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 |
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Journal | Japanese Economic Review |
DOIs | |
Publication status | Accepted/In press - 2016 |
ASJC Scopus subject areas
- Economics and Econometrics