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Monetary Policy and the Term Structure of Interest Rates in Japan
http://hdl.handle.net/2261/2528
http://hdl.handle.net/2261/25280ff6f461-3d7a-4ea3-b52a-306df8275fda
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Monetary Policy and the Term Structure of Interest Rates in Japan | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | 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 |
Braun, R. Anton
× Braun, R. Anton× Shioji, Etsuro |
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著者所属 | ||||||
値 | University of Tokyo | |||||
著者所属 | ||||||
値 | Yokohama National University | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper uses Japanese data to investigate the relationship between monetary policy and the yield curve. We compare and contrast the role of monetary policy under two perspectives. Under the liquidity effect maintained hypothesis monetary policy is an ineffective tool in altering long-term bond yields and doesn’t account for much of the long-term variation in bonds of any maturity. Under the sticky price maintained hypothesis, however, monetary policy has large and persistent effects on the yield curve producing large hump-shaped responses in yields of all maturities. Moreover, under this hypothesis shocks to monetary policy and other macroeconomic variables are important sources of variation in long-term yields jointly accounting for 50% of the long-run variance of the 5-year yield. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | The Journal of Money, Credit and Banking. 掲載予定. | |||||
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 2003-CF-252, 発行日 2003-12 |
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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 | ||||||
値 | 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/2003/2003cf252ab.html |