Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments

Evidence from Japan

Junko Koeda

    Research output: Contribution to journal › Article

    2 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 languageEnglish
    JournalJapanese Economic Review
    DOIs
    Publication statusAccepted/In press - 2016

    Fingerprint

    Zero lower bound
    Japan
    Bond yields
    Government bonds
    Habitat
    Discrete-time
    Bond returns
    Excess returns

    ASJC Scopus subject areas

    • Economics and Econometrics

    Cite this

    Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments : Evidence from Japan. / Koeda, Junko.

    In: Japanese Economic Review, 2016.

    Research output: Contribution to journal › Article

    Koeda, J 2016, 'Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan', Japanese Economic Review. https://doi.org/10.1111/jere.12117
    Koeda J. Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan. Japanese Economic Review. 2016. https://doi.org/10.1111/jere.12117
    Koeda, Junko. / Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments : Evidence from Japan. In: Japanese Economic Review. 2016.
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