中央银行债券市场干预对外汇汇率的影响

IF 0.9 Q3 BUSINESS, FINANCE

Quarterly Journal of Finance Pub Date : 2015-06-08 DOI:10.1142/S2010139215500093

R. Jarrow, Hao Li

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引用次数: 1

摘要

本文提供了一个分析中央银行债券市场干预对外汇汇率影响的框架。使用这一框架，我们量化了美联储2008-2011年量化宽松(QE)计划对美元/日元汇率的影响。我们发现,美联储的量化宽松政策占很大一部分美元的贬值在此期间。中央货币当局可以影响汇率在两个方面,通过干预外汇市场来直接或间接地通过影响利率。我们的分析强调了当央行进行大规模资产购买时，间接渠道的重要性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates

This paper provides a framework to analyze the effect of a central bank's bond market intervention on foreign exchange rates. Using this framework, we quantify the impact of the Federal Reserve's 2008–2011 quantitative easing (QE) program on the USD/JPY exchange rate. We find that the Fed's QE accounts for a significant portion of the dollar's depreciation during this period. A central monetary authority can affect exchange rates in two ways, either directly by intervening in foreign exchange markets or indirectly by affecting interest rates. Our analysis emphasizes the importance of the indirect channel when a central bank undertakes large scale asset purchases.

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来源期刊

Quarterly Journal of Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.