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Non-Monetary News in Central Bank Communication
Cieslak, Anna - 2019
We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk...
Persistent link: https://www.econbiz.de/10012896694
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Did the Bank of Japan’s Purchases of Exchange-Traded Funds Affect Stock Prices? A Synthetic Control Approach
Aono, Kohei; Gunji, Hiroshi; Nakata, Hayato - 2021
This study investigates the effect of the Bank of Japan’s large-scale exchange-traded fund purchasing program since … group and estimate the time-series data of the synthetic stock price index of Japan. The results show that the index in … Japan had increased gradually relative to the synthetic Japanese index from 2013. This result suggests that the Bank of …
Persistent link: https://www.econbiz.de/10013241426
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The Effect of the Bank of Japan’s ETF Purchases on Firm Performance
Gunji, Hiroshi; Miura, Kazuki; Yuan, Yuan - 2021
We examine how the Bank of Japan’s purchase of exchange traded funds (ETFs) affects companies’ profit, innovation … investment, and governance using a difference-in-differences method. The Bank of Japan has purchased ETFs tracking Nikkei 225 and …
Persistent link: https://www.econbiz.de/10013238296
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Bank of Japan's exchange-traded fund purchases as an unprecedented monetary easing policy
Shirai, Sayuri - 2018
This paper highlights exchange-traded funds (ETF) purchases conducted by the Bank of Japan under Quantitative and …
Persistent link: https://www.econbiz.de/10011894177
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The Announcement Effects of a Change in the Bank of Japan's ETF Purchase Program : An Event Study
Katagiri, Mitsuru; Shino, Junnosuke; Takahashi, Koji - 2022
This study investigates the announcement effects of the Bank of Japan’s (BOJ) ETF purchase program on equity prices …
Persistent link: https://www.econbiz.de/10013291746
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The Bank of Japan’s equity exchange-traded funds purchasing operation and its impact on equity returns
Koyama, Kentaro - In: Cogent economics & finance 10 (2022) 1, pp. 1-20
The Bank of Japan (BoJ) conducts an unconventional monetary policy that includes exchange-traded fund (ETF) purchases …
Persistent link: https://www.econbiz.de/10013393632
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A tractable model of indirect asset liquidity
Herrenbrueck, Lucas; Geromichalos, Athanasios - 2015
Assets have "indirect liquidity" if they cannot be used as media of exchange, but can be traded to obtain a medium of exchange (money) and thereby inherit monetary properties. This essay describes a simple dynamic model of indirect asset liquidity, provides closed form solutions for real and...
Persistent link: https://www.econbiz.de/10011429961
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Monetary policy and mispricing in stock markets
Beckers, Benjamin; Bernoth, Kerstin - 2016
This paper investigates whether central banks can attenuate excessive mispricing in stocks as suggested by the proponents of a \leaning against the wind" (LATW) monetary policy. For this, we decompose stock prices into a fundamental component, a risk premium, and a mispricing component. We argue...
Persistent link: https://www.econbiz.de/10011526074
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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...
Persistent link: https://www.econbiz.de/10010395968
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Q-targeting in new Keynesian models
Heer, Burkhard; Maußner, Alfred; Ruf, Halvor - 2016
We consider optimal monetary policy in a model that integrates credit frictions in the standard New Keynesian model with sticky prices and wages as well as adjustment costs of capital. Different from traditional models with credit frictions such as Carlstrom and Fuerst (1998), the model is able...
Persistent link: https://www.econbiz.de/10011451285