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Central bank, government interventions and financial markets
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- Author / Creator
- Tsujimoto, Yusuke
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This thesis comprises three essays examining the interactions between central bank and government interventions and financial markets. In Chapter 2, I compare corporate bond purchase programs by the Federal Reserve and the Bank of Japan during the COVID-19 crisis. Both programs shared one eligibility criterion: remaining maturity of five years or less. I demonstrate that Japanese firms, but not U.S. firms, catered to such a sudden maturity-specific demand shock by shifting the maturity of new bond issues, presumably due to the much larger purchase size of the Bank of Japan. Theoretically, the Japanese result aligns with the gap-filling theory of Greenwood et al. (2010), which predicts that corporations, as bond suppliers, fill supply-demand imbalances in specific maturity segments of the bond market.
Chapter 3 examines the microstructure of the reverse auctions the Fed holds for QE-driven purchases of Treasury bonds. Although the minimum tick size is set to be 1/256th (i.e., 0.390625 cents) per $100 par value, I document that primary dealers—the only direct participants—submit coarsely priced offers. Importantly, primary dealers with larger market shares price more finely, and my empirical analysis suggests that this coarse pricing originates from the information processing costs associated with increased pricing precision, in line with the theory of Grossman et al. (1997). I also document that the coarseness of prices is related to the level of prices (among accepted offers). Topmost dealers therefore play a special role in advancing market efficiency and promoting price competition.
In Chapter 4, we study how firms responded to the creation of the MSCI Empowering Women Index (WIN), an index for Japanese firms with superior gender diversity that Morgan Stanley launched in cooperation with the Government Pension Investment Fund of Japan in 2017. Importantly, this index includes only firms in each industry’s top 50% in women’s workforce participation. This allows us to implement a difference-in-differences analysis based on firms around the inclusion threshold (treated firms) and those farther away from the threshold (control firms). We show that the treated firms improved gender diversity. This paper thus illustrates a capital market channel for inducing corporate social behavior changes.
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- Subjects / Keywords
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- Graduation date
- Fall 2023
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- Type of Item
- Thesis
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- Degree
- Doctor of Philosophy
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- License
- This thesis is made available by the University of Alberta Libraries with permission of the copyright owner solely for non-commercial purposes. This thesis, or any portion thereof, may not otherwise be copied or reproduced without the written consent of the copyright owner, except to the extent permitted by Canadian copyright law.