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"On the effect of Bank of Japan's outright purchase on the JGB yield curve" (in Japanese)

Author

Listed:
  • Takami Tokioka

    (GCI Asset Managemen.Inc)

  • Masafumi Nakano

    (Graduate School of Economics, The University of Tokyo)

  • Akihiko Takahashi

    (Faculty of Economics, University of Tokyo)

  • Soichiro Takahashi

    (Graduate School of Economics, The University of Tokyo)

Abstract

This paper examines an impact of Bank of Japan (BOJ)'s outright purchase on the JGB (Japanese government bond) yield curve. In particular, 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 widening of 20-30 year spread. Moreover, we analyze an impact of JGB issuance plan in FY 2018 on the JGB yield curve.

Suggested Citation

  • Takami Tokioka & Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2018. ""On the effect of Bank of Japan's outright purchase on the JGB yield curve" (in Japanese)," CIRJE J-Series CIRJE-J-294, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:jseres:2018cj294
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2018/2018cj294.pdf
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    Cited by:

    1. Inaba, Kei-Ichiro, 2020. "Japan’s impactful augmentation of quantitative easing sovereign-bond purchases," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    2. Akihiko Takahashi & Soichiro Takahashi, 2022. "A state space modeling for proactive management in equity investment "Forthcoming in International Journal of Financial Engineering"," CARF F-Series CARF-F-543, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

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