The role of carry trades on the effectiveness of Japan's quantitative easing
Thomas Chuffart () and
International Economics, 2020, vol. 161, issue C, 30-40
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:inteco:v:161:y:2020:i:c:p:30-40
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