IDEAS home Printed from https://ideas.repec.org/a/eee/pacfin/v90y2025ics0927538x24003676.html
   My bibliography  Save this article

Data-driven monetary policy: Evidence from the Bank of Japan’s equity purchase program

Author

Listed:
  • Liu, Zechu
  • Nikitopoulos, Christina Sklibosios
  • Phua, Kenny
  • Wang, Jianxin

Abstract

Central banks’ monetary policies are increasingly data-driven. To assess the consequences of such monetary policies, we study the equity ETF purchase program of the Bank of Japan (BOJ). We find that BOJ interventions under this program are highly predictable. To exploit this predictability, we design a portfolio strategy that buys (sells) stocks that are more (less) exposed to these interventions. Adjusting for known risk factors, this strategy earns a return of 12.90% per annum. BOJ interventions have a more positive impact on riskier stocks. Thus, the ETF purchase program aligns with the BOJ’s goals of reducing equity risk premium by offering downside protection during periods of market uncertainty.

Suggested Citation

  • Liu, Zechu & Nikitopoulos, Christina Sklibosios & Phua, Kenny & Wang, Jianxin, 2025. "Data-driven monetary policy: Evidence from the Bank of Japan’s equity purchase program," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
    • Handle: RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24003676
    DOI: 10.1016/j.pacfin.2024.102615
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0927538X24003676
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.pacfin.2024.102615?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
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Data-driven policies; Monetary policy; Equity market intervention; Price pressure; Bank of Japan;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

    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:eee:pacfin:v:90:y:2025:i:c:s0927538x24003676. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/pacfin .

    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.