Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan

Junko Koeda

doi:10.1111/jere.12117

Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan

Junko Koeda

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

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.

Original language	English
Journal	Japanese Economic Review
DOIs	https://doi.org/10.1111/jere.12117
Publication status	Accepted/In press - 2016

ASJC Scopus subject areas

Economics and Econometrics

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10.1111/jere.12117

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abstract = "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.",

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