Impacts of Japan’s negative interest rate policy on Asian financial markets

Fukuda, Shin–ichi

doi:10.1111/1468-0106.12253

Cited by 29 publications

(13 citation statements)

References 23 publications

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“…Hanisch (2017) bases his research on a structural dynamic factor model with sign restrictions for Japan and argues a significant impact on goods and stock prices. Moreover, Fukuda (2018) finds that Japan's long-term interest rate decline had significantly positive effects on Asian stock prices in the NIRP period.…”

Section: Asset Prices and Foreign Exchanges Rates As Intermediate Targets In Unconventional Monetary Policy Channelsmentioning

confidence: 99%

A survey of empirical findings on unconventional central bank policies

Papadamou

Siriopoulos

Kyriazis

2020

JES

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PurposeThis paper presents an integrated overview of the empirical literature on the impact of all forms of unconventional monetary policy on macroeconomic variables and on markets.Design/methodology/approachThis survey covers the findings concerning portfolio rebalancing, signaling, liquidity, bank lending and confidence channels.FindingsThe positive effect of QE announcements on stock and bond prices seems to be unified across studies. A contagion effect from US QE to other emerging markets is identified, while currency devaluation is present in most cases for the country that its central bank adopted such policies. Moreover, impacts of non-conventional practices on GDP, inflation and unemployment are examined. The studies presenting weak instead of strong positive effects on inflation are more, and these studies, also, present weak positive effects on GDP growth.Originality/valueBased on the large body of research on non-conventional action taking, this is the first survey including effects of each country that adopted quantitative easing (QE) measures and that provides results from every methodology employed in order to estimate unconventional practices' impacts.

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Section: Asset Prices and Foreign Exchanges Rates As Intermediate Targets In Unconventional Monetary Policy Channelsmentioning

confidence: 99%

A survey of empirical findings on unconventional central bank policies

Papadamou

Siriopoulos

Kyriazis

2020

JES

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“…Fukuda () shows that NIRP appear to constrain the equity market spillovers from Japan to Asian economies, whereas Feldkircher, Huber, Chantapacdepong, and Punzi () document that NIRP have an amplifying impact on interest rate spillovers. Spiegel and Tai () find that monetary policy shocks under NIRP affect the Japanese economy, as predicted by standard transmission channels.…”

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confidence: 99%

Implications of negative interest rate policies: An early assessment

Arteta

Köse

Stocker

et al. 2018

Pacific Economic Review

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Over the past few years, several central banks have implemented negative interest rate policies (NIRP) to provide additional monetary policy stimulus. This paper presents an early assessment of the domestic and global implications of NIRP by analysing the behaviour of a set of key financial variables. We report three main results. First, since the introduction of NIRP, many of the key financial variables have evolved broadly, as implied by the standard transmission channels. For the euro area, the responses of these financial variables following NIRP announcements are directionally consistent with those of conventional interest rate cuts. Second, NIRP could pose risks to financial stability but there is no conclusive evidence as yet of a significant impact on bank profitability or of a broad-based increase in leverage. Third, the responses of assets of emerging market and developing economies to NIRP announcements are on average broadly consistent with those to other types of expansionary monetary policy measures.

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“…In this framework, the BoJ also allows for NIRP. Fukuda (2018) investigated the impact of the BoJ's NIRP on Asian financial markets and showed that it might have benefitted Asian economies through the positive effects on Asian stock prices. Angrick and Nemoto (2017) provided an overview of the operational implementation of NIRP in Europe and Japan.…”

Section: Introductionmentioning

confidence: 99%

Evaluating the Unconventional Monetary Policy of the Bank of Japan: A DSGE Approach

Wang

2021

JRFM

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When the nominal interest rate reaches the zero lower bound (ZLB), a conventional monetary policy, namely, the adjustment of short-term interest rate, may become impractical and ineffective for central banks. Therefore, quantitative easing (QE) is one of the few available policy options of central banks for stimulating the economy and dealing with deflationary pressure. Since February 1999, the Bank of Japan (BoJ) has conducted several unconventional monetary policy programs. Considering the scarce research in this field from a structural macroeconomic model approach, a medium-scale New Keynesian DSGE model with government bonds of different maturities was developed to check the portfolio rebalancing channel of quantitative qualitative easing (QQE) conducted by the BoJ from April 2013 on the basis of the assumption of imperfect asset substitutability. The model was calibrated on the basis of the structure of the Japanese economy in April 2013. The main conclusion is that the BoJ’s asset purchase has a real effect on pushing output and inflation higher, and long-term interest rates lower. Sensitivity simulation analysis shows that, given the same size of asset purchase, the persistence of asset purchase determines the peak effect in the short run. A long-lasting asset purchase can push up inflation higher, and long-term interest rates lower for a relatively longer period, but the long-run effect on output and investment does not have much difference. The policy implication for BoJ is just to announce a long-lasting QE program and make it credible to the market.

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Impacts of Japan’s negative interest rate policy on Asian financial markets

Cited by 29 publications

References 23 publications

A survey of empirical findings on unconventional central bank policies

A survey of empirical findings on unconventional central bank policies

Implications of negative interest rate policies: An early assessment

Evaluating the Unconventional Monetary Policy of the Bank of Japan: A DSGE Approach

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