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Monetary Policies, US influence and other Factors Affecting Stock Prices in Japan

Allen, David and Mizuno, Hiro (2021): Monetary Policies, US influence and other Factors Affecting Stock Prices in Japan.

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Abstract

This paper explores the influence of monetary policies, US influences, and other factors affecting stock prices in Japan from the beginning of the 1980s. The data set consists of monthly time series, largely taken from the Federal Bank of St. Louis (FRED) database in the USA. A variety of modelling and statistical techniques are applied which include regression analysis (OLS), cointegration and VECM analysis, plus the application of ARDL analysis and simulations. The results suggest that the adoption of QQE policy by the Japanese monetary authorities led to an upswing in Japanese share prices in the post-GFC period, whereas no such effect was apparent in the pre-GFC period

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