Japanese monetary policy and international spillovers

Dekle, Robert; Hamada, Koichi

doi:10.1016/j.jimonfin.2014.11.018

Cited by 21 publications

(4 citation statements)

References 19 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Similarly, Chen et al (2016) show that the global spillovers of the US UMP effects on reductions in the US term and corporate bond spreads are sizable and vary across economies. Dekle and Hamada (2015) and Ganelli and Tawk (2019) document the positive and significant spillovers of the BOJ's monetary policy effects on Asian economies. Chen et al (2017) analyze the spillover effects of the Fed and the ECB's UMPs on 24 economies and confirm that US UMPs generally have stronger domestic and cross-border impacts on output growth and inflation, than Euro area non-standard measures.…”

Section: Introductionmentioning

confidence: 98%

International spillover effects of unconventional monetary policies of major central banks

Inoue

Okimoto

2022

International Review of Financial Analysis

View full text Add to dashboard Cite

This study examines the effects of unconventional monetary policies (UMPs) by the major central banks, namely the Bank of England (BOE), Bank of Japan (BOJ), European Central Bank (ECB) and the Federal Reserve (Fed) on the international financial markets, taking global spillovers into account. To this end, we apply the Global Vector Autoregressive (GVAR) model to 35 countries and one region for the period from March 2009 to July 2019. Our results indicate that the effects vary across four asset classes and central banks. For example, the UMPs of the Fed and the BOJ have signicant impacts on the regional sovereign bond markets, while the ECB UMPs show relatively stronger and broader effects on global bond markets. The global equity markets were also considerably affected by UMPs of the Fed, ECB, and BOJ. Furthermore, we found some evidence of monetary policy interactions amongst the four major central banks. This resulted in the effects being less persistent on the global bond markets for the Fed and the ECB, but more persistent on equity and foreign exchange markets for the Fed and the BOJ.

show abstract

Section: Introductionmentioning

confidence: 98%

International spillover effects of unconventional monetary policies of major central banks

Inoue

Okimoto

2022

International Review of Financial Analysis

View full text Add to dashboard Cite

show abstract

“…Secondly, the application of Pooled Mean Group-Autoregressive Distributed Lag (PMG-ARDL) bond testing approach is an innovation that identifies and prevents problems relating with estimating short time series data [1], it also has the ability to estimate the long run and short run parameters concurrently for the avoidance of the problems posed by non-stationarity time series data and the procedures are statistically a much more significant approach to decipher cointegration relationships in small samples by allowing different optimal lags of variables [13].…”

Section: Introductionmentioning

confidence: 99%

Dividend policy-performance nexus: PMG-ARDL approach

Akinlo

Olayiwola

2021

Futur Bus J

View full text Add to dashboard Cite

This paper examines the long run and short run link between dividend payout policy and corporate performance of quoted companies in Nigeria over the period 2001–2018. The study employs data of 80 listed companies collected from the audited financial statements of the companies and the publication of Central Bank of Nigeria. Using Pooled Mean Group-Autoregressive Distributed Lag approach, the result shows that dividend policy negatively and statistically influence performance in the short run, while in the long run the effect is positive and significant.

show abstract

“…Thus, in the early phase of QQE, several Asian EME showed serious concern about its potential beggar‐thy‐neighbour effect, which may result in regional competitive devaluation. However, authors such as Dekle and Hamada () and Kawai () point out that unlike US quantitative easing, Japan’s QQE without a negative interest rate may have positive spillover effects on the rest of the world. Fukuda (), for example, shows that it benefitted East Asian economies because the positive spillover effects of Japan’s stock market recovery dominated the beggar‐thy‐neighbour effects in the region.…”

Section: Introductionmentioning

confidence: 99%

Impacts of Japan’s negative interest rate policy on Asian financial markets

Fukuda

2018

Pacific Economic Review

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Asian Development Bank InstituteThe Working Paper series is a continuation of the formerly named Discussion Paper series; the numbering of the papers continued without interruption or change. ADBI's working papers reflect initial ideas on a topic and are posted online for discussion. ADBI encourages readers to post their comments on the main page for each working paper (given in the citation below). Some working papers may develop into other forms of publication.ADB recognizes "China" as the People's Republic of China; "Hong Kong" as Hong Kong, China; and "Korea" as the Republic of Korea. Shin-ichi Fukuda is professor of economics at the University of Tokyo.The views expressed in this paper are the views of the author and do not necessarily reflect the views or policies of ADBI, ADB, its Board of Directors, or the governments they represent. ADBI does not guarantee the accuracy of the data included in this paper and accepts no responsibility for any consequences of their use. Terminology used may not necessarily be consistent with ADB official terms.Working papers are subject to formal revision and correction before they are finalized and considered published.Asian Development Bank Institute Kasumigaseki Building, 8th Floor 3-2-5 Kasumigaseki, Chiyoda-ku Tokyo 100-6008, JapanTel:+81-3-3593-5500 Fax:+81-3-3593-5571 URL:www.adbi.org E-mail: info@adbi.org AbstractThe purpose of this paper is to explore the spillover effects Japan's negative interest rate policy (NIRP) had on Asian financial markets. Unlike the quantitative and qualitative monetary easing (QQE) without a negative interest rate, the NIRP not only had limited impacts on Japan's economy but also raised a serious concern about profitability of local financial institutions. It is thus likely that its spillover effects are very different from those of the QQE without a negative interest rate. In the analysis, we examine spillover effects on Asian stock markets. We find that Japan's long-term interest rate had significant negative effects on Asian stock prices during the NIRP period. We also find that the spillover effects were especially significant through a decline of excess returns in Japan's finance sector. The results imply that the NIRP that lowered the long-term rate below zero might have benefited Asian economies. We discuss that this might have happened because local financial institutions who lost their profit opportunities in domestic markets explored a new p...

show abstract

Japanese monetary policy and international spillovers

Cited by 21 publications

References 19 publications

International spillover effects of unconventional monetary policies of major central banks

International spillover effects of unconventional monetary policies of major central banks

Dividend policy-performance nexus: PMG-ARDL approach

Impacts of Japan’s negative interest rate policy on Asian financial markets

Contact Info

Product

Resources

About