Effects of U.S. Quantitative Easing on Foreign Exchange Markets

Transcription

1 Effects of U.S. Quantitative Easing on Foreign Exchange Markets Shota MURAMOTO Chikafumi NAKAMURA Abstract This study analyzes effects of quantitative easing (QE) in the U.S. on foreign exchange ma rkets. Since the global financial crisis, FRB has promoted untraditional monetary policies like QE in response to economic slowdowns in the U.S. However, it is highly likely that the policies have influences not only on the U.S. economy but also all over the world. Thus, we focus on a relationship between the QE and exchange rates as a display of the global spillover effects. For this purpose, we identify the U.S. QE shock with a sign restriction VAR approach, and then reveal relationships between the QE shock and major currencies behavior. As a result, we find that the QE depreciates EUR and GBP against USD while it appreciates JPY. We also show that the QE resulted in increases in volatility of EUR and JPY. Key Words Quantitative Easing; Exchange Rate Volatility; Sign Restriction Approach VAR Vector Autoregressive QE Quantitative Easing 2007

2 84 1 QE Neely LSAP Large Scale Asset Purchases 2 Glick and Leduc intraday QE QE Chinn VAR Agnion et al QE QE QE QE QE CPI USD/EURO USE/YEN USD/GBP Pacific Exchange Rate Service International Financial Statistics.. QE

3 85 ARMA GARCH ARMA 1, 1 -GARCH 1, 1 4 x t 0 1 x t 1 2 t 1 t t h t t, t iid N 0, 1 h t 0 1 h t t 1 dy t I A L 1 du t QE QE QE QE u i i t US, EURO, JPN, UK û t US u t QE US EURO u t QE EURO JP u t QE JP.. Q QE Bernanke and Kutner 2005 VAR AIC y t A 1 y t 1 A 2 y t 2 u t û t QE û t û t u QE t u ~ t u QE t QE u ~ QE QE I A L UK u t QE UR u ~ t dy t I A L 1 US du t QE US QE VAR QE QE 3... VAR QE QE QE VAR VAR YCPI P M VAR Uhlig 2005 VAR VAR

4 86 QE Christiano et al Christiano et al Schenkelberg and Watzka Y P M Bayesian VAR MCMC 6 VAR

5 87 VAR VAR

6 88 VAR VAR VAR QE QE.. QE Berananke and Kuttner 2005 QE QE QE

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