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The Effects of Japan’s Unconventional Monetary Policy on Asian Stock Markets

Author

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  • Shin-ichi Fukuda

    (Professor, University of Tokyo)

Abstract

This paper explores structural changes in the spillover effects of Japan’s quantitative and qualitative easing (QQE) and negative interest rate policy (NIRP) on Asian stock markets. Our empirical investigation finds that Asian stock markets first reacted to the yen’s depreciation negatively, yet came to respond positively as the QQE progressed. We show that the QQE had a much smaller beggar-thy-neighbor effect than what was originally feared because positive spillover effect of Japan’s stock market recovery dominated the beggar- thy-neighbor effect in the region. We also find that decline of Japan’s long-term interest rate had significantly positive effects on the Asian stock prices in the NIRP period. We discuss that this might have happened because local financial institutions who lost their profit opportunities in domestic markets explored a new profit opportunity in emerging Asia after the NIRP was announced.

Suggested Citation

  • Shin-ichi Fukuda, 2019. "The Effects of Japan’s Unconventional Monetary Policy on Asian Stock Markets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 15(1), pages 1-20, July.
    • Handle: RePEc:mof:journl:ppr15_01_01
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    File URL: https://www.mof.go.jp/english/pri/publication/pp_review/ppr15_01_01.pdf
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    References listed on IDEAS

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    Cited by:

    1. Charles Ka Yui Leung & (single author only), 2021. "Handbook of Real Estate and Macroeconomics: An Introduction," ISER Discussion Paper 1137, Institute of Social and Economic Research, Osaka University.

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    More about this item

    Keywords

    unconventional monetary policy; beggar-thy-neighbor effect; stock markets in Asia;
    All these keywords.

    JEL classification:

    • F10 - International Economics - - Trade - - - General
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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