| Project/Area Number |
18K01688
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Review Section |
Basic Section 07060:Money and finance-related
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| Research Institution | Hiroshima University |
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Principal Investigator |
ONO SADAYUKI 広島大学, 人間社会科学研究科(社), 准教授 (80602002)
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| Project Period (FY) |
2018-04-01 – 2023-03-31
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| Project Status |
Completed (Fiscal Year 2022)
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| Budget Amount *help |
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2020: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2019: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2018: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
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| Keywords | 金融政策 / 株式市場 / 量的緩和策 / 金利政策 / 非対称性 / 量的緩和政策 / リスクプレミアム / 経済波及効果 / 資産価格 / 量的緩和 |
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| Outline of Final Research Achievements |
In addition to the traditional monetary policy of interest rate policy, this study conducts empirical studies on how quantitative easing, which is said to be unconventional, affects the return on risky assets such as equities. This study measures interest rates and quantitative easing shocks using the federal funds rate and the central bank's balance sheet in the United States. Generally, quantitative easing has a positive effect on stock returns, while interest rates have a negative effect. Smaller stocks tend to raise (lower) prices more than large-cap stocks after monetary easing is implemented (when interest rates are raised). We also investigate policy effects dependent on market conditions. Overall, the impact of the quantitative easing policy increases during the bear market, and no significant difference is observed in the interest rate policy due to market conditions.
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| Academic Significance and Societal Importance of the Research Achievements |
金利の変化や金融資産の購入など金融政策の行動は、金融市場に及ぼす最も直接的かつ即時的な影響つまり金融資産の価格やリターンに影響を与える。そのため金融政策により政策立案者は産出量、雇用、インフレなどで表される経済行動の修正を試み、最終的な目標の達成を目指す。実際、短期金利操作による金利政策に比べて、量的緩和政策の手段として中央銀行のバランスシートを拡大する政策の有効性と伝達については、これまでのところ十分にわかっていない。したがって研究分析が比較的少なく、新しい金融政策である量的緩和策と資産価格の関係を理解することは、政策の波及メカニズムを理解する上で極めて重要であると考えられる。
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