Financial and capital markets' responses to changes in the central bank's target interest rate: The case of Japan
Financial and capital markets' responses to changes in the central bank's target interest rate: The case of Japan
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DOI：
10.1111/j.1468-0297.2006.01113.x
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发表时间：
2006-07-01
期刊：
影响因子：
3.2
通讯作者：
Kuroki, Yoshihiro
中科院分区：
文献类型：
--
作者：
Honda, Yuzo;Kuroki, Yoshihiro
我们提出了1989年7月至2001年3月期间日本货币政策冲击的新代理变量，并研究了政策目标变量的变化对股票价格和利率期限结构的影响。我们发现，目标变量的意外成分的变化对中期和长期利率都有显著影响。平均而言，1%的目标利率突然下降会导致股价上涨3%。日本和美国对金融变量反应的估计程度相似。
We propose new proxy variables for monetary policy shocks in Japan for the period from July 1989 to March 2001 and investigate the effects of changes in the policy target variable on stock prices and the term structure of interest rates. We find that changes in the surprise component of the target variable significantly affect both intermediate-term and long-term interest rates. A surprise decrease in the target rate of 1% leads, on average, to a 3% increase in stock prices. The magnitudes of estimated reactions of financial variables are similar in Japan and the US.