東京大学政策評価研究教育センター

CREPEDP-70

Number CREPEDP-70
Publication Date April 2020
Title Bank of Japan as a Contrarian Stock Investor: Large-Scale ETF Purchases
Author Takahiro Hattori and Jiro Yoshida
Abstract This study unveils the Bank of Japan’s behavior of purchasing exchange-traded funds (ETFs) on the Tokyo Stock Exchange. The Bank purchases ETFs after observing a significantly negative stock return over the previous night and during the morning market. The Bank stops purchasing ETFs when an overnight and morning stock return becomes positive. This unique counter-cyclical purchase behavior is consistent with its objective of decreasing equity risk premia and stimulating spending. Our study sheds light on a central bank’s program to purchase equity when the interestrate policy is ineffective.
Keywords large-scale asset purchases (LSAP), quantitative easing (QE), central banking, exchange-traded funds (ETF), unconventional monetary policy
Other information Paper in English (13 pages)