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  1. 117 経済学研究科・経済学部
  2. 70 日本経済国際共同センター
  3. Discussion Paper F series (in English)
  1. 0 資料タイプ別
  2. 60 レポート類
  3. 061 ディスカッションペーパー

The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve : A Macro-Finance Approach

http://hdl.handle.net/2261/2611
http://hdl.handle.net/2261/2611
843085bb-5f4e-4519-8aa4-45e79136b1a7
Item type テクニカルレポート / Technical Report(1)
公開日 2013-06-03
タイトル
タイトル The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve : A Macro-Finance Approach
言語
言語 eng
キーワード
主題Scheme Other
主題 Zero interest rate policy (ZIRP)
キーワード
主題Scheme Other
主題 Quantitative monetary easing policy (QMEP)
キーワード
主題Scheme Other
主題 Zero interest rate commitment
キーワード
主題Scheme Other
主題 Policy duration effect
キーワード
主題Scheme Other
主題 Macro-finance model
キーワード
主題Scheme Other
主題 JEL Classification Numbers: E43, E52, E58, G12
資源タイプ
資源 http://purl.org/coar/resource_type/c_18gh
タイプ technical report
アクセス権
アクセス権 metadata only access
アクセス権URI http://purl.org/coar/access_right/c_14cb
著者 Oda, Nobuyuki

× Oda, Nobuyuki

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Oda, Nobuyuki

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Ueda, Kazuo

× Ueda, Kazuo

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Ueda, Kazuo

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著者所属
著者所属 Bank of Japan
著者所属
著者所属 University of Tokyo
抄録
内容記述タイプ Abstract
内容記述 This paper provides an empirical investigation of monetary policy in Japan in the zero interest rate environment that has held sway since 1999. In particular, we focus on the effects of the zero interest rate commitment and of quantitative monetary easing on mediumto long-term interest rates in Japan. In the study we apply a version of the macro-finance approach, involving a combination of estimation of a structural macro-model and calibration of time-variant parameters to the yield curve observed in the market. This enables us to decompose interest rates into expectations and risk premium components and simultaneously to extract the market's perception of the Bank of Japan's (BOJ's) willingness to carry on its zero interest rate policy. In the analysis we make clear the counterfactual policy that would have been practiced in the absence of the actual policies followed by the BOJ since 1999. From this analysis, we tentatively conclude that the BOJ's monetary policy since 1999 has functioned mainly through the zero interest rate commitment, which has led to declines in medium- to long-term interest rates. We also find some evidence that, up until the end of 2003, raising the reserve target may have been perceived as a signal indicating the BOJ's accommodative policy stance although the size of the effect is not large. The portfolio rebalancing effect -- either by the BOJ's supplying ample liquidity or by its purchases of long-term government bonds -- has not been found to be significant.
内容記述
内容記述タイプ Other
内容記述 本文フィルはリンク先を参照のこと
書誌情報 Discussion paper series. CIRJE-F

巻 CIRJE-F-336, 発行日 2005-04
書誌レコードID
収録物識別子タイプ NCID
収録物識別子 AA11450569
フォーマット
内容記述タイプ Other
内容記述 application/pdf
日本十進分類法
主題Scheme NDC
主題 330
出版者
出版者 日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
関係URI
識別子タイプ URI
関連識別子 http://www.cirje.e.u-tokyo.ac.jp/research/dp/2005/2005cf336ab.html
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