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Evaluating the Unconventional Monetary Policy in Stock Markets : A Semi-parametric Approach

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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)
Appears in Collections:Discussion paper > Series A

Submitter: 代田 豊一郎

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