TY - JOUR
T1 - Counteracting large-scale asset purchase program
T2 - The Bank of Japan's ETF purchases and securities lending
AU - Maeda, Kou
AU - Shino, Junnosuke
AU - Takahashi, Koji
N1 - Funding Information:
The views expressed in this paper are those of the authors and do not necessarily reflect the official views of the Bank for International settlements. This work was supported by the Japan Society for the Promotion of Science [KAKENHI, Grant No. 19K01743 ].
Publisher Copyright:
© 2022 Economic Society of Australia, Queensland
PY - 2022/9
Y1 - 2022/9
N2 - This study investigates the impact of the Bank of Japan's (BOJ) exchange traded fund (ETF) purchasing program on the stock lending market. In particular, we focus on the fact that stocks held by ETF managers for the BOJ are lendable to other investors in order for them to make a short position in stock market. Using individual stock level data, we show that expansions of the ETF purchase program have substantially increased the supply of stocks in the lending market by changing the behavior of stock holders as the BOJ is expected to be a “buy-and-hold” type of investor. This result implies that such an active stock lending market would help to reduce the side-effects of the ETF program whereas the squeezing effect of the program on supply–demand balance in spot stock markets is mitigated.
AB - This study investigates the impact of the Bank of Japan's (BOJ) exchange traded fund (ETF) purchasing program on the stock lending market. In particular, we focus on the fact that stocks held by ETF managers for the BOJ are lendable to other investors in order for them to make a short position in stock market. Using individual stock level data, we show that expansions of the ETF purchase program have substantially increased the supply of stocks in the lending market by changing the behavior of stock holders as the BOJ is expected to be a “buy-and-hold” type of investor. This result implies that such an active stock lending market would help to reduce the side-effects of the ETF program whereas the squeezing effect of the program on supply–demand balance in spot stock markets is mitigated.
KW - Bank of Japan
KW - ETF purchase program
KW - Large-scale asset purchase (LSAP)
KW - Stock lending
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U2 - 10.1016/j.eap.2022.06.007
DO - 10.1016/j.eap.2022.06.007
M3 - Article
AN - SCOPUS:85133224500
SN - 0313-5926
VL - 75
SP - 563
EP - 576
JO - Economic Analysis and Policy
JF - Economic Analysis and Policy
ER -