The Effects Of The Bank Of Japans Zero Interest Rate Commitment And Quantitative Monetary Easing On The Yield Curve

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The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve

Author : Nobuyuki Oda
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve by : Nobuyuki Oda

Download or read book The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve written by Nobuyuki Oda and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 medium- to 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.

Policy Commitment and Expectation Formations

Author : Kunio Okina
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Policy Commitment and Expectation Formations by : Kunio Okina

Download or read book Policy Commitment and Expectation Formations written by Kunio Okina and published by . This book was released on 2003 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Comments on "Price Stability and Japanese Monetary Policy"

Author : Hiroshi Fujiki
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Comments on "Price Stability and Japanese Monetary Policy" by : Hiroshi Fujiki

Download or read book Comments on "Price Stability and Japanese Monetary Policy" written by Hiroshi Fujiki and published by . This book was released on 2004 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This commentary summarizes the authors main points of agreement and disagreement with respect to the proposal written by Dr. Hetzel. The authors agree with Dr. Hetzel's proposal on four points: after a central bank has lowered the interest rate to zero, (i) a central bank is not in fact powerless to stop deflation, (ii) it does not make sense to focus on the quantity of the monetary base per se, (iii) it is important to influence market expectations if monetary policy is to be effective, and (iv) central bank solvency holds some importance. The authors disagree with Dr. Hetzel's proposal on three points: (i) transmission channels of quantitative easing, (ii) potential costs and benefits of his proposal, and (iii) the timing of introduction of an explicit nominal anchor.

Financial Market Functioning and Monetary Policy

Author : Naohiko Baba
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Financial Market Functioning and Monetary Policy by : Naohiko Baba

Download or read book Financial Market Functioning and Monetary Policy written by Naohiko Baba and published by . This book was released on 2006 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the financial market functioning under the zero interest rate policy (ZIRP) and the subsequent quantitative monetary easing policy (QMEP) conducted by the Bank of Japan (BOJ). First, the estimation results of the JGB yield curve using the Black-Gorovoi-Linetsky (BGL) model show that (i) the shadow interest rate has been negative since the late 1990s, turned around upward in 2003, and has been on an uptrend since then, and (ii) the first-hitting time until the negative shadow interest rate hits zero again under the risk-neutral probability is estimated to be about 3 months as of the end of February 2006. Second, under the ZIRP and QMEP, the risk premiums for Japanese banks have almost disappeared in the short-term money markets like the market for negotiable certificates of deposits, while they have remained in the credit default swap market and the stock market. This result supports the view that the market participants have positively perceived the BOJ's ample liquidity provisions in containing the near-term defaults of banks caused by the liquidity shortage.--Author's description.

Size and Composition of the Central Bank Balance Sheet

Author : Shigenori Shiratsuka
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Size and Composition of the Central Bank Balance Sheet by : Shigenori Shiratsuka

Download or read book Size and Composition of the Central Bank Balance Sheet written by Shigenori Shiratsuka and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper re-examines Japan's experience of the quantitative easing policy in light of the policy responses against the current financial and economic crisis. Central banks use various unconventional measures in the range of financial assets being purchased and in the scale of such purchases. As the scope of such unconventional measures expands, it is often emphasized that the U.S. Federal Reserve policy reactions focus more on the asset side of its balance sheet, the so-called credit easing . By contrast, the Bank of Japan's quantitative easing policy from 2001 to 2006 set a target for the current account balances, the liability side of its balance sheet. It is crucial to understand that central banks combine the two elements of their balance sheets, size and composition, to enhance the overall effects of unconventional policy measures, given constraints on policy implementation.--Author's abstract.

The Effect of the Increase in Monetary Base on Japan's Economy at Zero Interest Rates

Author : Takeshi Kimura
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis The Effect of the Increase in Monetary Base on Japan's Economy at Zero Interest Rates by : Takeshi Kimura

Download or read book The Effect of the Increase in Monetary Base on Japan's Economy at Zero Interest Rates written by Takeshi Kimura and published by . This book was released on 2002 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Managing the Exit

Author : Mr. Murtaza H. Syed
Publisher : International Monetary Fund
ISBN 13 : 1455200204
Total Pages : 17 pages
Book Rating : 4.4/5 (552 download)

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Book Synopsis Managing the Exit by : Mr. Murtaza H. Syed

Download or read book Managing the Exit written by Mr. Murtaza H. Syed and published by International Monetary Fund. This book was released on 2010-05-01 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: In responding to the global crisis, central banks in several advanced economies ventured beyond traditional monetary policy. A variety of unorthodox measures, including purchases of public and private assets, have significantly enlarged their balance sheets. As recoveries take hold, focus will increasingly shift from countering the Great Recession to orchestrating an exit and returning to a more normal monetary framework. Five years ago, as its economy recovered from a severe financial crisis, Japan attempted just such an exit. This note revisits the Bank of Japan’s experience and draws potential lessons for managing an orderly exit today, with a focus on technical aspects, practicalities, and communication strategies. While the nature of the assets acquired during the present crisis could pose additional complications, parts of Japan’s arsenal—communication, flexibility, a sufficient set of policy tools and a strategy for using them, safeguards against potential losses, the revival of risk appetite through decisive restructuring of balance sheets, and refinements to the monetary framework upon exit—also could be important this time around.

