Monetary Policy Through the Stock Market: Central Bank Purchase of Equity Index ETFs
Monetary Policy Through the Stock Market: Central Bank Purchase of Equity Index ETFs
复制标题
通过股票市场实施货币政策：央行购买股指ETF
DOI：
10.2139/ssrn.3458250
复制
发表时间：
2019
期刊：
影响因子：
--
通讯作者：
Bohui Zhang
中科院分区：
文献类型：
--
作者：
Zhuo Chen;Keiichi Ito;Takeshi Yamada;Bohui Zhang
作为非常规货币政策的一部分，自 2010 年以来，日本央行 (BOJ) 购买了股票指数交易所交易基金 (ETF)。收购总额达到GDP的3%，成为40%以上上市公司的第一大股东。由于流通股的减少以及日本央行购买的非信息性，相关股票的流动性和价格信息性恶化，从而增加了股票市场的摩擦。日本央行持有股份的公司的股东数量、机构所有权和分析师覆盖率均有所下降。这些公司发行的股票较少。尽管日本央行购买ETF可能会推高股价，但流动性不足和下行风险的增加限制了股价的上涨。尽管持有日本央行过多股份的公司的股权资本成本有所下降，但流动性不足的成本可能会对所有上市公司产生更广泛的影响。
As part of its unconventional monetary policy, since 2010 the Bank of Japan (BOJ) has purchased equity index exchange-traded funds (ETFs). The total purchased amount reached 3% of GDP and the bank has become among the largest shareholders in over 40% of listed companies. Because of the reduction in float shares and the non-informational nature of the BOJ purchases, liquidity and price informativeness of the underlying shares deteriorates, increasing friction in the share market. The number of shareholders, institutional ownership, and analyst coverage all decreased for firms in which the BOJ holds shares. These firms issue fewer shares. Although the BOJ’s ETF purchase might increase share prices, the increase in both illiquidity and downside risk limit the share price increases. Although the equity cost of capital decreases for firms with disproportionately large BOJ holdings, the cost of increased illiquidity might have wider effects for the all listed firms.