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Evaluating the Unconventional Monetary Policy in Stock Markets : A Semi-parametric Approach
| Title: | Evaluating the Unconventional Monetary Policy in Stock Markets : A Semi-parametric Approach |
| Authors: | Shirota, Toyoichiro Browse this author |
| Keywords: | unconventional monetary policy | | stock market intervention | | demand pressure effect | | semi-parametric approach | | propensity score |
| Issue Date: | Mar-2018 |
| Publisher: | Faculty of Economics and Business, Hokkaido University |
| Journal Title: | Discussion Paper, Series A |
| Volume: | 322 |
| Start Page: | 1 |
| End Page: | 22 |
| Abstract: | This study analyzes the effect of a central bank’s intervention in stock markets, while allowing for nonlinearities and state dependencies, using a semi-parametric approach. A causal inference on such intervention is difficult because of the selfselective behavior of central banks. To address these problems, we apply the propensity score method in a time series context, exploiting stock price information of a single day. We find that first, there are demand pressure effects in stock markets if an intervention is large enough. Second, the effects are state-dependent and stronger during market downturns. Finally, a central bank’s interventions have a considerable impact on stock prices only when we take permanent demand pressure effects into consideration. |
| Type: | bulletin (article) |
| URI: | http://hdl.handle.net/2115/68403 |
| Appears in Collections: | Discussion paper > Series A
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Submitter: 代田 豊一郎
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