全球智库信息集成服务系统(G2TT): DP14324 Does a Big Bazooka Matter? Quantitative Easing Policies and Exchange Rates

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP14324
	DP14324 Does a Big Bazooka Matter? Quantitative Easing Policies and Exchange Rates
	Luca Dedola; Georgios Georgiadis; Johannes Gräb; Arnaud Mehl
发表日期	2020-01-17
出版年	2020
语种	英语
摘要	We estimate the effects of quantitative easing (QE) measures by the ECB and the Federal Reserve on the US dollar-euro exchange rate at frequencies and horizons relevant for policymakers. To do so, we derive a theoretically-consistent local projection regression equation from the standard asset pricing formulation of exchange rate determination. We then proxy unobserved QE shocks by future changes in the relative size of central banks’ balance sheets, which we instrument with QE announcements in two-stage least squares regressions in order to account for their endogeneity. We find that QE measures have large and persistent effects on the exchange rate. The typical ECB or Federal Reserve expansionary QE announcement in our sample resulted in an increase in the relative balance sheet of about 20% and, in turn, in a persistent exchange rate depreciation of around 7%. Regarding transmission channels, we find that a relative QE shock that expands the ECB’s balance sheet relative to that of the Federal Reserve depreciates the euro against the US dollar by reducing euro-dollar short-term money market rate differentials, by widening the cross-currency basis and by eliciting adjustments in “residual” deviations from interest parity. Changes in the expectations about the future monetary policy stance, reflecting the “signalling'” channel of QE, also contribute to the exchange rate response to QE shocks.
主题	International Macroeconomics and Finance
关键词	Qe dynamic effects Signalling channel of qe Cip deviations
URL	https://cepr.org/publications/dp14324
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/543216
推荐引用方式 GB/T 7714	Luca Dedola,Georgios Georgiadis,Johannes Gräb,et al. DP14324 Does a Big Bazooka Matter? Quantitative Easing Policies and Exchange Rates. 2020.