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The effects of Bank of Japan’s liquidity provision on the year-end premium

  • Hirose, Yasuo
  • Ohyama, Shinsuke
  • Taniguchi, Ken

The premium on interbank money market rates arises over year-end periods as a result of the Japanese business practice of periodic settlement. This paper examines to what extent the Bank of Japan’s liquidity provision reduced the year-end premium in Japan. We find that the funds-supplying operations over the year-end and the fiscal year-end of 2008 had the largest effects during the period from 2006 to 2008, reflecting the fact that the Bank of Japan significantly expanded liquidity provision in response to the decrease in market liquidity under the financial turmoil.

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File URL: http://www.sciencedirect.com/science/article/pii/S0889158311000578
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Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

Volume (Year): 26 (2012)
Issue (Month): 1 ()
Pages: 179-185

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Handle: RePEc:eee:jjieco:v:26:y:2012:i:1:p:179-185
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622903

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  1. Kotomin, Vladimir & Smith, Stanley D. & Winters, Drew B., 2008. "Preferred habitat for liquidity in international short-term interest rates," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 240-250, February.
  2. Yasuo Hirose & Shinsuke Ohyama, 2010. "Identifying the Effect of the Bank of Japan's Liquidity Facilities: The Case of Commercial Paper Operations During the Financial Turmoil," International Finance, Wiley Blackwell, vol. 13(3), pages 461-483, Winter.
  3. Yasuo Hirose & Shinsuke Ohyama & Ken Taniguchi, 2009. "Identifying the Effect of Bank of Japan's Liquidity Provision on the Year-End Premium: A Structural Approach," Bank of Japan Working Paper Series 09-E-6, Bank of Japan.
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