This paper examines the spillover effects of unconventional monetary policies (UMPs) by the Bank of Japan (BOJ) and the Federal Reserve (Fed) on the domestic and global financial markets, taking a possible regime change into account. Applying a smooth-transition global VAR model to ten countries and the Euro zone for the sample period between 2002â€“2015, we find that the BOJâ€™s expansionary UMPs have significantly increased the equity prices and depreciated the exchange rates, regardless of the regimes. Also, our results indicate that the BOJâ€™s UMPs have become more effective for the government and corporate bond prices in more recent years. In addition, we find that the Fedâ€™s expansionary UMPs have had significant positive effects on their domestic financial markets throughout the sample period. Finally, our results suggest that the BOJâ€™s UMPs have rather limited effects on global financial markets and that the effects of the Fedâ€™s UMPs are considerably larger.
|Publication status||Published - 2022|