.................
- October / QQE GDP QE
de facto /
- October - - (y/y, %) 6 1 16 5 1 1 1 3 6 1 - - -1-6 - China Malaysia - -1 Indonesia Thailand -1 Korea HK (RHA) -3 5 7 9 11 13 15 Source: International Financial Statistics IFS (IMF) (y/y, %) 1 1 1 6 - - -6 - -1-1 -1 Brazil Russia Turkey India 5 7 9 11 13 15 Source: IFS (IMF) - - / - -
(1=1) 6 1 1 Lehman Shock QE QE3 Recovery of the US Economy 1 16 Brazil India Indonesia Turkey 1 1-6 1-7 1-1-9 1-1 1-11 1-1 1-13 1-1 1-15 Source: International Financial Statistics IFS (IMF) (1=1) Lehman Shock 6 QE QE3 1 1 Euro Crisis 1 16 1 Australia South Africa peaked out Russia (RHA) 1-6 1-7 1-1-9 1-1 1-11 1-1 1-13 1-1 1-15 Source: International Financial Statistics IFS (IMF) 6 11 16 1 6 31 11 1 (1=1) Lehman Shock Euro Crisis peaked out 9 Brazil India 7 Indonesia Turkey 1-6 1-7 1-1-9 1-1 1-11 1-1 1-13 1-1 1-15 Source: BIS Real Effective Exchange Rate (1=1) Lehman Shock 11 1 9 South Africa Australia Russia 7 1-6 1-7 1-1-9 1-1 1-11 1-1 1-13 1-1 1-15 Source: BIS Real Effective Exchange Rate
- October QE, - QE - - (5=1) 11 1 9 7 6 5 3 5 1 15 Note: Average of crude Oil prices Source: WEO database (IMF) (5=1) 5 3 Food 1 Agricultural 19 Metals 17 15 13 11 9 7 5 5 1 15 Source: WEO database (IMF) - -
(1=1) 1 16 1 1 1 6 Russia Brazil Indonesia Turkey 5 7 9 11 13 15 Source: IFS (IMF) (1=1) BOJ's 'Bazula' 1 16 1 1 1 6 China USShare JPNShare 5 7 9 11 13 15 Source: IFS (IMF) QQE - FRB QE ECB M - -
- October (y/y, %) 6 5 3 1-1 - -3 - US JPN Euro China 1-1 1-13 1-1 Source: IFS (IMF) (y/y, %) 1 US JPN Euro China 16 1 1 1 6 1-1 1-13 1-1 Source: IFS (IMF) GDP -
(1=1) (y/y, %) QQE 16 1 GDP 1 16 Shanghai /HK Lib. 1 1 1 1 6 1 Q1 3 Q1 Source: IFS (IMF) Share price 5 Q1 7 Q1 9 Q1 11 Q1 13 Q1 15 Q1 1 6 (1=1) Shanghai (y/y) 1 Share (LHA) /HK Lib. Prod (RHA) 1 16 16 1 1 1 6 1 11 1 13 1 15 Source: IFS (IMF) 1 1 1 6 1 Yuan $ 13 Yen Euro 1 11 1 9 7 6 1 11 1 13 1 15 Source: BIS (Real Effective Exchange Rate) (1=1) (y/y, %) 1 REER (LHA) 135 1 Prod (RHA) 13 16 15 1 115 11 15 1 95 9 1 11 1 13 1 15 Source: IFS (IMF) 1 1 1 6 - CNH CNY
- October.
