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Spillovers from Japan's Unconventional Monetary Policy: A global VAR Approach

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  • Ganelli, Giovanni
  • Tawk, Nour

Abstract

•Spillovers from Japan's QQE to Emerging Asia tended to be positive. .•QQE affected other countries through improvements in confidence and expectations. .•Movements in the shadow interest rate do not fully capture the spillover effects .

Suggested Citation

  • Ganelli, Giovanni & Tawk, Nour, 2019. "Spillovers from Japan's Unconventional Monetary Policy: A global VAR Approach," Economic Modelling, Elsevier, vol. 77(C), pages 147-163.
  • Handle: RePEc:eee:ecmode:v:77:y:2019:i:c:p:147-163
    DOI: 10.1016/j.econmod.2017.10.020
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    2. Inoue, Tomoo & Okimoto, Tatsuyoshi, 2022. "International spillover effects of unconventional monetary policies of major central banks," International Review of Financial Analysis, Elsevier, vol. 79(C).
    3. Tomoo Inoue & Tatsuyoshi Okimoto, 2022. "How does unconventional monetary policy affect the global financial markets?," Empirical Economics, Springer, vol. 62(3), pages 1013-1036, March.

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