2月4日に経済学部研究会を開催しました．

今回は，柴本 昌彦 氏（神戸大学経済経営研究所）と高阪 勇毅 氏（早稲田大学ファイナンス研究センター）に講演をお願いいたしました．

”Measuring the Effect of Monetary Policy from Financial Market Reaction”

 

This paper proposes a new empirical methodology to measure the effect of monetary policy, which is applicable even under a low interest rate

environment, and applies it using Japanese data from 1998 to the present. First, I use the principal component analysis to extract the common features in financial market during the monetary policy board meeting days, and find that there are at least 3 common factors to characterize the daily changes in various kinds of financial market variables in response to the policy announcement. Second, I impose some restrictions to identify three kinds of structural monetary policy shocks, namely `current policy', `long-run expectation on future economic condition', and `future policy path' surprises. I find that (1)`long-run expectation' and `future policy path' surprises have a significant effect on real output and prices as well as stock and exchange rate market, while `current policy' surprises play a limited role in influencing the real economy, and (2) `current policy' surprises contribute to the financial market stability. This implies that the central bank can not only mitigate the malfunction in financial market, but also stimulate the real economy even when it face on the zero lower bound of short-term interest rate.

 

東証は2014年4月に「売買単位の集約」を実施し，上場企業の最小購入金額低下策は「株式分割」のみとなった．そのため，株式分割実施に伴う市場への影響はより重要な問題となっている．本研究では株式分割の流動性への効果を注文データと株主構成から検証する．その結果，取引量の有意な増加とスプレッドの有意な縮小，個人投資家の有意な増加を発見した．これらは企業の株式分割の実施目的である「流動性の向上と投資家層の更なる拡大」を達成できていることを意味する．