Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan
Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan
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DOI：
10.1111/jere.12117
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发表时间：
2017-12-01
影响因子：
1.2
通讯作者：
Koeda, Junko
中科院分区：
文献类型：
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作者：
Koeda, Junko
我们使用日本政府债券收益率数据估计了 Vayanos 和 Vila (2009) 首选栖息地模型的离散时间版本。估计结果表明，在没有零下限约束的情况下，债券超额收益对债券供应变得更加敏感，除非套利者愿意承担更多风险。
We estimate a discrete-time version of the Vayanos and Vila (2009) preferred-habitat model, using Japanese government bond yield data. The estimated results indicate that bond excess returns become more sensitive to bond supply in the absence of a zero lower bound constraint unless arbitrageurs become willing to take on more risk.