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
|
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.
|