This paper analyzes the Japanese government bond (JGB) yield curve using the Black-Gorovoi-Linetsky (BGL) model of interest rates as options with a view to monitoring the JGB market expectations about the Bank of Japan's (BOJ) zero interest rate policy (ZIRP). Main findings are as follows....

This paper integrates an asset price bubble and agency costs in firms' price-setting decisions into a monetary DSGE framework. Amplified by nominal wage rigidities, an asset price bubble causes an inefficiently excessive boom. Inflation, however, remains moderate in the boom, because a loosening...

In this study, we theoretically investigate the potential role of the reference rate in stabilizing or destabilizing an interbank market with an environment where individual banks cannot fully identify the nature of underlying shocks affecting their interbank transactions. We show that a...

In general, the yield spread between long- and short-term bonds contains useful information for future economic activity and inflation. Particularly, it usually reflects market participants' expectations of future monetary policy and credit demand. However, it is becoming increasingly difficult...

Equilibrium nominal interest rates are useful indicators for both monetary policy authorities and market players. However, there are few studies which estimate Japan's equilibrium rate because of its persistent low interest rate. We overcome this challenge by using survey forecasts of interest...

This paper surveys the empirical analyses that examine the effects of the Bank of Japan (BOJ)'s quantitative easing policy (QEP), which was implemented from March 2001 through March 2006. The survey confirms a clear effect whereby the commitment to maintain the QEP fostered the expectations that...

In this paper, we carry out a historical evaluation of the financial accelerator effects, which were mainly generated by the changes in asset prices, operating on Japan's economy since the 1980s. For this purpose, we estimate a Japanese financial accelerator model, which is a modified version of...

In this paper, we investigate the main features of the Italian financial cycle, extracted by means of a structural trend-cycle decomposition of the credit-to-GDP ratio, using annual observations from 1861 to 2011. In order to draw conclusions based on solid historical data, we provide a thorough...

This paper quantifies the welfare effects of the aggregate house price collapse during the U.S. Great Recession for leveraged and un-leveraged U.S. households. We calibrate a dynamic general equilibrium model to the U.S. economy and simulate the 2007-2009 Great Recession as a contemporaneous...

Bu çalışma para politikaları kararlarına ilişkin beklentilerindeki bir değişimin, finansal yatırım araçlarının fiyatları üzerindeki etkisini ve finansal yatırım araçları arasındaki etkileşimi incelemektedir. Çalışma, para politikası beklenti şokları ile finansal...