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武蔵大学論集 「The Journal of Musashi University」 >
2022年度・第70巻 第1号 >

Please use this identifier to cite or link to this item: http://hdl.handle.net/11149/2458

Title: The Bank of Japan's yield curve control: A model-based evaluation
Authors: KAGRAOKA, Yusho
神楽岡, 優昌
Keywords: yield curve control
the Bank of Japan
Japanese government bond purchase
Jarrow-Li model
Kalmanfilter
Issue Date: 23-Dec-2022
Publisher: 武蔵大学経済学会
Abstract: The Bank of Japan has adopted the yield curve control (YCC) monetary policy since September 2016. While traditional monetary policies control the short-term rates, YCC tries to control and hold the 10 year Japanese government bond (JGB) yields at around zero percent. Moreover, YCC is implemented by purchases of the JGBs over any maturities. This study evaluates the effects of YCC by modifying a stochastic model proposed by Jarrow and Li (2014) [Review of Derivatives Research 17 (3), pp. 287-321]. Their model extends the Heath-Jarrow-Morton model to incorporate the effects of government bond purchases of a central bank. The model parameters are estimated using a Kalman filter technique. The empirical results reveal that YCC lowers the yield curve by 1.7553% per year.
Description: 論文
Articles
JEL classifications: E43, E52, E58, G12
URI: http://hdl.handle.net/11149/2458
Appears in Collections:2022年度・第70巻 第1号

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