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    Carry Trades in Asia and the Pacific: Evidence on Unconventional Monetary Policies of Advanced Ecomomies

    Chantapacpedong, Pornpinun; Ito, Hiroyuki; Hull, Kieran | December 2017
    Abstract
    Since the Global Financial Crisis (GFC) of 2008, the world economy has faced many challenges and changes, which led us to reassess the uncovered interest rate parity (UIP). We are particularly interested in whether and to what extent unconventional monetary policy (UMP) affects the UIP relationship for 11 currencies in Asia and the Pacific. When we run the Fama regression for the period of 2001 through 2016, we show that UIP does not hold, consistent with previous studies. We augment the original Fama regression with a set of variables that represent financial and macroeconomic conditions as well as unconventional monetary policies. We find that the unconventional monetary policies in advanced economies have a significant effect on the Fama beta. The QE in the US and QQE in Japan cause the Fama beta to be more negative, implying carry trade activities and “search for yield” behaviour. On the other hand, the negative interest rate policy (NIRP), especially in the Eurozone and Switzerland, seem to cause greater uncertainty and have a positive effect on the Fama beta.
    Citation
    Chantapacpedong, Pornpinun; Ito, Hiroyuki; Hull, Kieran. 2017. Carry Trades in Asia and the Pacific: Evidence on Unconventional Monetary Policies of Advanced Ecomomies. © Asian Development Bank Institute. http://hdl.handle.net/11540/7779.
    Keywords
    Public Accounting
    Business Financing
    Subsidies
    Social Equity
    Economic Equity
    Project Risks
    Project Impact
    Public Administration
    Corporations
    Taxation
    Public Debt
    Local Government
    Debt Management
    Taxation
    Public Accounting
    National Budget
    Municipal Bonds
    Local Government
    Local Taxes
    International Monetary Relations
    International Financial Market
    International Banking
    Central Banks
    Business Financing
    Financial Aspects
    Fiscal Policy
    Regional Development Finance
    Public Scrutiny of City Finances
    Non-Bank Financial Institutions
    Local Government Finance
    Government Financial Institutions
    Foreign and Domestic Financing
    Financial Risk Management
    Assessing Corporate Governance
    Good Governance
    Governance Approach
    Urban Development Finance
    Trade Finance
    Small Business Finance
    Rural Finance
    Roundtable on International Trade and Finance
    Regional Development Finance
    Investment Requirements
    Banks
    |Taxing power
    Tax administration and procedure
    Tax policy
    Effect of taxation on labor supply
    Decentralization in government
    Community power
    Corporate divestment
    Civil government
    Delegation of powers
    Equality
    Neighborhood government
    Subnational governments
    Delivery of government services
    Local taxation
    Options
    Government
    Local government
    Taxation
    Grants
    Loans
    Use tax
    Taxing power
    State of taxation
    Tax-sales
    Tax revenue estimating
    Tax planning
    Spendings tax
    Special assessments
    Tax administration and procedure
    Sales tax
    Real property and taxation
    Progressive taxation
    Effect of taxation on land use
    Effect of taxation on labor supply
    Intergovernmental tax relations
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    Citable URI
    http://hdl.handle.net/11540/7779
    Metadata
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    Author
    Chantapacpedong, Pornpinun
    Ito, Hiroyuki
    Hull, Kieran
    Theme
    Finance
    Governance
     
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise