Currency intervention and the global portfolio balance effect: Japanese lessons
AbstractThis paper shows that the Japanese foreign exchange interventions in 2003/04 seem to have lowered long-term interest rates in a wide range of countries, including Japan. It seems that this decline was triggered by the investment of the intervention proceeds in US bonds and that a global portfolio balance effect spread the resulting decline in US yields to other bond markets, thus easing global monetary conditions.
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Bibliographic InfoPaper provided by Economic and Social Research Institute (ESRI) in its series Papers with number WP442.
Date of creation: Oct 2012
Date of revision:
Other versions of this item:
- Petra Gerlach-Kristen & Robert N McCauley, 2012. "Currency intervention and the global portfolio balance effect: Japanese lessons," BIS Working Papers 389, Bank for International Settlements.
- NEP-ALL-2013-01-19 (All new papers)
- NEP-CBA-2013-01-19 (Central Banking)
- NEP-IFN-2013-01-19 (International Finance)
- NEP-MON-2013-01-19 (Monetary Economics)
- NEP-OPM-2013-01-19 (Open Economy Macroeconomic)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tsutomu Watanabe & Tomoyoshi Yabu, 2011.
"The Great Intervention and Massive Money Injection: The Japanese Experience 2003-2004,"
CARF-F-266, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Watanabe, Tsutomu & Yabu, Tomoyoshi, 2013. "The great intervention and massive money injection: The Japanese experience 2003–2004," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 428-443.
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"Is sterilised foreign exchange intervention effective after all? an event study approach,"
Royal Economic Society, vol. 113(487), pages 390-411, 04.
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- Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004.
"Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment,"
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 35(2), pages 1-100.
- Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004. "Monetary policy alternatives at the zero bound: an empirical assessment," Finance and Economics Discussion Series 2004-48, Board of Governors of the Federal Reserve System (U.S.).
- Serge Jeanneau & Camilo E Tovar, 2006. "Domestic bond markets in Latin America: achievements and challenges," BIS Quarterly Review, Bank for International Settlements, June.
- Robert McCauley & Guorong Jiang, 2004. "Diversifying with Asian local currency bonds," BIS Quarterly Review, Bank for International Settlements, September.
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