IDEAS home Printed from https://ideas.repec.org/p/imf/imfwpa/15-186.html
   My bibliography  Save this paper

Portfolio Rebalancing in Japan; Constraints and Implications for Quantitative Easing

Author

Listed:
  • Serkan Arslanalp
  • Dennis P Botman

Abstract

Portfolio rebalancing is a key transmission channel of quantitative easing in Japan. We construct a realistic rebalancing scenario, which suggests that the BoJ may need to taper its JGB purchases in 2017 or 2018, given collateral needs of banks, asset-liability management constraints of insurers, and announced asset allocation targets of major pension funds. Nonetheless, the BoJ could deliver continued monetary stimulus by extending the maturity of its JGB purchases or by scaling up private asset purchases. We quantify the impact of rebalancing on capital outflows and discuss JGB market signals that can be indicative of limits being within reach.

Suggested Citation

  • Serkan Arslanalp & Dennis P Botman, 2015. "Portfolio Rebalancing in Japan; Constraints and Implications for Quantitative Easing," IMF Working Papers 15/186, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:15/186
    as

    Download full text from publisher

    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=43161
    Download Restriction: no

    References listed on IDEAS

    as
    1. Koichiro Kamada & Jouchi Nakajima, 2014. "On the reliability of Japanese inflation expectations using purchasing power parity," Economic Analysis and Policy, Elsevier, vol. 44(3), pages 259-265.
    Full references (including those not matched with items on IDEAS)

    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. The IMF Just Confirmed The Nightmare Scenario For Central Banks Is Now In Play
      by Tyler Durden in Zero Hedge on 2015-09-07 04:59:46
    2. Former IMF Chief Economist Admits Japan's "Endgame" Scenario Is Now In Play
      by Tyler Durden in Zero Hedge on 2016-04-12 04:16:57

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Haldane, Andrew & Roberts-Sklar, Matt & Wieladek, Tomasz & Young, Chris, 2016. "QE: the story so far," CEPR Discussion Papers 11691, C.E.P.R. Discussion Papers.
    2. repec:ebl:ecbull:eb-17-00120 is not listed on IDEAS
    3. Martijn Boermans & Viacheslav Keshkov, 2018. "The impact of the ECB asset purchases on the European bond market structure: Granular evidence on ownership concentration," DNB Working Papers 590, Netherlands Central Bank, Research Department.
    4. Ikuo Saito, 2016. "Fading Ricardian Equivalence in Ageing Japan," IMF Working Papers 16/194, International Monetary Fund.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:15/186. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi). General contact details of provider: http://edirc.repec.org/data/imfffus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.