The Bank of Japan as a Real Estate Tycoon: Large-Scale REIT Purchases

Abstract

This is the first study analyzing the Bank of Japan’s purchases of real estate investment trusts (REITs) that started in 2010 as part of enhanced unconventional monetary policy. The Bank purchases REIT shares after observing a significantly negative return over the previous night and during the morning market. The Bank continues purchases daily until the overnight and morning REIT returns become positive. This counter-cyclical behavior contributes to the objective of decreasing risk premia and stimulating spending. Our study sheds light on the unique program of a central bank’s equity purchases.

Keywords: large-scale asset purchases (LSAP), quantitative easing (QE), central banking, real estate investment trust, unconventional monetary policy

JEL Classification: E52, E58, G12, R33