Endogenous monetary policy shifts and the term structure: Evidence from Japanese government bond yields

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• 作者：Junko Koeda
• 关键词：Zero interest rate policy ; Forward guidance ; Term Structure of Interest Rates ; Financial markets and the macroeconomy ; Estimation
• 刊名：Journal of the Japanese and International Economies
• 出版年：2013
• 出版时间：September, 2013
• 年：2013
• 卷：29
• 期：Complete
• 页码：170-188
• 全文大小：1247 K

文摘

I construct a no-arbitrage term structure model with endogenous regime shifts and apply it to Japanese government bond (JGB) yields. This model subjects the short-term interest rate to monetary regime shifts, specifically a zero interest rate policy (ZIRP) and normal regimes, which depend on macroeconomic variables. The estimates show that under the ZIRP regime, the effect of deflation (inflation) on lowering (raising) bond yields amplifies on the long end of yield curves, compared with a case with positive interest rates under the normal regime. On the other hand, output gaps¡¯ ability to raise bond yields weakens for all maturities.