国际清算银行-借出还是不借出：日本央行的ETF购买计划和证券借贷（英）-2023.8.pdf

BIS Working Papers No 1113 To Lend or Not to Lend: the Bank of Japan’s ETF purchase program and securities lending by Mitsuru Katagiri, Junnosuke Shino and Koji Takahashi Monetary and Economic Department August 2023 JEL classification: E58, G12, G14. Keywords: large-scale asset purchase (LSAP), ETF purchase program, stock lending market, Bank of Japan. BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (). © Bank for International Settlements 2023. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) To Lend or Not to Lend: The Bank of Japan’s ETF Purchase Program and Securities Lending Mitsuru Katagiri * Junnosuke Shino † Koji Takahashi ‡ Abstract This study investigates the effects of the Bank of Japan’s (BOJ) exchange-traded fund (ETF) purchase program on stock returns, particularly focusing on the role of the stock lending market. Using firm-level panel data, we find that the BOJ’s purchases raised stock returns more for those stocks with limited availability in the stock lending market. Nonetheless, over the longer term, the BOJ’s accumulated purchases lowered lending fees and weakened the effects of their purchases on stock returns. This result suggests that ETF managers supply stocks that constitute ETFs held by the BOJ to the stock l