A Macro-finance Analysis of the Term Structure and Monetary Policy in Japan
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Page : pages
File Size : 14,65 MB
Release : 2007
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Author :
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Page : pages
File Size : 14,65 MB
Release : 2007
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Publisher :
Page : 284 pages
File Size : 17,55 MB
Release : 2006
Category : Finance
ISBN :
Author : Kenneth J. Singleton
Publisher : University of Chicago Press
Page : 208 pages
File Size : 16,89 MB
Release : 2007-12-01
Category : Business & Economics
ISBN : 0226760685
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 : Naohiko Baba
Publisher :
Page : 48 pages
File Size : 49,84 MB
Release : 2006
Category : Capital market
ISBN :
This paper reviews the financial market functioning under the zero interest rate policy (ZIRP) and the subsequent quantitative monetary easing policy (QMEP) conducted by the Bank of Japan (BOJ). First, the estimation results of the JGB yield curve using the Black-Gorovoi-Linetsky (BGL) model show that (i) the shadow interest rate has been negative since the late 1990s, turned around upward in 2003, and has been on an uptrend since then, and (ii) the first-hitting time until the negative shadow interest rate hits zero again under the risk-neutral probability is estimated to be about 3 months as of the end of February 2006. Second, under the ZIRP and QMEP, the risk premiums for Japanese banks have almost disappeared in the short-term money markets like the market for negotiable certificates of deposits, while they have remained in the credit default swap market and the stock market. This result supports the view that the market participants have positively perceived the BOJ's ample liquidity provisions in containing the near-term defaults of banks caused by the liquidity shortage.--Author's description.
Author : Mr. Tamim Bayoumi
Publisher : International Monetary Fund
Page : 252 pages
File Size : 15,61 MB
Release : 1998-06-09
Category : Business & Economics
ISBN : 1455227501
This volume, by Bijan B. Aghevli, Tamim Bayoumi, and Guy Meredith, is based on a seminar on structural change in Japan held in early 1997 and chaired by the IMF's First Deputy Managing Director, Stanley Fischer. Discussion of teh day-to-day management of the standard levers of fiscal and monetary policy is interlinked with consideration for the more deep-seated structural issues. By shifting and destabilizing the underlying economic relationships and creating uncertainty, structural change complicates the task of policy analysis. This volume describes how the IMF is responding to these challenges and how outside experts assess this effect.
Author : Andreas Jobst
Publisher : International Monetary Fund
Page : 48 pages
File Size : 41,99 MB
Release : 2016-08-10
Category : Business & Economics
ISBN : 1475524471
More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero lower bound is less binding than previously thought. However, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher asset values and stronger aggregate demand. Further monetary accommodation may need to rely more on credit easing and an expansion of the ECB’s balance sheet rather than substantial additional reductions in the policy rate.
Author : Takeo Hoshi
Publisher : Springer Science & Business Media
Page : 350 pages
File Size : 36,28 MB
Release : 2000-05-31
Category : Business & Economics
ISBN : 9780792377832
Specialists in various aspects of the Japanese financial industry describe, analyze, and evaluate the crisis that began with bursting real east bubbles in the early 1990s and resulting non-performing loans, delay by regulatory authorities and the banks themselves, a decompressive deregulation in 1996, major reforms in 1998 and early 1999 that made $500 billion of government funds available, and the resulting lack of regulatory control. In the context of the transition from a bank-centered and relationship-based system to market-based and competitive, they investigate why the banks got into such serious trouble, why the Ministry of Finance lost its immense power, how financial regulation will further change the industry and the huge government financial institutions and postal savings, and what some broader implications are of the transitions. Most of the 12 studies are revised from presentations at an October 1998 conference in New York. Annotation copyrighted by Book News, Inc., Portland, OR
Author : Emanuel Kopp
Publisher : International Monetary Fund
Page : 22 pages
File Size : 20,69 MB
Release : 2018-06-15
Category : Business & Economics
ISBN : 1484363671
In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation surprise could require monetary policy to tighten faster than anticipated, inducing to a sudden decompression of term and other risk premia, thus tightening financial conditions. This paper proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics with a focus on medium- to long-run forecasts. Our results clearly show that a macroeconomic approach is warranted: While term premium estimates are in line with those from other studies, we provide (i) plausible, stable estimates of expected long-term interest rates and (ii) forecasts of short- and long-term interest rates as well as cyclical macroeconomic variables that are stunningly close to those generated from large-scale macroeconomic models.
Author : Ben S. Bernanke
Publisher : www.bnpublishing.com
Page : 0 pages
File Size : 10,94 MB
Release : 2009-03
Category :
ISBN : 9781607961055
The success over the years in reducing inflation and, consequently, the average level of nominal interest rates has increased the likelihood that the nominal policy interest rate may become constrained by the zero lower bound. When that happens, a central bank can no longer stimulate aggregate demand by further interest-rate reductions and must rely on "non-standard" policy alternatives. To assess the potential effectiveness of such policies, we analyze the behavior of selected asset prices over short periods surrounding central bank statements or other types of financial or economic news and estimate "noarbitrage" models of the term structure for the United States and Japan. There is some evidence that central bank communications can help to shape public expectations of future policy actions and that asset purchases in large volume by a central bank would be able to affect the price or yield of the targeted asset.
Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 109 pages
File Size : 22,90 MB
Release : 2017-07-31
Category : Business & Economics
ISBN : 1484313437
This paper assesses the stability of the financial system in Japan. Although the financial system has remained stable, the low profitability environment is creating new risks, and pressures are likely to persist. The search for yield among banks has led some to expand their overseas activities, and more generally to a growth in real estate lending and foreign securities investments. Efforts to increase risk-based lending to small-and medium-sized enterprises are welcome, but many banks still need to develop commensurate credit assessment capacities. Stress tests suggest that the banking sector remains broadly sound, although market risks are increasing, and there are some vulnerabilities among regional banks.