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

Junko Koeda*

*この研究の対応する著者

研究成果: Article査読

5 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)170-188
ページ数19
ジャーナルJournal of the Japanese and International Economies
29
DOI
出版ステータスPublished - 2013 9
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学
  • 財務
  • 政治学と国際関係論

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