IDEAS home Printed from https://ideas.repec.org/p/tky/jseres/2018cj294.html
   My bibliography  Save this paper

"On the effect of Bank of Japan's outright purchase on the JGB yield curve" (in Japanese)

Author

Listed:
  • Takami Tokioka

    (GCI Asset Managemen.Inc)

  • Masafumi Nakano

    (Graduate School of Economics, The University of Tokyo)

  • Akihiko Takahashi

    (Faculty of Economics, University of Tokyo)

  • Soichiro Takahashi

    (Graduate School of Economics, The University of Tokyo)

Abstract

This paper examines an impact of Bank of Japan (BOJ)'s outright purchase on the JGB (Japanese government bond) yield curve. In particular, we develop a simple state space model, which incorporates new factors regarding the BOJ's announcement for its outright purchase and the current market outstanding with standard level and spread factors. Based on the model with a filtering method, we also implement an empirical analysis with time series of the BOJ's announcement records during 2014/10/22-2017/8/3 in the quantitative-qualitative easing(QQE) period to estimate the sensitivities of interest rates against the changes in the market expectation for the net supply with each sector of JGB. We expect the current work provides a basis for considering quantitative effects on the term structure by BOJ's policy changes such as termination or significant reduction of the BOJ's outright purchase. For instance, our scenario analysis shows substantial increase in the 30 year yield with widening of 20-30 year spread. Moreover, we analyze an impact of JGB issuance plan in FY 2018 on the JGB yield curve.

Suggested Citation

  • Takami Tokioka & Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2018. ""On the effect of Bank of Japan's outright purchase on the JGB yield curve" (in Japanese)," CIRJE J-Series CIRJE-J-294, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:jseres:2018cj294
    as

    Download full text from publisher

    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2018/2018cj294.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Akihiko Takahashi & Soichiro Takahashi, 2022. "A state space modeling for proactive management in equity investment "Forthcoming in International Journal of Financial Engineering"," CARF F-Series CARF-F-543, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Inaba, Kei-Ichiro, 2020. "Japan’s impactful augmentation of quantitative easing sovereign-bond purchases," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tky:jseres:2018cj294. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CIRJE administrative office (email available below). General contact details of provider: https://edirc.repec.org/data/ritokjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.