A Theoretical and Empirical Study on the Mechanism of BOJ's Market Operation

本研究的目的是分析日本央行市场操作的机制和宏观经济影响，具体地说，将日本央行的操作描述为动态准备金调整模型，模拟日本央行实现银行间同业拆借利率目标的过程，分析日本央行这种操作方式的优缺点，建立模型的要点是如何制定具有调整成本和现金头寸预期形成的最优准备金调整行为。作为第一近似，建立了银行间同业拆借利率自适应预期的即期型准备金调整行为模型，并对其进行了模拟。因此，预期短期利率的调整速度越慢，准备金需求对短期利率的反应程度越小，利率目标化越好。其次，笔者将日本央行的利率目标政策视为广义的利率平滑政策，并在关注银行利率风险负担的情况下分析了该政策的利弊。结果表明，利率平滑政策通过减轻利率风险负担、传递政策信息的信号传递效应，提高了贷款对短期利率的反应程度。最后，本文考察了当前以零利率政策为代表的货币政策特征，以及利率目标宏观模型对日本经济流动性陷阱的解释。因此，一系列金融失败导致的现金偏好的增加，使得日本央行改变了传统的操作程序，零利率政策的有效性取决于该政策是否降低了市场风险溢价，提高了银行体系的风险承担能力。

The aim of this research is to analyze the mechanism and macroeconomic implications of the BOJ's market operation, to put it concretely, to formulated the BOJ's operation as dynamic reserve adjustment model, to simulate the process that the target inter-bank rate is attained by the BOJ, and to analyze the merits and demerits of this way of the BOJ's operation.Points of model building are how to formulate optimal reserve adjustment behavior with adjustment cost and expectation formation of cash position. As the first approximation, I made a model with reserve adjustment behavior of ad hoc type with adaptive expectation on inter-bank rate and simulated it. In result, slower adjustment speed of expected short-term rate is, smaller degree of reserve demand response to short-term rate is, better interest targeting goes.ext, I regarded the BOJ's interest target policy as interest smoothing policy in a broad sense and analyzed the merits and demerits of the policy with attention to interest risk burden to bank. In result, as the interest smoothing policy increase the degree of lending response to short-term rate by lightening interest risk burden and giving signaling effect of policy information, the policy has a more effect.Finally, I investigated characteristics of the current monetary policy symbolized by zero interest policy and how the Japanese economy in liquidity trap' is explained by macro model of interest target. In result, increase of cash preference caused by a series of financial failure, made the BOJ change traditional operation procedure and efficacy of zero interest policy depends on whether the policy lowers premium of the market risk and raise banking system's capacity for risk-taking.