Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan
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Cited by:
- Harada, Kimie & Okimoto, Tatsuyoshi, 2021.
"The BOJ's ETF purchases and its effects on Nikkei 225 stocks,"
International Review of Financial Analysis, Elsevier, vol. 77(C).
- HARADA Kimie & OKIMOTO Tatsuyoshi, 2019. "The BOJ's ETF Purchases and Its Effects on Nikkei 225 Stocks," Discussion papers 19014, Research Institute of Economy, Trade and Industry (RIETI).
- Ricardo J Caballero & Alp Simsek, 2021.
"A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a “COVID-19” Shock [Financial intermediaries and the cross-section of asset returns],"
Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5522-5580.
- Caballero, Ricardo & Simsek, Alp, 2020. "A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a "Covid-19" Shock," CEPR Discussion Papers 14627, C.E.P.R. Discussion Papers.
- Ricardo J. Caballero & Alp Simsek, 2020. "A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a “Covid-19” Shock," NBER Working Papers 27044, National Bureau of Economic Research, Inc.
- Maciej Stefański, 2021. "Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions," Working Papers 2021-068, Warsaw School of Economics, Collegium of Economic Analysis.
- Ko Adachi & Kazuhiro Hiraki & Tomiyuki Kitamura, 2021. "Supplementary Paper Series for the "Assessment" (1): The Effects of the Bank of Japan's ETF Purchases on Risk Premia in the Stock Markets," Bank of Japan Working Paper Series 21-E-3, Bank of Japan.
- Mitsuru Katagiri & Koji Takahashi & Junnosuke Shino, 2022. "Bank of Japan's ETF purchase program and equity risk premium: a CAPM interpretation," BIS Working Papers 1029, Bank for International Settlements.
- Stefania D'Amico & Vamsi Kurakula & Stephen M. Lee, 2020. "Impacts of the Fed Corporate Credit Facilities through the Lenses of ETFs and CDX," Working Paper Series WP-2020-14, Federal Reserve Bank of Chicago.
- Hartley, Jonathan S. & Rebucci, Alessandro, 2020.
"An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies,"
CEPR Discussion Papers
14841, C.E.P.R. Discussion Papers.
- Alessandro Rebucci & Jonathan S. Hartley & Daniel Jiménez, 2020. "An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies," NBER Working Papers 27339, National Bureau of Economic Research, Inc.
- Katagiri, Mitsuru & Shino, Junnosuke & Takahashi, Koji, 2022. "The announcement effects of a change in the Bank of Japan’s ETF purchase program: An event study," Finance Research Letters, Elsevier, vol. 50(C).
- Nozawa, Yoshio & Qiu, Yancheng, 2021. "Corporate bond market reactions to quantitative easing during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Shin-ichi Fukuda & Mariko Tanaka, 2022. "The Effects of Large-scale Equity Purchases during the Coronavirus Pandemic," CIRJE F-Series CIRJE-F-1186, CIRJE, Faculty of Economics, University of Tokyo.
- Maeda, Kou & Shino, Junnosuke & Takahashi, Koji, 2022. "Counteracting large-scale asset purchase program: The Bank of Japan’s ETF purchases and securities lending," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 563-576.
- Guo, Qi & Huang, Shao'an & Wang, Gaowang, 2022. "Stabilizing the Financial Markets through Informed Trading," MPRA Paper 115470, University Library of Munich, Germany.
More about this item
Keywords
ETFs; quantitative easing; portfolio balance channel; unconventional monetary policy; Bank of Japan;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
- B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2019-11-04 (Central Banking)
- NEP-MON-2019-11-04 (Monetary Economics)
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