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Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective

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  • Junko Koeda

    (Faculty of Economics, University of Tokyo)

Abstract

This paper applies a tractable two-regime macro-finance affine term structure model to empirically investigate macroeconomic effects on Japanese government bond (JGB) yields in and out of a zero interest rate environment. The estimated results qualitatively assess how differently deflation and low growth contribute to lowering longer-term JGB yields between the normal and zero rate regimes.

Suggested Citation

  • Junko Koeda, 2011. "Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective," CARF F-Series CARF-F-254, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2011.
  • Handle: RePEc:cfi:fseres:cf254
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    File URL: http://www.carf.e.u-tokyo.ac.jp/pdf/workingpaper/fseries/265.pdf
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    References listed on IDEAS

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    1. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Computing in Economics and Finance 2004 175, Society for Computational Economics.
    2. Ang, Andrew & Piazzesi, Monika, 2003. "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables," Journal of Monetary Economics, Elsevier, pages 745-787.
    3. Inoue, Tomoo & Okimoto, Tatsuyoshi, 2008. "Were there structural breaks in the effects of Japanese monetary policy? Re-evaluating policy effects of the lost decade," Journal of the Japanese and International Economies, Elsevier, pages 320-342.
    4. Fujiwara, Ippei, 2006. "Evaluating monetary policy when nominal interest rates are almost zero," Journal of the Japanese and International Economies, Elsevier, pages 434-453.
    5. Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco.
    6. Andrew Ang & Geert Bekaert & Min Wei, 2008. "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, vol. 63(2), pages 797-849, April.
    7. Junko Koeda, 2012. "How does yield curve predict GDP growth? A macro-finance approach revisited," Applied Economics Letters, Taylor & Francis Journals, pages 929-933.
    8. Nakazono, Yoshiyuki & Ueda, Kozo, 2013. "Policy commitment and market expectations: Lessons learned from survey based evidence under Japan's quantitative easing policy," Japan and the World Economy, Elsevier, pages 102-113.
    9. Jung, Taehun & Teranishi, Yuki & Watanabe, Tsutomu, 2005. "Optimal Monetary Policy at the Zero-Interest-Rate Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(5), pages 813-835, October.
    10. Yoshiyuki Nakazono & Kozo Ueda, 2011. "Policy Commitment and Market Expectations: Lessons Learned from Survey Based Evidence under Japan's Quantitative Easing Policy," IMES Discussion Paper Series 11-E-12, Institute for Monetary and Economic Studies, Bank of Japan.
    11. Ang, Andrew & Piazzesi, Monika, 2003. "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables," Journal of Monetary Economics, Elsevier, pages 745-787.
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    Cited by:

    1. Riyad Abubaker, 2016. "Consumption and Money Uncertainty at the Zero Lower Bound," Economics Bulletin, AccessEcon, pages 449-463.

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