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2022 Fiscal Year Final Research Report

Quantitative analysis of moentary policy framework under low inflation

Research Project

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Project/Area Number 21K20157
Research Category

Grant-in-Aid for Research Activity Start-up

Allocation TypeMulti-year Fund
Review Section 0107:Economics, business administration, and related fields
Research InstitutionHosei University

Principal Investigator

Katagiri Mitsuru  法政大学, 経営学部, 准教授 (80909739)

Project Period (FY) 2021-08-30 – 2023-03-31
Keywords金融政策 / 株式リスクプレミアム / 資本資産価格モデル / 資産買入政策 / 為替介入 / ベトナム
Outline of Final Research Achievements

Our research yielded two main findings. The first is the measurement of the policy effects of the BOJ's ETF purchases. We measured the effects using the CAPM (Capital Asset Pricing Model), a standard risk premium model, and found that the BOJ's ETF purchases pushed down the risk premium of Japanese equities and significantly boosted stock price indexes such as the Nikkei Stock Average. The second is the effect of foreign exchange intervention in Vietnam. Although there are many skeptics about the effect of foreign exchange intervention on economic stability, our study estimates a model called the DSGE model using Vietnamese data and shows that foreign exchange intervention in Vietnam has significantly contributed to economic stability in the past.

Free Research Field

金融、マクロ経済学

Academic Significance and Societal Importance of the Research Achievements

日本銀行は、ETF買入政策が株式市場のリスクプレミアムを押し下げに寄与していると主張しているが、中央銀行によるETF買入政策は、日本独自の斬新な金融政策手段であるため国際的な分析も行われておらず、日本銀行の主張に関して、モデルに基づいた学術的な定量分析は未だ行われていなかったため、当研究のもつ学術的・政策的意義は大きいと考えている。また、為替介入が経済安定に寄与するか否かという論争については、未だにIMFなど国際機関における評価も固まらない中で、標準的なDSGEモデルに基づき、為替介入の効果に関する議論に寄与する結果が得られた意義は大きいと考えている。

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Published: 2024-01-30  

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