Policy commitment and market expectations: Lessons learned from survey based evidence under Japan's quantitative easing policy

Yoshiyuki Nakazono, Kozo Ueda

研究成果: Article査読

6 被引用数 (Scopus)

抄録

The Bank of Japan conducted its quantitative easing policy (QEP) from 2001 to 2006, with the policy commitment to maintaining its QEP until the CPI inflation rate became stably zero or higher. We evaluate its effects by using individual survey data on inflation expectations as well as interest rate expectations. Our analysis reveals a kinked relationship between interest rate expectations and inflation rate expectations at around the 0% threshold level of inflation expectations, in tune with this policy commitment. In addition, we evaluate the effects of the policy commitment on market expectations for the future path of short-term interest rates after the termination of the QEP. We find that, even when inflation expectations exceeded the threshold, interest rate expectations responded only gradually to inflation rate expectations.

本文言語English
ページ(範囲)102-113
ページ数12
ジャーナルJapan and The World Economy
25-26
DOI
出版ステータスPublished - 2013 1

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学
  • 政治学と国際関係論

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