Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan

Item Type Journal paper
Abstract Since the introduction of its Quantitative and Qualitative Easing program in 2013, the Bank of Japan has been increasing its holdings of Japanese equity through large scale purchases of index-linked ETFs, to lower risk premia. We exploit the cross-sectional heterogeneity of the supply shock to identify a positive and persistent impact on stock prices, consistent with a portfolio balance channel. The evidence suggests that long-run demand curves for stocks are downward sloping with unitary price elasticity. We show that the purchases of ETFs tracking the price-weighted Nikkei 225 generate pricing distortions relative to a value-weighted benchmark.
Authors Barbon, Andrea & Gianinazzi, Virginia
Editors Foucault, Thierry
Journal or Publication Title The Review of Asset Pricing Studies
Language English
Subjects economics
finance
HSG Classification contribution to scientific community
HSG Profile Area SEPS - Quantitative Economic Methods
Refereed Yes
Date December 2019
Publisher Oxford Univ. Press
Volume 9
Number 2
Page Range 210-255
Number of Pages 45
ISSN 2045-9920
ISSN-Digital 2045-9939
Publisher DOI 10.1093
Official URL https://academic.oup.com/raps/article/9/2/210/5572...
Contact Email Address andrea.barbon@unisg.ch
Depositing User Prof. PhD Andrea Barbon
Date Deposited 04 Jun 2020 08:56
Last Modified 20 Jul 2022 17:42
URI: https://www.alexandria.unisg.ch/publications/260323

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Citation

Barbon, Andrea & Gianinazzi, Virginia (2019) Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan. The Review of Asset Pricing Studies, 9 (2). 210-255. ISSN 2045-9920

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https://www.alexandria.unisg.ch/id/eprint/260323
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