Financial and Capital Markets’ Responses to Changes in the Central Bank’s Target Interest Rate: The Case of Japan
为日本1989年7月至2001年3月期间的货币政策冲击提出新的代理变量，研究政策目标利率变化对股票价格和利率期限结构的影响，发现目标利率的意外下降1%平均导致股价上涨3%。
We propose new proxy variables for monetary policy shocks in Japan for the period from July 1989 to March 2001 and investigate the effects of changes in the policy target variable on stock prices and the term structure of interest rates. We find that changes in the surprise component of the target variable significantly affect both intermediate-term and long-term interest rates. A surprise decrease in the target rate of 1% leads, on average, to a 3% increase in stock prices. The magnitudes of estimated reactions of financial variables are similar in Japan and the US. Copyright 2006 The Authors. Journal compilation Royal Economic Society 2006.