東京大学金融教育研究センター
Japanese
English
Center for Advanced Research in Finance
お問い合わせ
サイトマップ
サイト検索
CARFホーム
センター紹介
ファカルティ
ワーキングペーパー
リサーチ
世界からのメッセージ
アクセス・マップ
リンク集
ワーキングペーパー
分類番号: CARF-F-373
発表時期: 2015 08
タイトル: Currency intervention and the global portfolio balance effect: Japanese lessons
著者: Petra Gerlach-Kristen, Robert N McCauley, Kazuo Ueda
Abstract:

This paper extends the analysis of Bernanke et al (2004) to show that the official Japanese purchases of foreign exchange in 2003-04 seem to have lowered long-term interest rates not only in the United States, but 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 global portfolio rebalancing spread the resulting decline in US dollar yields to bond markets in other currencies, thus easing global monetary conditions. We also show that the global portfolio balance effect is detectable in the response of yields to large Japanese intervention in data before and after 2003/04, though the effect is weaker. While our findings contribute to a growing body of work that points to common responses across bond markets to official portfolio shifts in the form of large-scale bond purchases ("quantitative easing"), our analysis has the advantage of focusing on a pure portfolio shock.

ファイル(PDF): full paper
ワーキングペーパー トップ
Copyright (C) Center for Advanced Research in Finance (CARF)