This paper proposes and estimates an extended shadow-rate term structure model, and uses it to extract inflation risk premia from nominal and real term structures. Our model incorporates the shadow rate and thereby explicitly takes account of the zero lower bound constraint of nominal interest...

The Bank of Japan decided to implement the next-generation RTGS project of the BOJ-NET Funds Transfer System. Under the project, the new system will have liquidity-saving features and will incorporate large-value payments that are currently handled by two private-sector designated-time net...

Funding conditions in global money markets have tightened since August 2007. In various currency-denominated money markets, term funding rates have come under upward pressure because of heightened concerns about counterparty credit and liquidity risks. Although the magnitude of upward pressure...

As international ties have been strengthened on the real economic front, global correlation has been higher in the government bond and other financial markets. Under the circumstances, Japanese banks' market risk associated with holdings of Japanese government bonds (JGBs) has been more...

One of the aspects characterizing inflation expectations is the degree of disagreement or dispersion in such expectations, and dispersion in households' inflation expectations is quite substantial. In phases in which inflation expectations alter, the shape of the distribution of inflation...

This paper reviews changes in foreign exchange settlement for the yen since the introduction of CLS and how the changes have affected payment flows in the BOJ-NET. After the introduction of CLS in September 2002, a large value of yen payments migrated from the FXYCS to CLS, which, among other...

In 2001, the BOJ-NET Funds Transfer System (BOJ-NET) was converted to a full-fledged real-time gross settlement (RTGS) system. RTGS reduces settlement risk in the system compared with deferred net settlement (DNS), but requires participants to take appropriate measures to manage their intraday...

Recent monetary policies aiming to influence the entire yield curve have come to play a more prominent role in advanced economies as there has been little room for further lowering the short-term interest rate. This means that the effects of monetary easing cannot be fully captured by the single...