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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Year of publication:	2022
Authors:	Shirota, Toyoichiro
Publisher:	[S.l.] : SSRN
Subject:	Aktienmarkt \| Stock market \| Geldpolitik \| Monetary policy \| Wirkungsanalyse \| Impact assessment \| Börsenkurs \| Share price \| Finanzkrise \| Financial crisis \| Zinspolitik \| Interest rate policy \| Geldmengensteuerung \| Monetary targeting

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