Empirical Analyses on the Effect on Stock Prices and Real Economy of Unconventional Monetary Policy

2018 Fiscal Year Final Research Report

• Project/Area Number: 15K17098
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Money/ Finance
• Research Institution: Ritsumeikan University (2016-2018); Kyoto Sangyo University (2015)
• Principal Investigator: Aono Kohei 立命館大学, 経済学部, 准教授 (20513146)
• Research Collaborator: IWAISAKO Tokuo ; NAKATA Hayato
• Project Period (FY): 2015-04-01 – 2019-03-31
• Keywords: 非伝統的金融政策 / 株式市場

Outline of Final Research Achievements

I construct the proxy for BOJ's monetary policy or the “monetary policy variable” to examine the effectiveness of unconventional monetary policy paying particular attentions to the role of market participant's expectation. My “monetary policy variable” is defined by the difference between call rate and tomorrow next call rate. Using daily data from 1995 to 2018, which include different periods of unconventional monetary policy, I found this “monetary policy variable” have significant effects on Japanese stock market. However, the effects of “monetary policy variable” vary depending on different unconventional policy regimes, namely Zero interest rate policy, Quantitative Easing(QE) policy, Quantitative-Qualitative Easing(QQE) policy, and Negative interest rate policy. Specifically, I found that QE policy and QQE policy were more effective than other Unconventional monetary policy regimes, in terms of effective management of market participant's expectation.

Free Research Field

ファイナンス

Academic Significance and Societal Importance of the Research Achievements

1995年以降，ゼロ金利政策を含めると現在に至るまで，通常の金融論の教科書に説明されていない金融政策を実施している。具体的には，量的質的金融緩和政策，2016年からはゼロ金利政策や，イールドカーブコントロール政策などである。本研究の学術的な意義は，これらの金融政策の効果に関するエビデンスを得ることである。現在進行中の政策に関する評価には一定の留保が必要ではあるが，今後の経済政策や通常の金融政策に戻る過程においてどのようなことが起きる可能性があるかを説明出来る可能性がある意味において，社会的意義がある。