The Term Securities Lending Facility (TSLF) was introduced by the Federal Reserve to promote liquidity in the financing markets for Treasury and other collateral. We evaluate one aspect of the program — the extent to which it has narrowed repo spreads between Treasury collateral and less...

We investigate the determinants of the term structures of bond yield and market liquidity in the context of the Quantitative Easing (QE) programs implemented by the Bank of Japan. Between 2011 and 2016, we find that Japanese government bonds (JGBs) show an improvement in liquidity through the...

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...

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...

We investigate the determinants of the term structures of bond yield and market liquidity in the context of the Quantitative Easing (QE) programs implemented by the Bank of Japan. Between 2011 and 2016, we find that Japanese government bonds (JGBs) show an improvement in liquidity through the...

We investigate the effect of quantitative and qualitative easing (QQE) conducted by the Bank of Japan (BOJ) on the Japanese Government Bond (JGB) price using micro-level panel data. Our paper takes advantage of the policy changes in the open market operation under QQE, where the BOJ...

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...

The Term Securities Lending Facility (TSLF) was introduced by the Federal Reserve to promote liquidity in the financing markets for Treasury and other collateral. We evaluate one aspect of the program - the extent to which it has narrowed repo spreads between Treasury collateral and less liquid...