The role of carry trades on the effectiveness of Japan's quantitative easing

Thomas Chuffart and Cyril Dell'Eva

International Economics, 2020, issue 161, 30-40

Abstract: 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.

Keywords: Carry trades; Unconventional monetary policy; Data-driven structural; VAR; Japan (search for similar items in EconPapers)
JEL-codes: C32 C54 E5 E52 E58 (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.sciencedirect.com/science/article/pii/S2110701719300095 (text/html)

Related works:
Journal Article: The role of carry trades on the effectiveness of Japan's quantitative easing (2020)
Working Paper: The role of carry trades on the effectiveness of Japan's quantitative easing (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cii:cepiie:2020-q1-161-3

Access Statistics for this article

More articles in International Economics from CEPII research center Contact information at EDIRC.
Bibliographic data for series maintained by ().