State-dependent effects of the unconventional monetary policy in stock markets

被引：2

作者：

Shirota, Toyoichiro ^{[1
,2
]}

机构：

[1] Aoyama Gakuin Univ, 4-4-25 Shibuya, Tokyo 1508366, Japan

[2] Aoyama Gakuin Univ, SIPEB, Shibuya Ku, 4-4-25 Shibuya, Tokyo 1508366, Japan

来源：

JAPAN AND THE WORLD ECONOMY | 2023年 / 67卷

基金：

日本学术振兴会;

关键词：

Unconventional monetary policy; Stock market intervention; Demand pressure effect; Semi-parametric approach; Propensity score; CENTRAL BANK INTERVENTIONS; PROPENSITY SCORE; PURCHASES; PRICE; FLOW;

D O I：

10.1016/j.japwor.2023.101208

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study analyzes the state-dependent effect of the Bank of Japan (BoJ)'s intervention in stock markets from 2013 to 2017. A causal inference on such intervention is difficult because of the self-selective behavior of central banks. To address this problem, I apply the propensity score method in a time series context, exploiting stock price information of a single day. The key finding is that the effects are state-dependent and stronger during market downturns.

引用

页数：11

共 42 条

[1]

Adachi Ko, 2021, Bank of Japan Working Paper Series, V21

[2] ASSET PRICING AND THE BID ASK SPREAD [J].