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Impact of the ECB Quantitative Easing on the International Investment Position
International Economics Pub Date : 2021-01-06 , DOI: 10.1016/j.inteco.2020.12.006
Rafael Cezar , Maéva Silvestrini

This paper aims at estimating the impact of Quantitative Easing (QE) implemented by the ECB on external assets and liabilities recorded in the International Investment Position (IIP). Indeed, monetary policy affects the prices of securities and exchange rates, as well as international capital flows. These movements affect the IIP and can trigger important global imbalances and financial stability issues. Our analysis focuses on France. We find that QE affected all the items composing its IIP. Announcements played a stronger role compared to amounts purchased. We also decompose changes in the IIP into flows and valuation effects and show that the latter was the most reactive to the programme. Finally, we quantify the overall effect by establishing counterfactual scenarios in the absence of QE. The strong impact observed initially was rapidly counterbalanced; suggesting an over-adjustment phenomenon at the beginning of the programme.



中文翻译:

欧洲央行量化宽松政策对国际投资头寸的影响

本文旨在评估欧洲央行实施的量化宽松(QE)对国际投资头寸(IIP)中记录的外部资产和负债的影响。确实,货币政策影响证券价格和汇率以及国际资本流动。这些动向影响国际投资头寸,并可能引发重要的全球失衡和金融稳定问题。我们的分析重点是法国。我们发现,量化宽松影响了构成其国际投资头寸的所有项目。与购买金额相比,公告发挥了更大的作用。我们还将国际投资头寸的变化分解为流量和估值效应,并表明后者对计划反应最强烈。最后,我们通过在没有QE的情况下建立反事实情景来量化总体效果。最初观察到的强烈影响迅速得到抵消。建议在计划开始时出现过度调整现象。

更新日期:2021-02-25
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