Bank of Japan'S Monetary Easing Measures

Author : Mr.Waikei W. Lam
Publisher : International Monetary Fund
ISBN 13 : 1463924631
Total Pages : 20 pages
Book Rating : 4.4/5 (639 download)

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Book Synopsis Bank of Japan'S Monetary Easing Measures by : Mr.Waikei W. Lam

Download or read book Bank of Japan'S Monetary Easing Measures written by Mr.Waikei W. Lam and published by International Monetary Fund. This book was released on 2011-11-01 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: With policy rates near the zero bound, the Bank of Japan (BoJ) has introduced a series of unconventional monetary easing measures since late 2009 in response to lingering deflation and a weakening economy. These measures culminated in a new Asset Purchase Program under the Comprehensive Monetary Easing (CME) which differs from typical quantitative easing in other central banks by including purchases of risky asset in an effort to reduce term and risk premia. This note assesses the impact of monetary easing measures on financial markets using an event study approach. It finds that the BoJ's monetary easing measures has had a statistically significant impact on lowering bond yields and improving equity prices, but no notable impact on inflation expectations.

Monetary Policy Under Zero Interest Rate

Author : Hiroshi Fujiki
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Monetary Policy Under Zero Interest Rate by : Hiroshi Fujiki

Download or read book Monetary Policy Under Zero Interest Rate written by Hiroshi Fujiki and published by . This book was released on 2000 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Taming Japan's Deflation

Author : Yoshiko Kojo
Publisher : Cornell University Press
ISBN 13 : 1501728199
Total Pages : 361 pages
Book Rating : 4.5/5 (17 download)

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Book Synopsis Taming Japan's Deflation by : Yoshiko Kojo

Download or read book Taming Japan's Deflation written by Yoshiko Kojo and published by Cornell University Press. This book was released on 2018-11-15 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bolder economic policy could have addressed the persistent bouts of deflation in post-bubble Japan, write Gene Park, Saori N. Katada, Giacomo Chiozza, and Yoshiko Kojo in Taming Japan's Deflation. Despite warnings from economists, intense political pressure, and well-articulated unconventional policy options to address this problem, Japan's central bank, the Bank of Japan (BOJ), resisted taking the bold actions that the authors believe would have significantly helped. With Prime Minister Abe Shinzo's return to power, Japan finally shifted course at the start of 2013 with the launch of Abenomics—an economic agenda to reflate the economy—and Abe's appointment of new leadership at the BOJ. As Taming Japan's Deflation shows, the BOJ's resistance to experimenting with bolder policy stemmed from entrenched policy ideas that were hostile to activist monetary policy. The authors explain how these policy ideas evolved over the course of the BOJ's long history and gained dominance because of the closed nature of the broader policy network. The explanatory power of policy ideas and networks suggests a basic inadequacy in the dominant framework for analysis of the politics of monetary policy derived from the literature on central bank independence. This approach privileges the interaction between political principals and their supposed agents, central bankers; but Taming Japan's Deflation shows clearly that central bankers' views, shaped by ideas and institutions, can be decisive in determining monetary policy. Through a combination of institutional analysis, quantitative empirical tests, in-depth case studies, and structured comparison of Japan with other countries, the authors show that, ultimately, the decision to adopt aggressive monetary policy depends largely on the bankers' established policy ideas and policy network.

Misunderstandings and Illusions about Quantitative Easing

Author : Eiji Fukasawa
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Misunderstandings and Illusions about Quantitative Easing by : Eiji Fukasawa

Download or read book Misunderstandings and Illusions about Quantitative Easing written by Eiji Fukasawa and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Zombies on the Brink: Evidence from Japan on the Reversal of Monetary Policy Effectiveness

Author : Mr.Gee Hee Hong
Publisher : International Monetary Fund
ISBN 13 : 151357003X
Total Pages : 41 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Zombies on the Brink: Evidence from Japan on the Reversal of Monetary Policy Effectiveness by : Mr.Gee Hee Hong

Download or read book Zombies on the Brink: Evidence from Japan on the Reversal of Monetary Policy Effectiveness written by Mr.Gee Hee Hong and published by International Monetary Fund. This book was released on 2021-02-19 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: How does unconventional monetary policy affect corporate capital structure and investment decisions? We study the transmission channel of quantitative easing and its potential diminishing returns on investment from a corporate finance perspective. Using a rich bank-firm matched data of Japanese firms with information on corporate debt and investment, we study how firms adjust their capital structure in response to the changes in term premia. Investment responds positively to a reduction in the term premium on average. However, there is a significant degree of cross-sectional variation in firm response: healthier firms increase capital spending and cash holdings, while financially vulnerable firms take advantage of lower long-term yields to refinance without increasing investment.