/ GIIPS GDP Chinn-Ito Index -, -
- October (%, GDP) (y/y, %) 1 FDI Por olio 1 Other GDP (RHA) 1 5 6-5 5 6 7 9 1 11 1 13 1 15 Source: IFS (IMF) 3 1.5.5 1.5 1.5 -.5-1 INS MAL TH -1.5 197 19 199 1 Source: Chinn,Ito Index (15) 1.5 -.5-1 -1.5 - -.5 IND ROK China 197 19 199 1 Source: Chinn,Ito Index (15) IMF SBI BB FDI
/ (%, GDP) 6 - - -6 - FDI Por olio Other FA -1 5 6 7 9 1 11 1 13 1 15 Source: IFS (IMF) IOF FDI
- October (%, GDP) 15 1 FDI Other Por olio FA 5-5 -1 5 6 7 9 1 11 1 13 1 15 Source: IFS (IMF) Capital Account Openness CAOPEN 3 AR BR Chile Colombia Venezuela 1-1 - 197 1975 19 195 199 1995 5 1 Source: Chinn,Ito(15) IMF
IMF (%, GDP) 15 1 5-5 -1-15 - -5-3 -35 5 6 7 9 1 11 1 13 1 15 Source: IFS (IMF) FDI Other CA (RHA) Por olio GDP (RHA) (y/y, %) (%, GDP) 1-1 - -3-1 Iceland Turkey Russia -1-197 1975 19 195 199 1995 5 1 Source: Chinn,Ito Index (15) IMF / IMF
- October IMF EU (%, GDP) 15 1 5 (y/y, %) 15 1 5-5 FDI Por olio -5 Other GDP (RHA) 5 6 7 9 1 11 1 13 1 15 Source: IFS (IMF) -1-15 -
(y/y, %) 15 1 5 (%, GDP) 15 1 5-5 FDI Por olio -1 Other GDP (RHA) -15 5 6 7 9 1 11 1 13 1 15 Source: IFS (IMF) -5-1 -15 Ohta FRB QE, QE
- October M - - - QE MB - MB M (1=1) 1 16 1 1 1 6 Shanghai Stock Prices(LHA) JPN Monetary Base (RHA) 3 6 9 1 15 Sources: Bank of Japan, IFS (IMF) ( bn) 35 3 5 15 1 5 (1=1) (y/y, %) 5 1 16 1 1 1 JPN M (RHA) Shanghai 6 Stock Prices(LHA) 5 7 9 11 13 15 Sources: Bank of Japan, IFS (IMF) 5 3 3 1 1 (y/y, %) (y/y, %) 5 6 5 Japan 5 China MB(RHA) MB(LHA) 35 3 3 5 1 15-1 1-5 -3 5 7 9 11 13 15 Sources: Bank of Japan, IFS (IMF) (y/y, %) 5 5 35 3 5 15 1 China MB(LHA) US Monetary Base (RHA) 5 5 7 9 11 13 15 Sources: Bank of Japan, IFS (IMF) (y/y, %) 1 1 6 -
M - / MB M - MB M - VAR 35 3 5 15 1 (y/y, %) (y/y, %) China M(LHA) Japan M(RHA) 5 5 7 9 11 13 15 Sources: Bank of Japan, IFS (IMF) 5..5. 3.5 3..5. 1.5 1..5. (y/y, %) 35 3 5 15 1 ( /y, %) 1 US M(RHA) 1 China M(LHA) 5 5 7 9 11 13 15 Sources: Bank of Japan, IFS (IMF) 6 (y/y, %) (y/y, %) 35 3 5 15 1 China M(LHA) HK MB(RHA) 5 5 7 9 11 13 15 Sources: Bank of Japan, IFS (IMF) 16 1 1 1 6-55 5 5 35 3 5 15 1 (y/y, %) (y/y, %) China MB(LHA) HK M(RHA) 5 5 7 9 11 13 15 Sources: Bank of Japan, IFS (IMF) 35 3 5 15 1 5-5 -1
- October FRB QE,, QE QE QE QE QE QE QE QE QE QE T-bill MBS, Mortgage backed securities T-bill FRB QE Phase QE,,VAR.. QE. -. FRB M M MB/M QE. -. M M QE. -. MB M M
