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JGBs’ chronically low nominal yields: a VEC approach

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  • Tanweer Akram
  • Huiqing Li

Abstract

Low short-term interest rates, induced by the Bank of Japan’s (BoJ) accommodative monetary policy, is mainly responsible for keeping long-term Japanese government bonds’ (JGBs) nominal yields exceptionally low for a protracted period. Elevated government debt and deficit ratios do not exert upward pressure on JGBs’ nominal yields. This paper provides an empirical investigation of chronically low nominal yields of JGBs from a Keynesian perspective. It deploys a Vector Error Correction (VEC) approach to model long-term government bond yields.

Suggested Citation

  • Tanweer Akram & Huiqing Li, 2020. "JGBs’ chronically low nominal yields: a VEC approach," Applied Economics, Taylor & Francis Journals, vol. 52(53), pages 5873-5893, November.
    • Handle: RePEc:taf:applec:v:52:y:2020:i:53:p:5873-5893
    DOI: 10.1080/00036846.2020.1776838
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    Cited by:

    1. Huiqing Li & Yang Su, 2021. "The nonlinear causal relationship between short‐ and long‐term interest rates: An empirical assessment of the United States, the United Kingdom, and Japan," International Finance, Wiley Blackwell, vol. 24(3), pages 332-355, December.
    2. Tanweer Akram, 2021. "A Note Concerning the Dynamics of Government Bond Yields," The American Economist, Sage Publications, vol. 66(2), pages 323-339, October.

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