Time Series Analysis for Yield Curves

2023 Fiscal Year Final Research Report

• Project/Area Number: 20K13525
• Research Category: Grant-in-Aid for Early-Career Scientists
• Allocation Type: Multi-year Fund
• Review Section: Basic Section 07060:Money and finance-related
• Research Institution: Meiji University (2023); Chiba University (2020-2022)
• Principal Investigator: Sekine Atsushi 明治大学, 政治経済学部, 専任講師 (70779066)
• Project Period (FY): 2020-04-01 – 2024-03-31
• Keywords: イールドカーブ / Nelson-Siegel / 金融政策

Outline of Final Research Achievements

Estimating the Nelson-Siegel model, this study investigates evolution of the estimated yield curves and the factors, and the effects of monetary policy by the Bank of Japan and the Federal Reserve on the yield curves. In Japan, an increase in holding of Japanese government bonds by the Bank of Japan is associated with a decrease in decay factor of the yield curves, leading to pushing down the whole yield curves. Also, monetary policy by the Bank of Japan significantly affected the yield curves. For example, the negative interest-rate policy decreased the level, and the yield curve control policy decreased volatility of decay factor. In the US, the Federal Reserve increased the federal funds rate to control changes in prices after the COVID-19 pandemic. The increase in the policy rate increased not only the level but also the slope, leading to the inverted yield curve.

Free Research Field

金融・ファイナンス

Academic Significance and Societal Importance of the Research Achievements

本研究では、Nelson-Siegelモデルを用いて、日米のイールドカーブの推定を行った。イールドカーブまたはそのファクターは景気を表す一指標とされており、日米のイールドカーブの理解を通して、景気の状態や金融政策でどのように変化してきたのかについて明らかにすることが出来た。また、日銀がマイナス金利政策を導入したことによって水準が大きく下落し、さらにイールドカーブコントロールを導入したことによって減衰ファクターの変動が小さくなることが分かった。この事実は今後の金融政策の示唆になると思われる。