Deterministic Elements of Japanese Stock Prices under Low Interest Rates

Yutaka Kurihara

Journal of Economic and Financial Studies (JEFS), 2016, vol. 4, issue 2, 24-30

Abstract: This paper uses daily data to perform an empirical analysis of the relationship between recent Japanese stock prices and macroeconomic variables under the zero or low interest policy in Japan. The empirical results indicate that short-term interest rates have not impacted Japanese stock prices. On the other hand, long-term interest rates, exchange rates, and foreign stock prices have been significant determinants of Japanese stock prices. This seems counter to traditional economic theory, but interest rates were quite low and other variables, such as exchange rates and other stock prices, play important roles in determining Japanese stock prices.

Keywords: Exchange rate; Japan; Stock price; Zero interest rate policy. (search for similar items in EconPapers)
JEL-codes: E43 E52 G11 G12 G15 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:lrc:lareco:v:4:y:2016:i:2:p:24-30

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