IDEAS home Printed from https://ideas.repec.org/a/bla/pacecr/v25y2020i5p660-676.html
   My bibliography  Save this article

The impact of government bond purchases by the central banks in Japan, the United States, and the United Kingdom

Author

Listed:
  • Masahiko Nakazawa

Abstract

This paper analyzes the impact on financial markets of purchases of government bonds under the zero lower bound on interest rates. Using data of amount of government bonds purchased by the central banks which are categorized by remaining maturity as reported in Nakazawa and Yano (2014) “Portfolio rebalancing effects of open market operations after the global financial crisis: Evaluation through the construction of the data of purchases of government bonds categorized by remaining maturity,” KIER Discussion Paper Series, Kyoto Institute of Economic Research, Kyoto University (forthcoming, in Japanese), we compare impacts for Japan, the United States, and the United Kingdom. The analysis finds that all three countries had a significant rise in share prices as a result of purchases of government bonds with long remaining maturity by the central banks. The results imply that the quality of capital markets plays a key role in escaping from the global financial crisis.

Suggested Citation

  • Masahiko Nakazawa, 2020. "The impact of government bond purchases by the central banks in Japan, the United States, and the United Kingdom," Pacific Economic Review, Wiley Blackwell, vol. 25(5), pages 660-676, December.
    • Handle: RePEc:bla:pacecr:v:25:y:2020:i:5:p:660-676
    DOI: 10.1111/1468-0106.12350
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1468-0106.12350
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1468-0106.12350?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Kazuo Ueda, 2012. "The Effectiveness Of Non‐Traditional Monetary Policy Measures: The Case Of The Bank Of Japan," The Japanese Economic Review, Japanese Economic Association, vol. 63(1), pages 1-22, March.
    2. Torsten Ehlers, 2012. "The effectiveness of the Federal Reserve's Maturity Extension Program - Operation Twist 2: the portfolio rebalancing channel and public debt management," BIS Papers chapters, in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 245-255, Bank for International Settlements.
    3. Jagjit S Chadha & Philip Turner & Fabrizio Zampolli, 2013. "The interest rate effects of government debt maturity," BIS Working Papers 415, Bank for International Settlements.
    4. Oda, Nobuyuki & Okina, Kunio, 2001. "Further Monetary Easing Policies under the Non-negativity Constraints of Nominal Interest Rates: Summary of the Discussion Based on Japan's Experience," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 19(S1), pages 323-360, February.
    5. Marcel Fratzscher & Marco Lo Duca & Roland Straub, 2018. "On the International Spillovers of US Quantitative Easing," Economic Journal, Royal Economic Society, vol. 128(608), pages 330-377, February.
    6. Makoto Yano, 2009. "The Foundation Of Market Quality Economics," The Japanese Economic Review, Japanese Economic Association, vol. 60(1), pages 1-32, March.
    7. Neely, Christopher J., 2015. "Unconventional monetary policy had large international effects," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 101-111.
    8. Kaoru Hosono & Shogo Isobe, 2014. "The Financial Market Impact of Unconventional Monetary Policies in the U.S., the U.K., the Eurozone, and Japan," Discussion papers ron259, Policy Research Institute, Ministry of Finance Japan.
    9. Michael A. S. Joyce & Ana Lasaosa & Ibrahim Stevens & Matthew Tong, 2011. "The Financial Market Impact of Quantitative Easing in the United Kingdom," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 113-161, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bernhard, Severin & Ebner, Till, 2017. "Cross-border spillover effects of unconventional monetary policies on Swiss asset prices," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 109-127.
    2. Kenourgios, Dimitris & Papadamou, Stephanos & Dimitriou, Dimitrios, 2015. "On quantitative easing and high frequency exchange rate dynamics," Research in International Business and Finance, Elsevier, vol. 34(C), pages 110-125.
    3. Maciej Stefański, 2021. "Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions," KAE Working Papers 2021-068, Warsaw School of Economics, Collegium of Economic Analysis.
    4. Robin Greenwood & Samuel Hanson & Dimitri Vayanos, 2023. "Supply and Demand and the Term Structure of Interest Rates," NBER Working Papers 31879, National Bureau of Economic Research, Inc.
    5. Kaoru Hosono & Shogo Isobe, 2014. "The Financial Market Impact of Unconventional Monetary Policies in the U.S., the U.K., the Eurozone, and Japan," Discussion papers ron259, Policy Research Institute, Ministry of Finance Japan.
    6. Pagliari, Maria Sole, 2024. "Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies," European Economic Review, Elsevier, vol. 168(C).
    7. Shogbuyi, Abiodun & Steeley, James M., 2017. "The effect of quantitative easing on the variance and covariance of the UK and US equity markets," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 281-291.
    8. Haldane, Andrew & Roberts-Sklar, Matt & Wieladek, Tomasz & Young, Chris, 2016. "QE: The Story so far," Bank of England working papers 624, Bank of England.
    9. Joseph E. Gagnon, 2016. "Quantitative Easing: An Underappreciated Success," Policy Briefs PB16-4, Peterson Institute for International Economics.
    10. Claudio Borio & Anna Zabai, 2018. "Unconventional monetary policies: a re-appraisal," Chapters, in: Peter Conti-Brown & Rosa M. Lastra (ed.), Research Handbook on Central Banking, chapter 20, pages 398-444, Edward Elgar Publishing.
    11. Lo Duca, Marco & Nicoletti, Giulio & Vidal Martínez, Ariadna, 2016. "Global corporate bond issuance: What role for US quantitative easing?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 114-150.
    12. Alexander Guarín & José Fernando Moreno & Hernando Vargas, 2014. "An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 32(74), pages 68-86, June.
    13. Eurico Ferreira, 2019. "ECB, BoE and Fed Monetary-Policy announcements: price and volume effects on European securities markets," Working Papers w201914, Banco de Portugal, Economics and Research Department.
    14. Wang, Ling, 2019. "Measuring the effects of unconventional monetary policy on MBS spreads: A comparative study," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 235-251.
    15. Hsu, Feng-Jui & Chen, Sheng-Hung, 2021. "US quantitative easing and firm’s default risk: The role of Corporate Social Responsibility (CSR)," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 650-664.
    16. Chen, Qianying & Filardo, Andrew & He, Dong & Zhu, Feng, 2016. "Financial crisis, US unconventional monetary policy and international spillovers," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 62-81.
    17. Anastasios Evgenidis & Apostolos Fasianos, 2021. "Unconventional Monetary Policy and Wealth Inequalities in Great Britain," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(1), pages 115-175, February.
    18. Tatjana Dahlhaus & Kristina Hess & Abeer Reza, 2018. "International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(2-3), pages 545-563, March.
    19. Cenedese, Gino & Elard, Ilaf, 2021. "Unconventional monetary policy and the portfolio choice of international mutual funds," Journal of International Money and Finance, Elsevier, vol. 115(C).
    20. Neely, Christopher J., 2022. "How persistent are unconventional monetary policy effects?," Journal of International Money and Finance, Elsevier, vol. 126(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:pacecr:v:25:y:2020:i:5:p:660-676. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=1361-374X .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.