Monetary policy rule parameters estimated with conventional estimation techniques can be severely biased if the estimation sample includes periods of low interest rates. Nominal interest rates cannot be negative, so that censored regression methods like Tobit estimation have to be used to...

This paper decomposes the bond yield into the segmentation factor using Japan's unique dataset. For controlling the channel of future expectation and the term premium, we take advantage of the government guaranteed bond, which is the identical asset as the government bond except the liquidity...

In this article, time-series models are developed to represent three alternative, potential monetary policy regimes as monetary policy returns to normal. The first regime is a return to the high and volatile inflation rate of the 1970s. The second regime, the one expected by most Federal Reserve...

The British monetary authorities tried to encourage lower long-term interest rates through their government debt management operations between 1962 and 1964, consistent with a recommendation of the Radcliffe report. The implementation of the policy was complicated by the need for the Bank of...

This is the first study known to analyze fixed-rate purchase operations by the Bank of Japan (BOJ), as conducted under the policy of Quantitative and Qualitative Easing (QQE) with Yield Curve Control (YCC). On February 3, 2017, the BOJ conducted the first unlimited purchase of 10-year Japanese...

During and after the Great Recession of 2008-09, conventional monetary policy in the United States and many other advanced economies was constrained by the effective lower bound (ELB) on nominal interest rates. Several central banks implemented large-scale asset purchase (LSAP) programs, more...

Debt management can be used at low interest rates to lower bond yields, to provide bank assets and thereby help maintain broad money growth, or to save on interest payments. The US example in the 1930s and the recent Japanese case suggest that this tool was not fully exploited in either case

This paper revisits Keynes's writings from Indian Currency and Finance (1913) to The General Theory (1936) with a focus on financial instability. The analysis reveals Keynes's astute concerns about the stability/fragility of the banking system, especially under deflationary conditions. Keynes's...

This paper provides a comprehensive study of the interplay between the Federal Reserve's balance sheet and overnight interest rates. We model both the supply of and the demand for excess reserves, treating assets of the Federal Reserve as policy tools, and estimate the effects of conventional...