Naohiko Baba (Financial Markets Department and Institute for Monetary and Economics Studies, Bank of Japan) Motoharu Nakashima (Financial Markets Department, Bank of Japan) Yousuke Shigemi (Secretariat of the Policy Board) Kazuo Ueda (Faculty of Economics, University of Tokyo)
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Using 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.
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Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number
CIRJE-F-374.
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