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Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective

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  • Junko Koeda

    (Faculty of Economics, University of Tokyo)

Abstract

This paper applies a tractable two-regime macro-finance affine term structure model to empirically investigate macroeconomic effects on Japanese government bond (JGB) yields in and out of a zero interest rate environment. The estimated results qualitatively assess how differently deflation and low growth contribute to lowering longer-term JGB yields between the normal and zero rate regimes.

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File URL: http://www.carf.e.u-tokyo.ac.jp/pdf/workingpaper/fseries/265.pdf
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Bibliographic Info

Paper 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-254.

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Length: 27 pages
Date of creation: Oct 2011
Date of revision: Nov 2011
Handle: RePEc:cfi:fseres:cf254

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  1. Yoshiyuki Nakazono & Kozo Ueda, 2011. "Policy Commitment and Market Expectations: Lessons Learned from Survey Based Evidence under Japan's Quantitative Easing Policy," IMES Discussion Paper Series 11-E-12, Institute for Monetary and Economic Studies, Bank of Japan.
  2. Andrew Ang & Monika Piazzesi, 2001. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables," NBER Working Papers 8363, National Bureau of Economic Research, Inc.
  3. Ippei Fujiwara, 2004. "Evaluating Monetary Policy When Nominal Interest Rates Are Almost Zero," Econometric Society 2004 Far Eastern Meetings 620, Econometric Society.
  4. Ang, Andrew & Bekaert, Geert, 2004. "The Term Structure of Real Rates and Expected Inflation," CEPR Discussion Papers 4518, C.E.P.R. Discussion Papers.
  5. Junko Koeda, 2010. "How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited," CARF F-Series CARF-F-237, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2011.
  6. Junko Koeda, 2011. "How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited," CIRJE F-Series CIRJE-F-784, CIRJE, Faculty of Economics, University of Tokyo.
  7. Jung, Taehun & Teranishi, Yuki & Watanabe, Tsutomu, 2005. "Optimal Monetary Policy at the Zero-Interest-Rate Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(5), pages 813-35, October.
  8. Inoue, Tomoo & Okimoto, Tatsuyoshi, 2008. "Were there structural breaks in the effects of Japanese monetary policy? Re-evaluating policy effects of the lost decade," Journal of the Japanese and International Economies, Elsevier, vol. 22(3), pages 320-342, September.
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