Implications of non-conventional policy in major currencies

Postgraduate Thesis uoadl:2879980 531 Read counter

Unit:
Κατεύθυνση Διαχείρισης Κεφαλαίων και Κινδύνων
Library of the Faculty of Economics and of the Faculty of Business Administration
Deposit date:
2019-08-01
Year:
2019
Author:
Kalogrias George
Supervisors info:
Δημήτριος Καινούργιος, Αναπληρωτής Καθηγητής, Τομέας IV - Οικονομικής και Διοίκησης των Επιχειρήσεων και Χρηματοοικονομικής, Τμήμα Οικονομικών Επιστημών Αθήνας, Εθνικό και Καποδιστριακό Πανεπιστήμιο Αθηνών
Original Title:
Επιπτώσεις των μέτρων μη συμβατικής νομισματικής πολιτικής στα κυριότερα νομίσματα
Languages:
English
Greek
Translated title:
Implications of non-conventional policy in major currencies
Summary:
This research examines the effects of unconventional central bank policies (European Central Bank, Federal Reserve Bank of America) on the major currencies (EUR / USD, GBP / USD, JPY / USD).
Central banks are adopting monetary policy to change the size of money supply and its growth rate. This is usually done by targeting interest rates, setting mandatory minimum reserves, and undertaking open market operations with government securities. In times of severe economic downturn, these tools are limited as interest rates approach zero and commercial banks worry about liquidity.
Thus, unconventional policy measures are coming to help central banks bring balance, recovery and stability to their countries. They are intended to support the economy and provide further incentives in times when the effectiveness of conventional tools seems to have run out, especially when the policy rate reaches a zero threshold. There is a lively debate about the role of unusual tools and what this role would play in future policy-making. This discussion involves, in part, an assessment of the real costs and benefits of these instruments.
Participating in open market operations other than government bonds, such as mortgage securities, for example, can help in these situations. This is referred to as Quantitative Easing. When Quantitative Easing is not enough, the bank can enter other markets and signal to the market that it will apply an expansionary policy for a long time or even resort to applying a negative nominal interest rate.
The results show significant effects on all three currencies tested. There are strong interactions and correlations between them and long periods of downward volatility and volatility.
By applying the APARCH model (1.1), the results of the estimates (EUR / GBP / JPY) for the programs implemented by the FED and the ECB from 2013 to 2018 lead to the conclusion that the announcements of the two central banks Banks cause a direct depreciation of the pound and the yen, respectively, and have little effect on the respective differences for the euro currency. This result indicates the credibility and effectiveness of the FED and ECB's Quantitative Easing announcements and a clear trend in investor reactions. On the other hand, the euro is lagging behind and is accompanied by some volatility, but not particularly high in all the subperiods of the announcements, which indicates a vague signal of future monetary policy actions for investors.
Main subject category:
Social, Political and Economic sciences
Keywords:
Quantitative Easing, ECB, FED, QE, Aparch Model, EURO,GBP,YEN
Index:
No
Number of index pages:
0
Contains images:
Yes
Number of references:
46
Number of pages:
44
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