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Impact of US Monetary Policy Spillovers and Yield Curve Control Policy

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  • NAKAJIMA, Jouchi

Abstract

This study revisits the impact of US monetary policy (MP) spillovers on international bond markets through an empirical analysis of Japanese government bond yields. The analysis investigates how US MP shocks affect the yield curve and the components of expected rates and term premiums. A key insight of this study, supported by the empirical findings, is that the impacts of US MP spillovers on the term premium of domestic yields are muted during the yield curve control (YCC) policy, where the targeted long-term yield is kept within a certain small range. This novel finding implies that the policy is effective in preventing longterm yields from increasing upward pressure from US MP spillovers.

Suggested Citation

  • NAKAJIMA, Jouchi, 2025. "Impact of US Monetary Policy Spillovers and Yield Curve Control Policy," Discussion Paper Series 760, Institute of Economic Research, Hitotsubashi University.
    • Handle: RePEc:hit:hituec:760
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    File URL: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/85067/DP760.pdf
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    More about this item

    Keywords

    Monetary policy; Term premium; Shadow rate; Yield curve control;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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