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

Junko Koeda

    Research output: Contribution to journalArticle

    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

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