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Bank of Japan'S Monetary Easing Measures

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  • International Monetary Fund
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    Abstract

    With policy rates near the zero bound, the Bank of Japan (BoJ) has introduced a series of unconventional monetary easing measures since late 2009 in response to lingering deflation and a weakening economy. These measures culminated in a new Asset Purchase Program under the Comprehensive Monetary Easing (CME) which differs from typical quantitative easing in other central banks by including purchases of risky asset in an effort to reduce term and risk premia. This note assesses the impact of monetary easing measures on financial markets using an event study approach. It finds that the BoJ''s monetary easing measures has had a statistically significant impact on lowering bond yields and improving equity prices, but no notable impact on inflation expectations.

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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 11/264.

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    Length: 18
    Date of creation: 01 Nov 2011
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    Handle: RePEc:imf:imfwpa:11/264

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    Related research

    Keywords: Financial assets; financial markets; bonds; corporate bonds; government securities; government bonds; bond; bond yields; equity prices; stock exchange; risk aversion; financial institutions; zero coupon bonds; government bond; equity market; government bond yields; coupon bonds; treasury bonds; financial stability; interest rate policy; stock market; futures markets; equity markets; capital losses; corporate bond market; securities dealers; corporate bond; equity investments; index futures; interest rate futures; sovereign bond; stock index; stock prices; crowding out; financial sector; bond issuances; private investors; bond market; put options; equity investment;

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    1. Joyce, Michael & Lasaosa, Ana & Stevens , Ibrahim & Tong, Matthew, 2010. "The financial market impact of quantitative easing," Bank of England working papers 393, Bank of England.
    2. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2011. "Large-scale asset purchases by the Federal Reserve: did they work?," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 41-59.
    3. Christopher J. Neely, 2010. "The large scale asset purchases had large international effects," Working Papers 2010-018, Federal Reserve Bank of St. Louis.
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