"Yet, for every exchange rate decline, there has also, inevitably, been an exchange rate rise. And for those who have experienced 'unwanted' exchange rate gains, inflation has ended up lower than expected and, often, lower than desired," it noted, citing the euro zone's lower-than-expected inflation in the second half of this year.
The European Central Bank has avoided fresh stimulus moves even as the Federal Reserve continued its asset purchases and the Bank of Japan introduced a massive asset-buying program in April.
"If unconventional policies work primarily through the exchange rate, they serve primarily to export, rather than cure, disinflationary pressures," it said. "It's increasingly apparent that one country's monetary stimulus is another's ball and chain."
(Read more: Quantitative easing doesn't cause inflation or deflation)
But with the exception of Japan, all regions have recently experienced unexpected declines in inflation, it noted.
That may be because with interest rates effectively around zero, monetary stimulus is merely boosting asset prices, without spurring faster economic growth, the bank said.
"If companies, households and governments are busily deleveraging, monetary stimulus may fall on deaf economic ears," HSBC said. "If there is uncertainty about the longer-term fiscal arithmetic, increases in government borrowing may only prompt others to save more or, alternatively, repay debt more aggressively. Under these circumstances, whatever any individual central bank chooses to do, it may be powerless to prevent a global deflationary bias."
(Read more: Could QE spur deflation, not inflation?)