Quantative Easing and Financial Markets

2017 Fiscal Year Final Research Report

• 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
• 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

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.

Free Research Field

経済学