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

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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 languageEnglish
Pages (from-to)443-457
Number of pages15
JournalJapanese Economic Review
Volume68
Issue number4
DOIs
Publication statusPublished - 2017 Dec

ASJC Scopus subject areas

  • Economics and Econometrics

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