Effects of US conventional and unconventional monetary policies on financial markets in emerging countries

2020 Fiscal Year Final Research Report

• Project/Area Number: 17K03701
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic policy
• Research Institution: Asahikawa University
• Principal Investigator: Ono Shigeki 旭川大学, 経済学部, 教授 (50333589)
• Project Period (FY): 2017-04-01 – 2021-03-31
• Keywords: 金融政策 / 非伝統的金融政策 / 金融市場 / VAR / グローバルVAR / インパルス応答

Outline of Final Research Achievements

This study investigates the effects of conventional and unconventional US monetary policies on financial markets in emerging countries. I conducted impulse response analysis, employing global VAR models. The results show that conventional monetary tightening policy was effective on stock prices while conventional monetary easing policy was not effective. Unconventional monetary easing policy had no significant positive effects on stock prices as in conventional monetary easing policy. Furthermore, an unconventional monetary policy shock depreciated exchange rates, showing a flight to quality to the US dollar. An unconventional US monetary easing shock significantly decreased interest rates. Moreover, in the unconventional US monetary tightening period, stock prices in many countries persistently decreased with statistical significance, showing concern that economic activities around the world would slow down.

Free Research Field

金融政策

Academic Significance and Societal Importance of the Research Achievements

本研究では米国の伝統的・非伝統的金融政策が新興国の金融市場に与える影響を分析した。具体的には、米国の金融政策ショックを与えた場合に金融市場がどのような反応を示すかを検証した。分析では伝統的引き締め策が株価に効果を示しているのに対して、伝統的緩和策は効果を示さなかった。また非伝統的緩和政策は伝統的緩和政策と同様、株価に対して正の影響を及ぼすことができなかった。さらに非伝統的緩和政策は米ドルへの質への逃避を示している。非伝統的金融引き締め期においては多くの国の株価は下落反応を示し、世界経済の減速に対する懸念を示した。本研究は米国の伝統的・非伝統的金融政策の相違や引き締め・緩和政策間の相違を示した。