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The Bank of Japan as a real estate tycoon: large-scale REIT purchases

In: Handbook of Real Estate and Macroeconomics

Author

Listed:
  • Takahiro Hattori
  • Jiro Yoshida

Abstract

This is the first study to analyze the Bank of Japan's (BOJ) purchase of real estate investment trusts (REITs) since 2010 as part of enhanced unconventional monetary policy. The BOJ purchases REIT shares after observing a significantly negative return over the previous night and during the morning market. The BOJ continues daily purchases until the overnight and morning REIT returns become positive. On the day of the BOJ's purchase, the lunchtime and afternoon returns are more likely to be positive. This counter-cyclical behavior is consistent with the objective of decreasing risk premiums. Our study sheds light on the unique program of a central bank's equity purchases.

Suggested Citation

  • Takahiro Hattori & Jiro Yoshida, 2022. "The Bank of Japan as a real estate tycoon: large-scale REIT purchases," Chapters, in: Charles K.Y. Leung (ed.), Handbook of Real Estate and Macroeconomics, chapter 2, pages 21-38, Edward Elgar Publishing.
    • Handle: RePEc:elg:eechap:19335_2
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    Cited by:

    1. Hattori, Takahiro & Yoshida, Jiro, 2023. "The impact of Bank of Japan’s exchange-traded fund purchases," Journal of Financial Stability, Elsevier, vol. 65(C).

    More about this item

    Keywords

    Asian Studies; Economics and Finance; Urban and Regional Studies;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • R33 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets

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