The macroeconomic effect of term premiums is a controversial issue both theoretically and quantitatively. In this paper, we explore the possibility that term premiums affect inflation and the real economy via exchange rate dynamics. For this purpose, we construct a small open economy model with...

This study investigates the announcement effects of the Bank of Japan’s (BOJ) ETF purchase program on equity prices, focusing on the policy change made on March 19, 2021 when the BOJ announced that it would no longer purchase Nikkei225-tracking and JPX400-tracking ETFs but would purchase more...