Monetary Policy and Microstructure of Government Bond Market

2018 Fiscal Year Final Research Report

• 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
• Keywords: 金融政策 / 国債 / 社債 / マイクロストラクチャー

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.

Free Research Field

ファイナンス

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。