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The benefits and costs of highly expansionary monetary policy

Rawdanowicz, Łukasz; Bouis, Romain; Watanabe, Shingo - 2013

for assessing this balance and applies it to four OECD economic areas: the euro area, Japan, the United Kingdom and the … the euro area and Japan. In the United Kingdom, the assessment is less clear cut. …

Persistent link: https://www.econbiz.de/10010231107

Equity capital, bankruptcy risk and the liquidity trap

Levintal, Oren - 2012

the US 1930s, Japan 1990s and recently in the US and Europe. The paper introduces a new balance sheet channel that links …

Persistent link: https://www.econbiz.de/10009535806

The effect of conventional and unconventional euro area monetary policy on macroeconomic variables

Halberstadt, Arne; Krippner, Leo - 2016

We investigate the e ect of monetary policy on European macroeconomic variables using a small-scale vector autoregression (VAR) and the "Effective Monetary Stimulus" (EMS). The EMS is a monetary policy metric obtained from yield curve data that is designed to consistently reflect the overall...

Persistent link: https://www.econbiz.de/10011578396

Low-Frequency Volatility of Yen Interest Rate Swap Market in Relation to Macroeconomic Risk

Azad, A. S. M. Sohel - 2013

Using ‘low-frequency' volatility extracted from aggregate volatility shocks in interest rate swap (hereafter, IRS) market, this paper investigates whether Japanese yen IRS volatility can be explained by macroeconomic risks. The analysis suggests that this low-frequency yen IRS volatility has...

Persistent link: https://www.econbiz.de/10013091475

Japan's Deflation, Problems in the Financial System and Monetary Policy

Baba, Naohiko; Nishioka, Shinichi; Oda, Nobuyuki; … - 2013

On 18-19 June 2004, the BIS held a conference on "Understanding Low Inflation and Deflation". This event brought together central bankers, academics and market practitioners to exchange views on this issue (see the conference programme in this document). This paper was presented at the workshop....

Persistent link: https://www.econbiz.de/10014060780

The Term Structure of Credit Spreads and Business Cycle in Japan

Okimoto, Tatsuyoshi - 2016

This paper investigates the usefulness of the term structure of credit spreads to predict the business cycle in Japan … BBB rating has more useful information than the government bond yield curve for predicting the business cycle in Japan …-rated credit spread information have significant predictive power for the business cycle in Japan regardless of the economic state …

Persistent link: https://www.econbiz.de/10012989054

Recent and Prospective Trends in Real Long-Term Interest Rates : Fiscal Policy and other Drivers

Brook, Anne-Marie - 2003

This paper documents some features of recent trends in bond yields and discusses the drivers of these trends. This includes a discussion of the relationship between fiscal balances and interest rates -- with a summary of key empirical results from the literature provided in the Appendix. The...

Persistent link: https://www.econbiz.de/10012445594

Effectiveness of Unconventional Monetary Policies in a Low Interest Rate Environment

Filardo, Andrew J. - 2018

United Kingdom, the euro area and Japan. One advantage of our approach is the ability to measure an economy's evolving …

Persistent link: https://www.econbiz.de/10012929484

Endogenous Monetary Policy Shifts and the Term Structure : Evidence from Japanese Government Bond Yields

Koeda, Junko - 2017

I construct a no-arbitrage term structure model with endogenous regime shifts and apply it to Japanese government bond (JGB) yields. This application subjects the short-term interest rate to monetary regime shifts, such as a zero interest rate policy (ZIRP) and normal regimes, which depend on...

Persistent link: https://www.econbiz.de/10012974584

Evaluating the unconventional monetary policy of the bank of Japan : a DSGE approach

Wang, Rui - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-18

pressure. Since February 1999, the Bank of Japan (BoJ) has conducted several unconventional monetary policy programs …

Persistent link: https://www.econbiz.de/10012588104