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The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market
http://hdl.handle.net/2261/2614
http://hdl.handle.net/2261/2614c22390dd-3de0-4d36-bded-98468492c3c1
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2013-06-03 | |||||
タイトル | ||||||
タイトル | The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Monetary policy | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Zero Interest Rate Policy | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Quantitative Monetary Easing Policy | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Negotiable Certificate of Deposit | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Credit Risk Premium | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classification Numbers: E52 | |||||
主題Scheme | Other | |||||
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 |
Baba, Naohiko
× Baba, Naohiko× Nakashima, Motoharu× Shigemi, Yosuke× 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 short paper shows that under the Bank of Japan's Zero Interest Rate Policy and Quantitative Monetary Easing, not just the levels of money market rates but also the dispersion of rates across banks have fallen to near zero. Using the data on individual banks'Negotiable Certificate of Deposit rates, we first show that the dispersion of the rates among banks has fallen since 1999, the year of the adoption of the Zero Interest Rate Policy and has reached almost zero by 2004. We next show that the fall in the dispersion of the rates is not explained by a corresponding fall in the dispersion of the credit ratings of the banks. Rather, credit risk premiums seem to have disappeared in the money market. We also discuss possible relationships between this result and the Bank of Japan's monetary policy. | |||||
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-339, 発行日 2005-04 |
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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 | 330 | |||||
主題Scheme | NDC | |||||
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/2005/2005cf339ab.html |