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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

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

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

Understanding international long-term interest rate comovement

Chin, Michael; De Graeve, Ferre; Filippeli, Thomai; … - 2018

Long-term interest rates of small open economies correlate strongly with the US long-term rate. Can central banks in those countries decouple from the US? An estimated DSGE model for the UK (vis-`a-vis the US) establishes three structural empirical results. (1) Comovement arises due to nominal...

Persistent link: https://www.econbiz.de/10011887034

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

Using Stock Prices to Help Identify Unconventional Monetary Policy Shocks for External Instrument SVAR

Ma, Liang - 2022

In times when short-term policy rates are at or near the zero lower bound, central banks use unconventional policies such as forward guidance and quantitative easing to influence the slope of the yield curve. In this paper, we analyze the dynamic responses of key U.S. macroeconomic variables to...

Persistent link: https://www.econbiz.de/10014081729

Crowding-out and Crowding-in Effects of Government Bonds Market on Private Sector Investment (Japanese Case Study)

Abdullatif Alani, Emad M.A. - Institute of Developing Economies, Japan External Trade … - 2006

This paper reviews the relationship between public sector investment and private sector investment through government expenditures financed by government bonds in the Japanese economy. This study hypothesizes that deficit financing by bond issues does not crowd out private sector investment, and...

Persistent link: https://www.econbiz.de/10005534149

Capital inflows and euro area long-term interest rates

Carvalho, Daniel; Fidora, Michael - 2015

Capital flows into the euro area were particularly large in the mid-2000s and the share of foreign holdings of euro area securities increased substantially between the introduction of the euro and the outbreak of the global financial crisis. We show that the increase in foreign holdings of euro...

Persistent link: https://www.econbiz.de/10011605843

International Capital Flows and U.S. Interest Rates

Warnock, Francis E. - 2006

Foreign official purchases of U.S. government bonds have an economically large and statistically significant impact on long-term interest rates. Federal Reserve credibility, as evidenced by dramatic reductions in both long-term inflation expectations and the volatility of long rates, contributed...

Persistent link: https://www.econbiz.de/10012735114

The Comovement of Us and German Bond Markets

Engsted, Tom - 2005

We use a vector-autoregression, with parameter estimates corrected for small-sample bias, to decompose US and German unexpected bond returns into three 'news' components: news about future inflation, news about future real interest rates, and news about future excess bond returns (term premia)....

Persistent link: https://www.econbiz.de/10012736919