A Note Om the Estimation of Japanese Government Bond Yield Curves PDF Download
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Author: Nobuyuki Oda
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
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Book Description
Author: Nobuyuki Oda
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
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Book Description
Author: Nobuyuki Oda
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 28
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Book Description
Author: Oda
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Kentaro Kikuchi
Publisher:
ISBN:
Category :
Languages : en
Pages : 59
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Book Description
Author: Young Ho Eom
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 68
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Book Description
Author: Masafumi Nakano
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
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Book Description
This paper examines an impact of Bank of Japan (BOJ)'s outright purchase on the JGB (Japanese government bond) yield curve. Particularly, we develop a simple state space model, which incorporates new factors regarding the BOJ's announcement for its outright purchase and the current market outstanding with standard level and spread factors. Based on the model with a filtering method, we also implement an empirical analysis with time series of the BOJ's announcement records during 2014/10/22-2017/8/3 in the quantitative-qualitative easing(QQE) period to estimate the sensitivities of interest rates against the changes in the market expectation for the net supply with each sector of JGB. We expect the current work provides a basis for considering quantitative effects on the term structure by BOJ's policy changes such as termination or significant reduction of the BOJ's outright purchase. For instance, our scenario analysis shows substantial increase in the 30 year yield with steepening of 20-30 year spread.
Author: Tanweer Akram
Publisher:
ISBN:
Category : Fiscal policy
Languages : en
Pages : 54
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Book Description
Author: International Monetary Fund. Asia and Pacific Dept
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 63
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Book Description
Japan: Selected Issues
Author: International Monetary Fund. Monetary and Capital Markets Department
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 190
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Book Description
The Japanese financial system has remained resilient through a series of shocks including the COVID-19 pandemic. Japan’s large and globally well-integrated financial system withstood the pandemic shock, aided by strong capital and liquidity buffers and extensive policy support. Credit provision to the private sector has remained robust since the pandemic, supporting a steady economic recovery.
Author: Riccardo Rebonato
Publisher:
ISBN: 1107165857
Category : Business & Economics
Languages : en
Pages : 781
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Book Description
Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides readers with the precise tools to develop their own models. This book combines precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.
