The effects of the Quantitative and Qualitative Monetary Easing on the Returns and Volatilities of Japanese Stock and REIT Markets

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  • 量的・質的金融緩和政策が株式・J-REIT市場に与えた影響
  • 量的・質的緩和政策が株式・J-REIT市場に与えた影響
  • リョウテキ ・ シツテキ カンワ セイサク ガ カブシキ ・ J-REIT シジョウ ニ アタエタ エイキョウ

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This paper analyses the effects of the Quantitative and Qualitative Monetary Easing (QQE) on the Japanese stock and REIT markets using AR-GJR models. In December 2010, the Bank of Japan (BOJ) began purchasing ETFs, J-REITs, and other assets in an asset purchasing program under the Comprehensive Monetary Easing, with intent to reduce various risk premiums. In April 2013, upon the appointment of the new governor Haruhiko Kuroda, the BOJ introduced the QQE and started to buy them more frequently. Statistics reported by the BOJ reveal that the bank had a tendency to purchase assets following market decline. We show the Comprehensive Monetary Easing succeeded to decrease volatilities of ETFs and J-REITs, and the QQE reduced further them, but these policies had little influence on the levels of daily returns on ETFs and J-REITs. That means both the Comprehensive Monetary Easing and the QQE reduced risk premiums of ETFs and J-REITs.

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