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The Effects of Monetary Policy Accouncements at the Zero Lower Bound

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  • Natsuki Arai

    (National Chengchi University)

Abstract

This paper investigates the effects of monetary policy announcements at the zero lower bound using Japanese data from 1998 to 2013. I find that the effect of expansionary monetary policy shocks is directly passed on to corporate bond yields, notably for high-grade corporate bond yields. However, the magnitude of estimated pass-through to stock prices and the exchange rate is substantially smaller than in the United States, and not statistically significant in most cases.

Suggested Citation

  • Natsuki Arai, 2017. "The Effects of Monetary Policy Accouncements at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 159-196, June.
    • Handle: RePEc:ijc:ijcjou:y:2017:q:2:a:5
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