Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields
Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields
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内生货币政策转变和期限结构：来自日本政府债券收益率的证据
DOI：
10.2139/ssrn.2224416
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发表时间：
2012
期刊：
影响因子：
--
通讯作者：
Junko Koeda
中科院分区：
文献类型：
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作者：
Junko Koeda
本文构建了一个包含内生性制度变迁的无套利期限结构模型，并将其应用于日本国债收益率。该模型使短期利率受到货币制度变化的影响，特别是零利率政策（ZIRP）和正常制度，这取决于宏观经济变量。估计表明，在零利率政策下，与正常政策下的正利率相比，通缩（通胀）对降低（提高）债券收益率的影响在收益率曲线的长端放大。另一方面，产出缺口提高所有期限债券收益率的能力减弱。
I construct a no-arbitrage term structure model with endogenous regime shifts and apply it to Japanese government bond (JGB) yields. This model subjects the short-term interest rate to monetary regime shifts, specifically a zero interest rate policy (ZIRP) and normal regimes, which depend on macroeconomic variables. The estimates show that under the ZIRP regime, the effect of deflation (inflation) on lowering (raising) bond yields amplifies on the long end of yield curves, compared with a case with positive interest rates under the normal regime. On the other hand, output gaps’ ability to raise bond yields weakens for all maturities.
日本货币政策的效果是否出现结构性中断？
DOI：
--
发表时间：
2008
期刊：
Journal of the Japanese and International Economies 22(3)
影响因子：
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作者：
INOUE;Tomoo and OKIMOTO;Tatsuyoshi
通讯作者：
Tatsuyoshi