<< N°161
| N°161 | ||
| Issue Q1 2020 | ||
| The role of carry trades on the effectiveness of Japan's quantitative easing | ||
|
Thomas Chuffart Cyril Dell'Eva |
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| This paper investigates how carry trades altered the efficiency of the Japanese quantitative easing policy between March 1995 and September 2010. Monetary policy shocks are identified by means of a data-driven Structural VAR approach. Accordingly, our results rely exclusively on the statistical properties of the data through non-Gaussian identification. We show that carry trades, by altering the portfolio re-balancing channel, have attenuated the impact of the Japanese quantitative easing policy on growth. |
Abstract |
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| Carry trades ; Unconventional monetary policy ; Data-driven structural ; VAR ; Japan ; | Keywords | |
| C32 ; C54 ; E5 ; E52 ; E58 ; | JEL classification | |
| Order form |