.9-1.1 [QE1 Period] HKMB HKM HKIntrate HKShare CNMB CNM CNShare CNProd USMB.51 ** 1. 7.955 ***.9 * 1.35. **.11.97 USM.91.373.673 *.1.69 3.99 ** 1.75 1.6 TB1Y.9.3 3.55 **.55.977.939.79 1.717 TBY 3.65 ** 1. 13.63 ***.66 *.55 1.35 1. 1. FF.361.73 17. ***.15 ** 1.697.53 *.31 1.551 USShare.. 3.6 *.73 *.95 1.979.5 1.75 HKMB.9 3.965 ** 1.135.1.55 *.53.36 * HKM.139 1.135.56 1.1.11.9.3 HKIntrate 3.169 *.9 1.119.95. *.15.663 HKShare 1.51.7.96 **.573 1.5.367.33 CNMB.13.3 1.19 1..57.7.713 CNM 1..7 1.76.17.59 ** 1.95.3 CNShare 1.36.3.3.3.6.7 1.19 CNProd 1.131 1. 1.7 1.9 1.359.117 1.65 1.11-1.11 [QE Period] HKMB HKM HKIntrate HKShare CNMB CNM CNShare CNProd USMB 1.3. 1.1 1.63.5.3 1.76.9 USM.96.791.39 1.1.7 3.97 ** 1.76.3 TB1Y 1.11 1.13.51.967.9.3 1.9.539 TBY.66.76.16.9.31 1.5 1.53.166 FF.36.5.195.56 1.55..9.57 USShare.5.13..97.56 1.5.6.156 HKMB.333 1.153.3 1.67 1.6 3.37 **.17 HKM.576.93.66.7 1.165.3.65 HKIntrate.635 5.5 **..65.3.5.1 HKShare 1.35.11 1.57. *.7 1.6.1 CNMB 1.615.159 3.9 *.5.7.79.17 CNM.75.1 1.36 3. **. 1.7.1 CNShare.15. 1.7.99.63 *..5 CNProd..7 *.55.61 1.11.7. 1.1-1.1 [QE3] HKMB HKM HKIntrate HKShare CNMB CNM CNShare CNProd USMB.1.53.3.1.73.517 1.3.1 USM.551 1. 1.63 1.3.93.35 1.799.365 TB1Y.5.77.36.93.556.193.936 1.5 TBY.67.651 1.11.5 1.5 3. * 1.756.95 FF.5 1.1.93.1.67 1.3.61.3 USShare.37.719 1.16..7.56.993 1. HKMB 1.6.15.16.11 1..5 ** 3.96 * HKM.536.6.17.77.71.33 1.667 HKIntrate.7 * 1.3.3..39.935.51 HKShare 1.31.35.6 1.36.37 1.65 1.99 CNMB.7 3.973 **..1.6.57.153 CNM.57 1.11 1.9.731 1..767.75 CNShare.7.33.116 1.67 1.67.3.96 CNProd.55 1.73.1...39.16 1.1-15.7 [BOJ QQE] HKMB HKM HKIntrate HKShare CNMB CNM CNShare CNProd USMB 3.53 *.1.77.953 * 1.7.7 **.55.19 USM.1 *** 5.39 *.55 1.7.5..11.96 ** TB1Y.19.117.1.511 1.9.5 1.1.955 TBY.569.1 1.11.7.73.96.376.9 FF.17.596.115.9 1.95.1.9.379 USShare.1.19.1.31.1 **.73 1.96.1 HKMB.5.5 ***.95.655 3.7 *.13.31 HKM 1.1 ***.9 6. ***.7 3.199 *.76.1 HKIntrate.5.6 1.9.1.57 *.69 *** 1.9 HKShare.96.6 15. ***.1.7 *** 1..75 CNMB 1.69 7.536 ***.53.6 1.3. 5.637 ** CNM.63..3.5.713 1.11.6 CNShare 1.1.56 3.317 *.6.69 1.39.67 CNProd 3.73 *.53 *.55.76 *.1.5 1.1 1. QE QE3 9 15 7 Monetary base, M 1=1 [IFS]. 1 1.1-15.7 1 1 3. F ***, **, * 1 5 1 IFS database (IMF), FRB,
- October Post QE. -. QE MB M MB M FF QE,, MB MB M M MB M M
USA/HK/China: Impulse Response to Monetary Base (-15) USMB USM USSHARE HKMB HKM HKSHARE CNMB.........1.1.1.1.1.1.1.1........ -.1 -.1 -.1 -.1 -.1 -.1 -.1 -.1.3.3.3.3.3.3.3.3..1. -.1 -.1 -.1 -.1 -.1 -.1 -.1 -.1 Notes: Variables are logarithm based figures. Share prices are index (1=1) CNM..1. -.1 CNSHARE USM USMB........1.1.1.1.1.1.1........3..1. -.1 - - - - - - - - - - - - - - - - - - HKMB USSHARE.1.1.1.1.1.1.1.1........ -.1 -.1 -.1 -.1 -.1 -.1 -.1 -.1........................ -. -. -. -. -. -. -. -..1. -.1... -. - - HKM - - - - - - - - - - - - - - - - HKSHARE.........1.1.1.1.1.1.1.1........ -.1 -.1 -.1 -.1 -.1 -.1 -.1 -.1 CNMB........................ -...1. -.1 CNM -. -. -. -. -. -. -.... -. - - - - - - - - - CNSHARE 1 1=1 IFS 9 15 7 1 FRB IFS IMF
