find that increases in US bond yields are associated with increases in foreign bond yields and in stock prices, as well as with depreciations of foreign currencies, but that all of these effects are smaller on days of US unconventional monetary policy announcements. We develop a theoretical model that is broadly consistent with our empirical results and that highlights the potential usefulness of domestic unconventional policies as responses to the effects of foreign policies of a similar type.