Currency intervention and the global portfolio balance effect: Japanese and Swiss lessons, 2003-2004 and 2009-2010
AbstractThis paper shows that the Japanese and Swiss foreign exchange interventions in 2003/04 and 2009/10 seem to have lowered long-term interest rates in a range of industrial countries, including Japan and Switzerland. It seems that this decline was triggered by the investment of the intervention funds in US and euro area bonds and that a global portfolio balance effect made this decline in interest rate spread to other markets, thus easing monetary conditions at home and abroad.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-830.
Length: 14 pages
Date of creation: Dec 2011
Date of revision:
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Other versions of this item:
- Petra Gerlach & Robert N McCauley & Kazuo Ueda, 2011. "Currency intervention and the global portfolio balance effect: Japanese and Swiss lessons, 2003-2004 and 2009-2010," CARF F-Series CARF-F-264, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- NEP-ALL-2012-01-03 (All new papers)
- NEP-MON-2012-01-03 (Monetary Economics)
- NEP-OPM-2012-01-03 (Open Economy Macroeconomics)
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- Robert N McCauley, 2012. "Risk-on/risk-off, capital flows, leverage and safe assets," BIS Working Papers 382, Bank for International Settlements.
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