Further Monetary Easing Policies Under the Non-negativity Constraints of Nominal Interest Rates

Author : Nobuyuki Oda
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Further Monetary Easing Policies Under the Non-negativity Constraints of Nominal Interest Rates by : Nobuyuki Oda

Download or read book Further Monetary Easing Policies Under the Non-negativity Constraints of Nominal Interest Rates written by Nobuyuki Oda and published by . This book was released on 2000 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Research Handbook of Financial Markets

Author : Refet S. Gürkaynak
Publisher : Edward Elgar Publishing
ISBN 13 : 1800375328
Total Pages : 533 pages
Book Rating : 4.8/5 (3 download)

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Book Synopsis Research Handbook of Financial Markets by : Refet S. Gürkaynak

Download or read book Research Handbook of Financial Markets written by Refet S. Gürkaynak and published by Edward Elgar Publishing. This book was released on 2023-05-09 with total page 533 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Research Handbook of Financial Markets carefully discusses the histories and current states of the most important financial markets and institutions, as well as explicitly underscoring open questions that need study. By describing the institutional structure of different markets and highlighting recent changes within them, it accurately highlights their evolving nature.

Mission Incomplete

Author : Sayuri Shirai
Publisher :
ISBN 13 : 9784899740971
Total Pages : 242 pages
Book Rating : 4.7/5 (49 download)

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Book Synopsis Mission Incomplete by : Sayuri Shirai

Download or read book Mission Incomplete written by Sayuri Shirai and published by . This book was released on 2018-07-31 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: In April 2013 the Bank of Japan launched an unprecedented quantitative and qualitative monetary easing policy. It was thought that a 2% price stability target could be achieved within 2 years; 4 years on and we are still mission incomplete. Mission incomplete! This phrase neatly captures the progress made by the Bank of Japan (BOJ) in reflating the economy. In April 2013, the BOJ launched an unprecedented quantitative and qualitative monetary easing policy. The BOJ was certain that the 2% price stability target would be achieved within 2 years. About 4 years later, the BOJ lags behind other major central banks, with actual inflation and inflation expectations still well below 2%. What happened? And what should the BOJ do next? This former policy maker's account expertly traces and analyzes the policy's consequences.

Japan's Great Stagnation

Author : Michael M. Hutchison
Publisher : MIT Press
ISBN 13 : 0262083477
Total Pages : 287 pages
Book Rating : 4.2/5 (62 download)

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Book Synopsis Japan's Great Stagnation by : Michael M. Hutchison

Download or read book Japan's Great Stagnation written by Michael M. Hutchison and published by MIT Press. This book was released on 2006 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: Experts on the Japanese economy examine Japan's prolonged period of economic underperformance, analyzing the ways in which the financial system, monetary policy, and international financial factors contributed to its onset and duration. After experiencing spectacular economic growth and industrial development for much of the postwar era, Japan plunged abruptly into recession in the early 1990s and since then has suffered a prolonged period of economic stagnation, from which it is only now emerging. Japan's malaise, marked by recession or weak economic activity, commodity and asset price deflation, banking failures, increased bankruptcies, and rising unemployment, has been the most sustained economic downturn seen in the industrial world since the 1930s. In Japan's Great Stagnation, experts on the Japanese economy consider key questions about the causes and effects of Japan's prolonged period of economic underperformance and what other advanced economies might learn from Japan's experience. They focus on aspects of the financial and banking system that have contributed to economic stagnation, the role of monetary policy, and the importance of international financial factors--in particular, the exchange rate and the balance of payments. Among the topics discussed are bank fragility and the inaccuracy of measuring it by the "Japan premium," the consequences of weak banking regulation, the controversial policy of "quantitative easing," and the effectiveness of currency devaluation for fighting deflation. Taken together, the contributions demonstrate the importance of a sound financial sector in fostering robust growth and healthy economies--and the enormous economic costs of a dysfunctional financial system. Contributors Yoichi Arai, Robert Dekle, Zekeriya Eser, Eiji Fujii, Kimie Harada, Takeo Hoshi, Michael M. Hutchison, Takatoshi Ito, Ken Kletzer, Nikolas Müller-Plantenberg, Kunio Okina, Joe Peek, Eric S. Rosengren, Shigenori Shiratsuka, Mark M. Spiegel, Frank Westermann, Nobuyoshi Yamori

Japan's Open Future

Author : John Haffner
Publisher : Anthem Press
ISBN 13 : 0857286854
Total Pages : 337 pages
Book Rating : 4.8/5 (572 download)

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Book Synopsis Japan's Open Future by : John Haffner

Download or read book Japan's Open Future written by John Haffner and published by Anthem Press. This book was released on 2009-03-01 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the fast changing modern world where does Japan fit in, and how should it relate to the United States and China? Three foreign commentators make a provocative and persuasive argument that the time has come for Japan to help build a stronger Asian community, and to become an engage and conscientious global citizen.