Yield Curve Control
Yield Curve Control
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DOI：
10.2139/ssrn.3396251
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发表时间：
2019-05
期刊：
影响因子：
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通讯作者：
Takahiro Hattori;Jiro Yoshida
中科院分区：
文献类型：
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作者：
Takahiro Hattori;Jiro Yoshida
这是首次对日本央行（BOJ）于2016年启动的收益率曲线控制（YCC）制度进行分析的研究。为了实施收益率上限，日本央行通过固定金额和固定价格（即，不限数量）的业务。当收益率上限在YCC下具有约束力时，长期和短期JGB收益率都变得稳定，波动性较小。当负收益率使收益率上限松弛时，收益率变得不稳定和波动。投资者的收益率预期也在整个收益率曲线上趋同。然而，日本央行操作的直接日内影响仅限于日本国债市场。
This is the first study to analyze the yield curve control (YCC) regime initiated by the Bank of Japan (BOJ) in 2016. To impose yield caps, the BOJ makes its bond purchases endogenous to market yields through both fixed-amount and fixed-price (i.e., unlimited-amount) operations. Both long-term and short-term JGB yields become stationary and less volatile when the yield caps are binding under YCC. When negative yields make the yield caps slack, yields become non-stationary and volatile. Investors' yield expectations also converge across the entire yield curve. However, the immediate intraday impact of the BOJ's operations is confined to JGB markets.