A Dynamic Analysis of the Bank of Japan's ETF/REIT Purchase Program

Forthcoming in Expert Systems with Applications

35 Pages Posted: 12 Apr 2022 Last revised: 30 Jul 2023

See all articles by Daiya Mita

Daiya Mita

Nomura Asset Mamagement Co,Ltd

Kiyohiko G. Nishimura

National Graduate Institute for Policy Studies (GRIPS); University of Tokyo

Taiga Saito

School of Commerce, Senshu University

Akihiko Takahashi

University of Tokyo - Faculty of Economics

Date Written: July 30, 2023

Abstract

This paper provides a time series analysis of the Bank of Japan (BOJ)'s ETF and REIT purchase program. The program is a part of the BOJ's unconventional monetary policy and has strengthened since the Quantitative and Qualitative Easing (QQE) in April 2013. To the best of our knowledge, the current study is the first attempt at investigating a dynamic aspect of the purchase program. To find factors underlying decisions of the BOJ's purchases, we apply a state space model with explanatory variables obtained by expert knowledge, which is an extension of a logistic regression and enables to predict their timings with high accuracy throughout all periods. Then, we figure out the dynamics of the program's effect on equity and REIT prices by using a different type of state space model. Moreover, we find a profitable rule-based trading strategy that focuses on an effect of the BOJ's purchase on the TOPIX-Nikkei225 spread. Finally, we implement event studies, particularly the price dynamics of ETF and REIT just before and after the purchase.

Suggested Citation

Mita, Daiya and Nishimura, Kiyohiko G. and Saito, Taiga and Takahashi, Akihiko, A Dynamic Analysis of the Bank of Japan's ETF/REIT Purchase Program (July 30, 2023). Forthcoming in Expert Systems with Applications, Available at SSRN: https://ssrn.com/abstract=4053708 or http://dx.doi.org/10.2139/ssrn.4053708

Daiya Mita (Contact Author)

Nomura Asset Mamagement Co,Ltd ( email )

2-2-1, Toyosu
Koto-ku, Tokyo 135-0061
Japan

Kiyohiko G. Nishimura

National Graduate Institute for Policy Studies (GRIPS)

7-22-1 Roppongi, Minato-Ku
Tokyo 106-8677, Tokyo 106-8677
Japan

University of Tokyo

Yayoi 1-1-1
Bunkyo-ku
Tokyo, Tokyo 113-8657
Japan

Taiga Saito

School of Commerce, Senshu University ( email )

3-8 Kandajinbocho
Chiyoda-ku
Tokyo, Tokyo 101-8425
Japan

Akihiko Takahashi

University of Tokyo - Faculty of Economics ( email )

7-3-1 Hongo, Bunkyo-ku
Tokyo 113-0033
Japan

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