Quantative Easing and Financial Markets

Research Project

Project/Area Number	15K03549
Research Category	Grant-in-Aid for Scientific Research (C)
Allocation Type	Multi-year Fund
Section	一般
Research Field	Money/ Finance
Research Institution	Keio University
Principal Investigator	WADA Kenji 慶應義塾大学, 商学部(三田), 教授 (30317325)
Co-Investigator(Renkei-kenkyūsha)	BASU Parantap Durham University, Business School, Professor
Project Period (FY)	2015-04-01 – 2018-03-31
Project Status	Completed (Fiscal Year 2017)
Budget Amount *help	¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000) Fiscal Year 2017: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000) Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000) Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Keywords	日本銀行 / 国債イールド / 量的質的緩和 / マイナス金利 / イールドカーブコントロール / DSGE / インパルス反応関数 / 金融政策 / 国債 / 超過準備金 / マネタリーベース / 中央銀行 / 金融機関 / 債券価格 / 動的確率的一般均衡モデル / 価格硬直性 / イールド / 保有期間利回り / 量的金融緩和政策 / 債券保有期間収益率 / GDP / インフレーション / 金融政策ショック / TFPショック
Outline of Final Research Achievements	In this project I have constructed a medium scale DSGE model that considers the behavior of households, three types of firms, financial institutions, the central bank and the government. The theoretical contributions of this project is to 1) model government bond explicitly as a coupon bond, 2)link the budget constraint of the central bank and financial institutions through the government bond, 3) link the budget constraint of the central bank and the government through the hypothetical dividend between them and 4) analyze the effect of monetary policies of Bank of Japan including the recent yield curve control. The empirical contribution of this project is to analyze the effect of not only the traditional Taylor rule type interest rate policy and quantitative easing policy but also the recent interest rate on excess reserve policy on real economy and bond markets through the variance decomposition and impulse response analysis.