Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields

2012 ◽  
Author(s):  
Junko Koeda
Keyword(s):  
Monetary Policy ◽  
Term Structure ◽  
Japanese Government ◽  
Government Bond ◽  
Bond Yields ◽  
Policy Shifts

scholarly journals A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy

2021 ◽  
Vol 12 (4) ◽  
pp. 1085-1138 ◽  
Author(s):  
Atsushi Inoue ◽  
Barbara Rossi
Keyword(s):  
Monetary Policy ◽  
Term Structure ◽  
Government Bond ◽  
Unconventional Monetary Policy ◽  
Monetary Policy Shocks ◽  
Bond Yields ◽  
Economic Shocks ◽  
New Approach ◽  
Policy Shocks ◽  
Local Projections

We propose a new approach to analyze economic shocks. Our new procedure identifies economic shocks as exogenous shifts in a function; hence, we call them “ functional shocks.” We show how to identify such shocks and how to trace their effects in the economy via VARs using “ VARs with functional shocks” and “ functional local projections.” Using our new procedure, we address the crucial question of studying the effects of monetary policy by identifying monetary policy shocks as shifts in the whole term structure of government bond yields in a narrow window of time around monetary policy announcements. Our approach sheds new light on the effects of monetary policy shocks, both in conventional and unconventional periods, and shows that traditional identification procedures may miss important effects. Our new procedure has the advantage of identifying monetary policy shocks during both conventional and unconventional monetary policy periods in a unified manner and can be applied more generally to other economic shocks.

Country-specific euro area government bond yield reactions to ECB’s non-standard monetary policy program announcements

2020 ◽  
Vol 21 (4) ◽  
pp. 417-474 ◽  
Author(s):  
Ralf Fendel ◽  
Frederik Neugebauer
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Yield Reduction ◽  
Government Bond ◽  
Bond Yields ◽  
Bond Yield ◽  
Current Spread ◽  
Policy Program ◽  
Government Bond Markets ◽  
Country Specific

AbstractThis paper employs event study methods to evaluate the effects of ECB’s non-standard monetary policy program announcements on 10-year government bond yields of 11 euro area member states. Measurable effects of announcements arise with a one-day delay meaning that government bond markets take some time to react to ECB announcements. The country-specific extent of yield reduction seems inversely related to the solvency rating of the corresponding countries. The spread between core and periphery countries reduces because of a stronger decrease in the latter. This result is confirmed by letting the announcement variable interact with the current spread level.

ASSESSING THE RISKS TO THE JAPANESE GOVERNMENT BOND MARKET

2013 ◽  
Vol 04 (01) ◽  
pp. 1350002 ◽  
Author(s):  
WAIKEI RAPHAEL LAM ◽  
KIICHI TOKUOKA
Keyword(s):  
Public Debt ◽  
Financial Distress ◽  
Financial Stability ◽  
Debt Crisis ◽  
Japanese Government ◽  
Government Bond ◽  
Bond Yields ◽  
Market Capacity ◽  
Debt Dynamics ◽  
The Government

Despite the rise in public debt, Japanese Government Bond (JGB) yields have remained low and stable, supported by steady inflows from household and corporate sectors, high domestic ownership of JGBs, and safe-haven flows in light of ongoing European debt crisis. Nonetheless, the market capacity to absorb new government debt will likely decline over time as the population ages, posing risks for the JGB market. This paper examines the key risks of the JGB market, including a decline of private sector savings and potential spillovers from global financial distress, which could push up the government bond yields. A sharp rise in interest rate could pose challenges on public debt dynamics and financial stability in Japan. In that regard, more ambitious fiscal reforms to reduce public debt will help limit these risks.

Currency wars will break out globally

2015 ◽  
Keyword(s):  
Monetary Policy ◽  
Financial Stability ◽  
Foreign Capital ◽  
Central Banks ◽  
Oil Price ◽  
Government Bond ◽  
Bond Yields ◽  
Race To The Bottom ◽  
Content Type ◽  
Macroeconomic Imbalances

Significance Since the start of 2015, 16 central banks have loosened monetary policy, partly because of the fallout from the oil price plunge, which is driving down inflation. This 'race to the bottom' is increasing the scope for 'currency wars', endangering financial stability in countries with macroeconomic imbalances. Impacts A wave of monetary easing will drive government bond yields to new lows, increasing the scope for currency wars. The race to the bottom is forcing many central banks to loosen policy to deter haven-seeking inflows of foreign capital. This race will fuel speculative attacks against currencies, with Denmark's central bank struggling to defend its krone-euro peg.

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