Did the Bank of Japan’s Purchases of Exchange-Traded Funds Affect Stock Prices? A Synthetic Control Approach
7 Pages Posted: 18 Feb 2021
Date Written: February 16, 2021
This study investigates the effect of the Bank of Japan’s large-scale exchange-traded fund purchasing program since 2013 on stock prices using a synthetic control method. We use the stock price indexes of 27 OECD countries as a control group and estimate the time-series data of the synthetic stock price index of Japan. The results show that the index in Japan had increased gradually relative to the synthetic Japanese index from 2013. This result suggests that the Bank of Japan’s intervention in the stock market is distorting stock prices and should be reconsidered.
Keywords: Bank of Japan, exchange-traded fund, unconventional monetary policy, stock price index, synthetic control.
JEL Classification: E52, E53, G12.
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