Macroeconomic effects of unconvensional monetary policy and Japanese government bond markets

2017 Fiscal Year Final Research Report

• Project/Area Number: 26870124
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Money/ Finance; Economic policy
• Research Institution: Waseda University
• Principal Investigator: Yoshimura Junko (小枝淳子) 早稲田大学, 政治経済学術院, 准教授 (30549275)
• Project Period (FY): 2014-04-01 – 2018-03-31
• Keywords: 非伝統的金融政策 / マクロ効果 / ゼロ金利制約

Outline of Final Research Achievements

I conducted three research projects. First, my coauthor and I estimated the macro effect of unconventional monetary policy in Japan using a structural vector autoregression model with an effective lower bound (ELB) and forward guidance. We find that quantitative easing increases inflation and output. Our nonlinear impulse responses show that a liftoff can be expansionary depending on macroeconomic conditions.
Second, I estimated a term structure model with preferred habitat and an ELB. The estimated results indicate that bond excess returns become more sensitive to changes in arbitrageurs' bond demand in the absence of a ELB constraint unless they become willing to take on more risk.
Third, my coauthor and I estimated a sovereign default model using a simulated maximum likelihood method. Despite its focus on idiosyncratic risk, the estimated model accounts for the overall default patterns of Argentina.

Free Research Field

Macroeconomics, finance, international finance