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) |