A Structural Time Series Analysis of the Effect of Quantitative Easing on Stock Prices

In this paper, a structural time series model is estimated to analyse the effect of quantitative easing (QE) on stock prices for US, UK and Japan. The by maximum likelihood in time-varying parametric framework, using DJIA, S&P500, NASDAQ, FTSE100 NIKKEI225 as dependent variable balance sheet respective Central Bank an explanatory variable, along with unobserved components that account behaviour other variables are not explicitly specified model. results show QE had significant but exclusive S&P500 suggesting these also affected missing cyclical movements. However, Japan, no found, than important rise prices. One plausible explanation result perhaps becomes effective only after certain threshold level met.