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

Thomas Chuffart and Cyril Dell'Eva

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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.

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Date: 2020
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Published in International Economics , 2020, 161, pp.30-40

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Journal Article: The role of carry trades on the effectiveness of Japan's quantitative easing (2020)
Journal Article: The role of carry trades on the effectiveness of Japan's quantitative easing (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03157207

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