股票市场非常规货币政策的国家依赖效应

IF 1.3 4区经济学 Q3 ECONOMICS

Japan and the World Economy Pub Date : 2023-09-01 DOI:10.1016/j.japwor.2023.101208

Toyoichiro Shirota

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引用次数: 0

摘要

本研究分析了2013 - 2017年日本央行干预股市的国家依赖效应。由于中央银行的自我选择行为，很难对这种干预进行因果推断。为了解决这个问题，我在时间序列上下文中应用倾向得分方法，利用一天的股票价格信息。关键的发现是，这种影响依赖于国家，在市场低迷时期更为强烈。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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State-dependent effects of the unconventional monetary policy in stock markets

This study analyzes the state-dependent effect of the Bank of Japan (BoJ)’s intervention in stock markets from 2013 to 2017. A causal inference on such intervention is difficult because of the self-selective behavior of central banks. To address this problem, I apply the propensity score method in a time series context, exploiting stock price information of a single day. The key finding is that the effects are state-dependent and stronger during market downturns.

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来源期刊

Japan and the World Economy ECONOMICS-

CiteScore

2.60

自引率

0.00%

发文量

审稿时长

46 days

期刊介绍： The increase in Japan share of international trade and financial transactions has had a major impact on the world economy in general and on the U.S. economy in particular. The new economic interdependence between Japan and its trading partners created a variety of problems and so raised many issues that require further study. Japan and the World Economy will publish original research in economics, finance, managerial sciences, and marketing that express these concerns.