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

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  • Thomas Chuffart
  • Cyril Dell'Eva

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.

Suggested Citation

  • Thomas Chuffart & Cyril Dell'Eva, 2020. "The role of carry trades on the effectiveness of Japan's quantitative easing," International Economics, CEPII research center, issue 161, pages 30-40.
    • Handle: RePEc:cii:cepiie:2020-q1-161-3
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    File URL: https://www.sciencedirect.com/science/article/pii/S2110701719300095
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    Cited by:

    1. Sato, Ayano & Nakata, Hayato & Percy, Jay, 2024. "Time-variant safe haven currencies," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 316-328.

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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