The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market (subsequently published in "International Journal of Central Banking", March 2006, Vol.2, No. 1, 105-136. )
AbstractUsing the interest rates on Negotiable Certificate of Deposit issued by individual banks, we first show that under the Bank of Japan's Zero Interest Rate Policy and Quantitative Monetary Easing Policy, not just the levels of money market rates but also the dispersion of rates across banks have fallen to near zero. We next show that the fall in the dispersion of the rates is not fully explained by a fall in the dispersion of credit ratings of the banks. We also present some evidence on the role of the Bank of Japan's monetary policy in reducing risk premiums.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo in its series CARF F-Series with number CARF-F-048.
Length: 41 pages
Date of creation: Sep 2005
Date of revision:
Other versions of this item:
- Naohiko Baba & Motoharu Nakashima & Yosuke Shigemi & Kazuo Ueda, 2005. "The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market (Subsequently published in "International Journal of Central Banking", March 2006, Vol.2, No. 1, 105-136. )," CARF F-Series CARF-F-034, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004.
"Monetary policy alternatives at the zero bound: an empirical assessment,"
Finance and Economics Discussion Series
2004-48, Board of Governors of the Federal Reserve System (U.S.).
- Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004. "Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 35(2), pages 1-100.
- Nobuyuki Oda & Kazuo Ueda, 2005.
"The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve: A Macro-Finance Approach,"
CIRJE-F-336, CIRJE, Faculty of Economics, University of Tokyo.
- Nobuyuki Oda & Kazuo Ueda, 2007. "The Effects Of The Bank Of Japan'S Zero Interest Rate Commitment And Quantitative Monetary Easing On The Yield Curve: A Macro-Finance Approach," The Japanese Economic Review, Japanese Economic Association, vol. 58(3), pages 303-328.
- Baba, Naohiko & Nishioka, Shinichi & Oda, Nobuyuki & Shirakawa, Masaaki & Ueda, Kazuo & Ugai, Hiroshi, 2005.
"Japan's Deflation, Problems in the Financial System, and Monetary Policy,"
Monetary and Economic Studies,
Institute for Monetary and Economic Studies, Bank of Japan, vol. 23(1), pages 47-111, February.
- Naohiko Baba & Shinichi Nishioka & Nobuyuki Oda & Masaaki Shirakawa & Kazuo Ueda & Hiroshi Ugai, 2005. "Japan's deflation, problems in the financial system and monetary policy," BIS Working Papers 188, Bank for International Settlements.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.