ESRI Discussion Paper Series No.376 The Impact of Central Bank Stock Purchases: Evidence from Discontinuities in Policy Rules

Masao Fukui
Boston University
Masayuki Yagasaki
Economic and Social Research Institute, Cabinet Office, Japan and the University of Tokyo


We trace the impact of central bank stock purchases by exploiting the discontinuity in Bank of Japan’s policy rule, which triggers purchases when the stock market index falls below a certain threshold. In normal times, a purchase of 0.01% of market capitalization (a typical size of each intervention) persistently increases the long-term interest rate by around 1.5 b.p. while leaving virtually no detectable impact on stock prices. After the introduction of the yield curve control, which pegs the long-term interest rate to 0%, interest rates stopped responding and stock prices rise by around 0.2% in response to the stock purchases. These results support a theory where both stock and bond markets are substantially inelastic.

Structure of the whole text(PDF-Format 1 File)

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  2. 全文の構成

    • 1 Introduction
    • 2 Data
    • 3 Research Design
    • 4 Empirical Results
    • 5 Organizing Theoretical Framework
    • 6 Conclusion
    • A Empirical Appendix
    • B Additional Tables and Figures
    • C Details on Theoretical Model