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

Toyoichiro Shirota

Japan and the World Economy, 2023, vol. 67, issue C

Abstract: 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.

Keywords: Unconventional monetary policy; Stock market intervention; Demand pressure effect; Semi-parametric approach; Propensity score (search for similar items in EconPapers)
JEL-codes: C14 E52 E58 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:japwor:v:67:y:2023:i:c:s0922142523000348

DOI: 10.1016/j.japwor.2023.101208

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