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Policy Duration Effect under the Zero Interest Rate Policy in 1999-2000: Evidence from Japan's Money Market Data

  • Fujiki, Hiroshi

    (Institute for Monetary & Econ Studies, Bank of Japan)

  • Shiratsuka, Shigenori

    (Institute for Monetary & Econ Studies, Bank of Japan)

This paper quantifies the policy duration effect of the zero interest rate policy implemented in Japan from February 1999 to August 2000. Our empirical analysis shows that the policy duration effect observed in Japanese financial markets emerged via the expectations channel on the future course of monetary policy actions, supplemented significantly by liquidity effects in the severe financial conditions. This finding leads to the policy implication that the effectiveness of the zero interest rate policy depends crucially on the financial and economic conditions.

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File URL: http://www.imes.boj.or.jp/research/papers/english/me20-1-1.pdf
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Article provided by Institute for Monetary and Economic Studies, Bank of Japan in its journal Monetary and Economic Studies.

Volume (Year): 20 (2002)
Issue (Month): 1 (January)
Pages: 1-31

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Handle: RePEc:ime:imemes:v:20:y:2002:i:1:p:1-31
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