open access

https://hdl.handle.net/2115/68403

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

英語

propensity score

2018-03

Faculty of Economics and Business, Hokkaido University

Discussion Paper, Series A

322

1-22

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.

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