The Effects of Japan’s Unconventional Monetary Policy on Asian Stock Markets

Shin-ichi Fukuda
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Shin-ichi Fukuda: Professor, University of Tokyo

Public Policy Review, 2019, vol. 15, issue 1, 1-20

Abstract: This paper explores structural changes in the spillover effects of Japan’s quantitative and qualitative easing (QQE) and negative interest rate policy (NIRP) on Asian stock markets. Our empirical investigation finds that Asian stock markets first reacted to the yen’s depreciation negatively, yet came to respond positively as the QQE progressed. We show that the QQE had a much smaller beggar-thy-neighbor effect than what was originally feared because positive spillover effect of Japan’s stock market recovery dominated the beggar- thy-neighbor effect in the region. We also find that decline of Japan’s long-term interest rate had significantly positive effects on the Asian stock prices in the NIRP period. We discuss that this might have happened because local financial institutions who lost their profit opportunities in domestic markets explored a new profit opportunity in emerging Asia after the NIRP was announced.

Keywords: unconventional monetary policy; beggar-thy-neighbor effect; stock markets in Asia (search for similar items in EconPapers)
JEL-codes: E52 F10 F32 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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