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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: https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/265.pdf
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    References listed on IDEAS

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    Cited by:

    1. Riyad Abubaker, 2016. "Consumption and Money Uncertainty at the Zero Lower Bound," Economics Bulletin, AccessEcon, vol. 36(1), pages 449-463.

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