| Project/Area Number |
17K03814
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Nihon University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
宮川 大介 一橋大学, 大学院経営管理研究科, 准教授 (00734667)
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| Project Period (FY) |
2017-04-01 – 2022-03-31
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| Project Status |
Completed (Fiscal Year 2021)
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| Budget Amount *help |
¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Fiscal Year 2019: ¥520,000 (Direct Cost: ¥400,000、Indirect Cost: ¥120,000)
Fiscal Year 2018: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2017: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
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| Keywords | 量的緩和 / 国債の発行市場 / 需要と供給の価格弾力性 / 国債管理政策 / 量的緩和政策 / 需給関数の価格弾力性 / 国債 / 需要の弾力性 / 自己・交差弾力性 / イールドカーブ / 金利裁定 / 顧客効果 / 代替資産 / 金融政策 / 需給関数 |
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| Outline of Final Research Achievements |
The purpose of this paper is to empirically examine the pricing implication of the Bank of Japan (BOJ)’s market intervention in the primary market of Japanese government bonds (JGBs) with explicitly considering Japanese government’s debt management. We model the demand and supply of JGBs in multiple maturities as a simultaneous equation system and estimate it by using the price and quantity data of JGBs. The estimated demand function supports the preferred-habitat hypothesis while the estimated supply function suggests the Japanese government’s active debt management. The impacts of the BOJ’s intervention on the yield curve, that could have been sizable under the weak arbitrage, is significantly offset by the Japanese government’s debt management.
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| Academic Significance and Societal Importance of the Research Achievements |
日本の金利体系(イールドカーブ)がどのように形成されるのか，日銀の量的緩和による国債買入はこれにどのような影響を与えるのかという問題は，巨額の累積債務を抱え，超低金利が常態化した日本経済を理解する上で非常に興味深い．本研究では，国債の需要・供給関数の推計を通じて，金利体系の形成メカニズムを解明した．その結果，金利形成においては，需要サイドのみならず供給サイドの国債管理政策が重要な役割を演じていることが分かった．
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