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The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market

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Author Info
Baba, Naohiko
Nakashima, Motoharu
Shigemi, Yosuke
Ueda, Kazuo

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Abstract

Using the interest rates on negotiable certificates 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.

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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 816.

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Date of creation: 17 Oct 2005
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Publication status: Published in International Journal of Central Banking Number 1.Volume 2(2006): pp. 105-135
Handle: RePEc:pra:mprapa:816

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Related research
Keywords: Monetary policy; Zero Interest Rate Policy; Quantitative Monetary Easing Policy; Negotiable Certificate of Deposit; Credit Risk Premium;

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Find related papers by JEL classification:
G0 - Financial Economics - - General
G00 - Financial Economics - - General - - - General

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  1. 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. [Downloadable!]
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  2. 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-Series CIRJE-F-336, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
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Cited by:
(explanations, 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.)

  1. Takeshi Kobayashi & Mark Spiegel & Nobuyoshi Yamori, 2006. "Quantitative easing and Japanese bank equity values," Working Paper Series 2006-19, Federal Reserve Bank of San Francisco. [Downloadable!]
    Other versions:
  2. Sinclair, Peter J. N., 2008. "How We Might Model a Credit Squeeze, and Draw Some Policy Implications for Responding to It," Economics Discussion Papers 2008-40, Kiel Institute for the World Economy. [Downloadable!]
  3. Masaru Yoshitomi, 2006. "Comments on: “Japanese monetary policy: 1998-2005 and beyond” by Takatoshi Ito," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in Asia: approaches and implementation, volume 31, pages 137-139 Bank for International Settlements. [Downloadable!]
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This page was last updated on 2009-11-27.

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