- October. -. MB M MB MB MB M. -. BOJAC M BOJFExRes. M. -. MB QQE M MB M M MB M QQE. -. MB MB M. -. MB M
1.-. HKMB HKM HKIntrate HKShare CNMB CNM CNShare CNProd JPNMB 3.61 **.5 1.95.16.79 1.73.651.5 BOJAC.33.96.156.197.6.51.17 1.93 BOJFExRes..37.331.697.365 1.163 1.69 1.531.56 JPNM 5.6 ***.967 1.91.77 1.5.19 1.33.17 Call Rate.7..55 3.339 *.75 * 1.3 1.7.5 JGBYield.9 1.7.15 1.13.357.93.397.915 JPNShare.15 1.755 1.193.3.661.65 3.15 * 1.19 HKMB.3.139.175.57.19.79.79 HKM 1.173 3.531 ** 1.51 3.3 *.69.57.9 HKIntrate.59.36 1.6 3.71 ** 3.71 *.56 1.1 HKShare 1.91.6 * 1.9.76 * 1.6 3.331 *. CNMB 3.59 *.399.16.73.56 *.13.15 CNM 1.61.57.759 1.9.339 **.9.756 CNShare.65 11.15 *** 3. * 5.53 ***.71.3.733 CNProd.191.56.7.6.13.53.51.9-11. HKMB HKM HKIntrate HKShare CNMB CNM CNShare CNProd JPNMB.55 1.795.5.179.713.13 1.3.97 BOJAC.91.51 *.57 3.679 **. 1.713 1.73 1.1 BOJFExRes. 1.375. 5.69 ***.31 1.79.319 1..759 JPNM 1.77.69 1.69.911 1.37.9.96.1 Call Rate.3 **.517 39. ***.199.97 3.667 **.615 1.35 JGBYield.3.179.911.56 1..166.95. JPNShare.335.3.161 **.37.63 3.39 *.33 1.1 HKMB.336.99 ** 1.9.677.93 *.53 3.91 * HKM.67.17.6 1.1.631.916 1.73 HKIntrate 3.753 **.73 1.3.7.93 *.169. HKShare.1.3. **.377 1..31.119 CNMB 1.17.515 1.336.39.13.9.7 CNM 1.196.3 1.65.56.39 1.5.76 CNShare 6.76 ***.6.51.11.517 1.179.6 CNProd 1.51 1.9.7 1.335 1.36.15 1.7 11.3-13.3 BOJ CQE HKMB HKM HKIntrate HKShare CNMB CNM CNShare CNProd JPNMB 1.1 1.17 1. 1..1.37.9.5 * BOJAC 1.73.5 1.57 1.57 3.753 **.7.71.15 BOJFExRes..5 1.1 1.61.637 1.1 1.63.93 1.16 JPNM 1.6 1.5 1.6. 1.5.313.69.7 Call Rate 1.61 1..6 3.55 *.65..15.76 JGBYield.551.57 ** 1.131 1.3.616.97.97.733 JPNShare.1.33.6.6.6.765.65 ***.756 HKMB 5.9 **.61.167.367.56 6.95.67 HKM.33.96.1.7 1.55 1. 1.993 HKIntrate.37.11 **.9.7.339.61.1 HKShare 1.197.66 1.37 1.795..3.775 CNMB 1.969 5.761 *** 3. *.91.1.7.93 CNM 1.17 3.3 ** 1.13.6 **.53 *.99 *.73 * CNShare.97.173.77 3.57 *.53 *.9.36 CNProd 1.7 5.6 **.69 1.76 1.6.77.37
