ABSTRACT

This study analyses the influence of the changing nature of the U.S. quantitative easing (QE) policy’s international spillover on the Japanese economy following the global financial crisis. Based on existing studies, we construct a two-country vector autoregression model for the U.S. and Japan and estimate the time-varying parameters to comprehend the changing macroeconomic and financial structures of both countries. We not only confirmed the existence of spillover effects but also found significant changes in them over time. The spillover effects on Japan are larger for the real economy in the earlier phase and for financial markets in the later phase of the U.S. QE policy.

摘要

本研究分析了全球金融危机后美国量化宽松（QE）政策国际溢出效应的变化对日本经济的影响。在现有研究的基础上，我们构建了美国和日本的两国向量自回归模型，并估计了时变参数，以了解两国宏观经济和金融结构的变化。我们不仅证实了溢出效应的存在，而且随着时间的推移发现了它们的显着变化。对日本的溢出效应在前期的实体经济和后期的美国量化宽松政策对金融市场的影响更大。