Monetary Policy and Microstructure of Government Bond Market

• Project/Area Number: 16K03742
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Kobe University
• Principal Investigator: Iwatsubo Kentaro 神戸大学, 経済学研究科, 教授 (90372466)
• Project Period (FY): 2016-04-01 – 2019-03-31
• Project Status: Completed (Fiscal Year 2018)
• Budget Amount: ¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000); Fiscal Year 2018: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2017: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2016: ¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
• Keywords: 金融政策 / 国債 / 社債 / マイクロストラクチャー / オプション市場

Outline of Final Research Achievements

The “Quantitative and Qualitative Monetary Easing” enacted immediately after the inauguration of Bank of Japan Governor Kuroda brought violent fluctuations in the prices of government bonds and deteriorated market liquidity. Does a central bank's government bond purchasing policy generally reduce market liquidity? Do conditions exist that can prevent such a decrease? This study analyzes how the Bank of Japan's purchasing policy changes influenced market liquidity. The results reveal that three specific policy changes contributed significantly to improving market liquidity: (i) increased purchasing frequency; (ii) a decrease in the purchase amount per auction; and (iii) reduced variability in the purchase amounts. These policy changes facilitated investors' purchase schedule expectations and helped reduce market uncertainty. The evidence supports the theory that the effect of government bond purchasing policy on market liquidity depends on the market's informational environment.

Academic Significance and Societal Importance of the Research Achievements

世界金融危機以降、非伝統的金融政策を採用する国が増えた。日本では日本銀行の量的質的金融緩和が開始されて以来、国債の買入れ額が大幅に増加し、国債市場における流動性の低下が懸念されている。非伝統的金融政策による資産価格や実体経済への影響については数多くの研究があるが、国債市場の流動性など市場の質への影響に関する研究はあまり多くない。たとえば、公開市場操作が市場の流動性を改善させるのか、悪化されるのかについては、研究蓄積のある米国でも意見が分かれている。日本のデータを用いた研究はほとんどないなか、本研究では日本銀行の国債買入れ政策が市場流動性や国債価格の情報効率性に与える影響を分析した。

Research Products

• [Int'l Joint Research] Hawaii University(米国)
• [Int'l Joint Research] Cass Business School, London University(英国)
• [Journal Article] Quantitative Easing and Liquidity in the Japanese Government Bond Market (2018)
  • Author(s): Iwatsubo Kentaro、Taishi Tomoki
  • Journal Title: International Review of Finance Volume: 18 Issue: 3 Pages: 463-475
  • DOI: 10.1111/irfi.12134
  • NAID: 120006517715
  • Peer Reviewed
• [Journal Article] Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York (2018)
  • Author(s): Kentaro Iwatsubo, Clinton Watkins and Tao Wu
  • Journal Title: Journal of Commodity Markets Volume: 11 Pages: 59-71
  • NAID: 120006517716
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] 日銀の国債買入れと国債の現物および先物市場の流動性・効率性 (2017)
  • Author(s): 岩壷健太郎・太子智貴
  • Journal Title: 東京証券取引所 先物・オプションレポート Volume: 29, 5 Pages: 1-5
• [Journal Article] ジャスダック市場の取引制度と流動性 (2017)
  • Author(s): 岩壷健太郎・張葉舟
  • Journal Title: 国民経済雑誌 Volume: 216巻、2号 Pages: 1-11
• [Journal Article] FX証拠金取引の投資戦略とパフォーマンス (2017)
  • Author(s): 岩壷健太郎
  • Journal Title: 一般社団法人金融先物取引業協会、会報 Volume: No.114 Pages: 39-48
• [Journal Article] 気質効果とロスカット規制－口座別FX取引データを用いた分析 (2016)
  • Author(s): 岩壷健太郎
  • Journal Title: 証券アナリストジャーナル Volume: 54（４） Pages: 35-43
  • Peer Reviewed
• [Presentation] Who Influences the Fundamental Value of Commodity Futures in Japan (2018)
  • Author(s): Clinton Watkins
  • Organizer: 31th Australasian Finance and Banking Conference, Sydney
  • Int'l Joint Research
• [Presentation] Who Influences the Fundamental Value of Commodity Futures in Japan (2018)
  • Author(s): Kentaro Iwatsubo
  • Organizer: Infiniti Conference, Sydney
  • Int'l Joint Research
• [Presentation] Term Structure of Credit Spreads under Unconventional Monetary Policies in Japan (2018)
  • Author(s): 岩壷 健太郎
  • Organizer: 大阪大学数理データ科学センター ワークショップ「証券市場の諸問題」
• [Presentation] Term Structure of Credit Spreads under Unconventional Monetary Policies in Japan (2018)
  • Author(s): 小林武
  • Organizer: ファイナンス学会
• [Presentation] Term Structure of Credit Spreads under Unconventional Monetary Policies in Japan (2018)
  • Author(s): Kentaro Iwatsubo
  • Organizer: International Conference on Economic Theory and Policy
  • Int'l Joint Research
• [Presentation] Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York (2017)
  • Author(s): Kentaro Iwatsubo
  • Organizer: AJFC- RIETI Workshop on Economic and Financial Analysis of Commodity Markets, Australian National University
  • Int'l Joint Research
• [Presentation] Market Maker System versus Continuous Auction System: Evidence from JASDAQ Market (2017)
  • Author(s): 岩壷健太郎
  • Organizer: 経営財務研究学会
• [Presentation] Market Maker System versus Continuous Auction System: Evidence from JASDAQ Market (2017)
  • Author(s): 岩壷健太郎
  • Organizer: 日本ファイナンス学会
• [Presentation] Quantitative Easing and Liquidity in the Japanese sovereign bond market (2017)
  • Author(s): Kenaro Iwatsubo
  • Organizer: World Finance Conference
  • Int'l Joint Research
• [Presentation] Quantitative Easing and Liquidity in the Japanese sovereign bond market (2016)
  • Author(s): 岩壷 健太郎
  • Organizer: Asian Finance Association
  • Place of Presentation: タイ、バンコク
  • Int'l Joint Research
• [Presentation] FX証拠金取引のロスカット規制－気質効果とリスクテイク－ (2016)
  • Author(s): 岩壷 健太郎
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 横浜国立大学
• [Presentation] FX証拠金取引のロスカット規制 (2016)
  • Author(s): 岩壷 健太郎
  • Organizer: 日本金融学会
  • Place of Presentation: 武蔵大学
  • Invited