- October 13.-15.7 BOJ QQE HKMB HKM HKIntrate HKShare CNMB CNM CNShare CNProd JPNMB.96 1.53 1.53..759 *.533 *.63 1.116 BOJAC.9 1.99.5.75 3.3 *.71 *.53 1.71 BOJFExRes. 1.759.57.5 1.571.7 1.13 1.611 1.77 JPNM 1.61.36.7.9. 1.773.96.6 Call Rate.51 1.6 1.71 1..166 1.7 1.11 1.56 JGBYield.67 1.671 3.63 * 1.36 1.975.1.55 1.63 JPNShare 1.79 1.361.173.69.3.17.1.3 HKMB 1.136 1.66.66.71.17.533.9 HKM 1.9.39 1.355.11..71. HKIntrate.67 1.9.173.71.573.66.6 HKShare.55.536.55.7.5 1.39.165 CNMB.33.56 **.36.763 1.656.597 **.957 CNM.6.99 1.791.53 1.7.136. CNShare 1.31.6 3.5 * 1.9.3.775.11 CNProd 1.36.5.79 1.6 1..63 1.11 1.1-15.7 QQE (Ph.) HKMB HKM HKIntrate HKShare CNMB CNM CNShare CNProd JPNMB.973 1.9 6.9 ***.7 1.3.36.6.55 BOJAC.797 1.3 9.6 ***.15 1.6.517 *.531.96 BOJFExRes. 1.55.37 1.77.1.39..6 6.1 *** JPNM 1.3.9 1.6.39..75.93 1.7 Call Rate.933 **.6 3. * 1.56.9.95.31 3.655 ** JGBYield.37.6 1.716.115 1.3.59..3 Nikkei.567.133.11.7 1.99.3 1.55.6 HKMB.5.5 ***.95.655 3.7 *.13.31 HKM 1.1 ***.9 6. ***.7 3.199 *.76.1 HKIntrate.5.6 1.9.1.57 *.69 *** 1.9 HKShare.96.6 15. ***.1.7 ** 1..75 CNMB 1.69 7.536 ***.53.6 1.3. 5.637 *** CNM.63..3.5.713 1.11.6 CNShare 1.1.56 3.317 *.6.69 1.39.67 CNProd 3.73 *.53 *.55.76 *.1.5 1.1 1. 9 15 7 1=1 [IFS] BOJFExRes. 5 IFS. 1 1.1-15.7 1 1 3. F ***, **, * 1 5 1 IFS database (IMF) QQE - QQE MB M M M
..1. -.1.6... -...1. -.1..1. -.1... -...1. -.1... -. Japan/HK/China: Impulse Response to Moneta rybase(-15) JPNMB BOJAC JPNM JPNShare HKMB HKM HKSHARE CNMB........1.1.1.1.1.1.1....... -.1 -.1 -.1 -.1 -.1 -.1 -.1.6.6.6.6.6.6.6..................... -. -. -. -. -. -. -.........1.1.1.1.1.1.1....... -.1 -.1 -.1 -.1 -.1 -.1 -.1........1.1.1.1.1.1.1....... -.1 -.1 -.1 -.1 -.1 -.1 -.1..................... -. -. -. -. -. -. -.........1.1.1.1.1.1.1....... -.1 -.1 -.1 -.1 -.1 -.1 -.1..................... -. -. -. -. -. -. -. 6 1 6 1 6 1 6 1 6 1 6 1 6 1 6 1 1 1=1 IFS 9 15 7 1 IFS IMF..1. -.1.6... -...1. -.1..1. -.1... -...1. -.1... -. CNM 6 1..1. -.1.6... -...1. -.1..1. -.1... -...1. -.1... -. CNSHARE 6 1 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - CNSHARE CNM CNMB HKSHARE HKM HKMB JPNShare JPNM BOJAC JPNMB
- October. -. M M FRB
EU EU EU ESM ESM IMF /
- October VAR
M Rey a MB. MB GDP. GDP A G The Chinn-Ito Index A de jure measure of financial openness HP JETRO HP The Chinn-Ito Index Rey VIX FF VIX -
- October - - Vol. - Asia Trends, / Chinn-Ito Index A de jure measure of financial openness http://web.pdx.edu/~ito/chinn-ito_website.htm Helene Rey. Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence, Federal Reserve Bank of Kansas City Economic Policy Symposium Helene Rey a. World Asset Markets and the Global Financial Cycle, Working Paper July. Helene Rey b.the International Credit Channel and Monetary Autonomy, Mundell-Fleming Lecture at the IMF on November. JETRO http://www.jetro.go.jp/world/invest.html Ohta, Hideaki Impact of Increasing Capital Flows on the Real Economy and Financial Markets in Japan: Ineffectiveness of Monetary Policy Instruments, Ritsumeikan Annual Review of International Studies,. vol., pp. -. Ohta, Hideaki. Evaluation of Monetary Easing Policy in Japan: Integration between the US and Japanese Markets, Working Paper Series IR -, International Studies Association of Ritsumeikan University, September,.
Effects of Monetary Easing Policy in the US and Japan on Emerging Economies: Challenges to Control Risks of Crises under International Capital Flows The major objective of this paper is to show the importance and significance of capital controls and management under extremely free capital flows in the global markets. Monetary easing policies, adopted by the FRB and BOJ after the Lehman Shock (Sept ), have accelerated capital flows to emerging economies. However, risks of crises in the emerging markets are increasing with any change in the outlook of the US economy which affects the timing of an expected interest rate hike by the FRB. Under completely free capital flows, almost all emerging market economies, including a large economy like that of China, are now totally dependent on the global capital flows in the world markets. Granger causality tests and impulse response functions of VAR model were used to analyze the effects and causality of capital flows between the US, Japan, Hong Kong and China, to demonstrate the influences and effects of extreme easing of monetary policy of QQE (BOJ) and QE/3 (FRB). The results show significant causality between the US /Japan and China in both monetary base and money stocks. The initiation of linkage and integration of trading between Hong Kong and Shanghai markets in November 1 triggered significant capital flows into China, which resulted in an unusual rise of stock prices that collapsed in summer 15. The experience of such a bubble and burst in China has shown that even a partial liberalization of capital account through an offshore market like Hong Kong has resulted in emergence of significant risks in the global markets and economies. It is therefore necessary and important to introduce various effective measures of capital controls and management to attain stable economic growth and stability in the global markets with less volatility in both advanced and emerging economies. OHTA, Hideaki, Professor, College of International Relations, Ritsumeikan University