Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective

This paper applies a tractable two-regime macro-finance affine term structure model to empirically investigate macroeconomic effects on Japanese government bond (JGB) yields in and out of a zero interest rate environment. The estimated results qualitatively assess how differently deflation and low growth contribute to lowering longer-term JGB yields between the normal and zero rate regimes.

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Year of publication:	2011-10
Authors:	Koeda, Junko
Institutions:	Center for Advanced Research in Finance, Faculty of Economics

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Extent:	application/pdf
Series:	CARF F-Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number CARF-F-254 27 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009275704