The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period PDF Download
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Author: Mr.Jun Nagayasu
Publisher: International Monetary Fund
ISBN: 1451874723
Category : Business & Economics
Languages : en
Pages : 32
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Book Description
This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When interest rates are low, the usefulness of the model declines, since the interest spread contains little information that can be used for predicting future economic activity. The term-structure relationship is also weakened by the Bank of Japan's use of interest rate smoothing.
Author: Mr.Jun Nagayasu
Publisher: International Monetary Fund
ISBN: 1451874723
Category : Business & Economics
Languages : en
Pages : 32
Get Book Here
Book Description
This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When interest rates are low, the usefulness of the model declines, since the interest spread contains little information that can be used for predicting future economic activity. The term-structure relationship is also weakened by the Bank of Japan's use of interest rate smoothing.
Author: John Y. Campbell
Publisher:
ISBN:
Category :
Languages : en
Pages : 64
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Book Description
Author: Gary Stephen Shea
Publisher:
ISBN:
Category : Debt
Languages : en
Pages : 286
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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Book Description
Author: Takayasu Ito
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 216
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Book Description
Author: Etienne Vaccaro-Grange
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This Ph.D. thesis has the ambition to help better understand the role of interest rates as a monetary policy instrument driving the economy for the central bank. The first chapter of the thesis analyzes the bond term premium transmission channel of the first sovereign bonds purchase programme of the European Central Bank, focusing on the impact on aggregated Euro Area macroeconomic variables. The second chapter investigates the low growth - low inflation environment present in Japan since the 1990s, through the yield curve gap. This chapter extends the concept of (short-term) natural rate of interest to medium and long-term maturities, and shows that the different monetary policy regimes implemented by the Bank of Japan did not have an homogeneous impact on the yield curve gap and on the Japanese economy. Finally, a third chapter demonstrates that the U.S. price Phillips curve - the structural relationship between price inflation and measures of real economic activity - is not dead, as opposed to the current common thinking. This chapter shows that the slope of the price Phillips curve is not flat, once filtered from all supply shocks, and not only cost-push shocks. The chapter also finds evidence that the apparent flattening of the curve is due to the fact that the U.S. Federal Reserve has become a stricter inflation targeter.
Author: Kenneth J. Singleton
Publisher: University of Chicago Press
ISBN: 0226760685
Category : Business & Economics
Languages : en
Pages : 208
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Book Description
How has the Bank of Japan (BOJ) helped shape Japan's economic growth during the past two decades? This book comprehensively explores the relations between financial market liberalization and BOJ policies and examines the ways in which these policies promoted economic growth in the 1980s. The authors argue that the structure of Japan's financial markets, particularly restrictions on money-market transactions and the key role of commercial banks in financing corporate investments, allowed the BOJ to influence Japan's economic success. The first two chapters provide the most in-depth English-language discussion of the BOJ's operating procedures and policymaker's views about how BOJ actions affect the Japanese business cycle. Chapter three explores the impact of the BOJ's distinctive window guidance policy on corporate investment, while chapter four looks at how monetary policy affects the term structure of interest rates in Japan. The final two chapters examine the overall effect of monetary policy on real aggregate economic activity. This volume will prove invaluable not only to economists interested in the technical operating procedures of the BOJ, but also to those interested in the Japanese economy and in the operation and outcome of monetary reform in general.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Junko Koeda
Publisher:
ISBN:
Category : GARCH model
Languages : en
Pages : 35
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Book Description
"We examine the effect of uncertainty arising from policy-shock volatility on yield-curve dynamics. In contrast to the assumption of many macro-finance models, policy-shock processes appear to be time varying and persistent. We allow for this heteroskedasticity by constructing a no-arbitrage GARCH affine term structure model, in which policy-shock volatility is defined as the conditional volatility of the error term in a Taylor rule. We find that an increase in monetary policy uncertainty raises the medium- and longer-term spreads in a model that incorporates macroeconomic dynamics."--Authors' abstract.
Author: Sven R. Skallsjö
Publisher:
ISBN:
Category :
Languages : en
Pages : 47
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Book Description
The paper studies optimal monetary policy and its implication for the term structure of interest rates when the nominal short rate is bounded at zero. We state the monetary authority's optimization problem in continuous time according to two specifications, interest rate stabilization and interest rate smoothing. For the former the optimization problem is solved analytically, while numerical procedures are adopted for the latter. The paper then turns to study implications for the term structure of interest rates under risk-neutrality. Term structure equations are solved numerically and implications for yield curves and yield volatility curves are discussed. Data for a low-interest rate country like Japan for 1996-2003 exhibits s-shaped yield curves and yield volatility curves. According to our results this shape is consistent with a smoothing objective for the short rate.
