This study evaluates the reaction of stock prices to monetary policy in Japan during the 1980s. We employ Bayesian estimation of the dynamic stochastic general equilibrium model, revealing the presence of the wealth channel from increased stock prices in Japan. We argue that the Bank of Japan...

Stock return prediction has been in the spotlight because it involves numerous factors. Improving the accuracy of stock return prediction and quantifying the impact of individual factors on forecasting remain challenging tasks. Motivated by these challenges, we propose a novel forecasting method...