Bank of Japan'S Monetary Easing Measures: Are they Powerful and Comprehensive?
IMF Working Papers, November 1, 2011
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- Bank of Japan'S Monetary Easing Measures: Are they Powerful and Comprehensive?
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Bibliographic details
- Authors: Waikei R Lam
- Published: November 1, 2011
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781463924638.001
Core summary
- Author: Waikei Raphael Lam
- Publication date: November 1, 2011
- Series: Working Paper No. 2011/264
- Volume: 2011
- Issue: 264
- Pages: 18
- DOI: https://doi.org/10.5089/9781463924638.001
- Stock No: WPIEA2011264
- ISBN: 9781463924638
- ISSN: 1018-5941
Research question and context
- With policy rates near the zero bound, the Bank of Japan (BoJ) introduced a series of unconventional monetary easing measures since late 2009 in response to lingering deflation and a weakening economy.
- The measures culminated in a new Asset Purchase Program under the Comprehensive Monetary Easing (CME), which differs from typical quantitative easing in other central banks by including purchases of risky asset in an effort to reduce term and risk premia.
Methodology
- The note assesses the impact of monetary easing measures on financial markets using an event study approach.
Key findings
- The BoJ's monetary easing measures has had a statistically significant impact on lowering bond yields.
- The BoJ's monetary easing measures has had a statistically significant impact on improving equity prices.
- The BoJ's monetary easing measures had no notable impact on inflation expectations.
Subjects and keywords (as listed)
- Subject: Corporate bonds, Financial institutions, Financial markets, Government securities, Monetary aggregates, Money, Sovereign bonds, Stock markets
- Keywords: Asset purchase program, asset return, BoJ's balance sheet, BoJ's measure, commercial paper, Corporate bonds, easing measure, Global, Government securities, Large-scale Asset Purchases, market, market anticipation, Monetary aggregates, Monetary and Credit Easing, purchase program, Quantitative Easing, Sovereign bonds, Stock markets, target asset level, WP, yield
Source: IMF Working Paper — "Bank of Japan'S Monetary Easing Measures: Are they Powerful and Comprehensive?" by Waikei Raphael Lam, November 1, 2011.