Endogenous monetary policy shifts and the term structure: Evidence from Japanese government bond yields

Junko Koeda

Research output: Contribution to journalArticle

5 Citations (Scopus)


I construct a no-arbitrage term structure model with endogenous regime shifts and apply it to Japanese government bond (JGB) yields. This model subjects the short-term interest rate to monetary regime shifts, specifically a zero interest rate policy (ZIRP) and normal regimes, which depend on macroeconomic variables. The estimates show that under the ZIRP regime, the effect of deflation (inflation) on lowering (raising) bond yields amplifies on the long end of yield curves, compared with a case with positive interest rates under the normal regime. On the other hand, output gaps' ability to raise bond yields weakens for all maturities.

Original languageEnglish
Pages (from-to)170-188
Number of pages19
JournalJournal of the Japanese and International Economies
Publication statusPublished - 2013 Sep
Externally publishedYes



  • Estimation
  • Financial markets and the macroeconomy
  • Forward guidance
  • Term Structure of Interest Rates
  • Zero interest rate policy

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance
  • Political Science and International Relations

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