Response of Asset Prices to Monetary Policy Under Abenomics
Response of Asset Prices to Monetary Policy Under Abenomics
复制标题
安倍经济学下资产价格对货币政策的反应
DOI：
10.1111/aepr.12026
复制
发表时间：
2013
期刊：
影响因子：
--
通讯作者：
K. Ueda
中科院分区：
文献类型：
--
作者：
K. Ueda
在本文中，笔者将对安倍首相要求日本银行实施大胆的货币宽松政策，引发日元和日本股票价格大幅上涨的原因进行调查。我提出的统计证据表明，这两种资产价格的反应确实是非常大的，相对于过去的经验与非传统的货币政策（NCM），即使津贴后，在全球经济活动和资产价格的上升。我还指出，这轮反弹是由外国投资者的投机交易引领的，而国内投资者基本上保持观望。我讨论了这种外国投资者行为的可能原因。简单地说，前所未有的政治压力增加了日本央行采取大胆措施的希望。然而，我讨论的可能性是，除了所谓的有针对性的直升机撒钱之外，世界银行采取进一步行动的空间相当有限。我还指出，投资者的行为可能不是基于经济基本面。2013年4月以来的资产价格波动是根据这些讨论来解释的。
In this paper, I investigate the causes of the recent sharp response of the yen and Japanese stock prices to the discussion of, and the subsequent implementation of bold monetary easing by the Bank of Japan as demanded by Prime Minister Abe. I present statistical evidence that the response of the two asset prices have indeed been unusually large relative to the past experience with nonconventional monetary policy (NCM) even after allowance is given for the rise in global economic activity and asset prices. I also point out that the rally has been led by speculative trading by foreign investors, while domestic investors have largely stayed on the sidelines. I discuss possible reasons for such foreign investor behavior. Simply put, the unprecedented political pressure raised hopes of the adoption of bold measures by the Bank of Japan. I discuss, however, the possibility that the room for further action by the Bank is quite limited apart from what might be called a targeted helicopter drop of money. I also point out the possibility that investor behavior may have not been based on economic fundamentals. The asset price volatility since April 2013 is interpreted in the light of such discussions.