Monetary Policies, US influence and other Factors Affecting Stock Prices in Japan

David Allen and Hiro Mizuno

MPRA Paper from University Library of Munich, Germany

Abstract: This paper explores the influence of monetary policies, US influences, and other factors affecting stock prices in Japan from the beginning of the 1980s. The data set consists of monthly time series, largely taken from the Federal Bank of St. Louis (FRED) database in the USA. A variety of modelling and statistical techniques are applied which include regression analysis (OLS), cointegration and VECM analysis, plus the application of ARDL analysis and simulations. The results suggest that the adoption of QQE policy by the Japanese monetary authorities led to an upswing in Japanese share prices in the post-GFC period, whereas no such effect was apparent in the pre-GFC period

Keywords: QQE; Japanese Share Prices; Cointegration; VECM; ARDL; Simulations. (search for similar items in EconPapers)
JEL-codes: E52 G1 G12 (search for similar items in EconPapers)
Date: 2021-12-24
New Economics Papers: this item is included in nep-cba, nep-cwa, nep-his, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:111734

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