2024-03-29T05:13:36Zhttps://eprints.lib.hokudai.ac.jp/dspace-oai/requestoai:eprints.lib.hokudai.ac.jp:2115/684032022-11-17T02:08:08Zhdl_2115_8473hdl_2115_8472hdl_2115_123Evaluating the Unconventional Monetary Policy in Stock Markets : A Semi-parametric ApproachShirota, Toyoichiroopen accessunconventional monetary policystock market interventiondemand pressure effectsemi-parametric approachpropensity score338This 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.Faculty of Economics and Business, Hokkaido University2018-03engdepartmental bulletin paperVoRhttp://hdl.handle.net/2115/68403Discussion Paper, Series A322122https://eprints.lib.hokudai.ac.jp/dspace/bitstream/2115/68403/1/DPA322.pdfapplication/pdf380.01 KB2018-03