2016 Fiscal Year Final Research Report
An empirical study of the dynamics of short-term interest rate in Japan and US: testing interest rate smoothing and policy sifts
| Project/Area Number |
25380392
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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 | Nagoya University |
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Principal Investigator |
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| Project Period (FY) |
2013-04-01 – 2017-03-31
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| Keywords | 短期金利 / 中央銀行 / 政策反応関数 / Taylorルール / 金利の平滑化 / デフレ回避 / 予防的な引き下げ / 政策シフト |
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| Outline of Final Research Achievements |
We investigate the dynamics of short-term interest rate empirically in Japan and US. For this investigation, we formulate a policy reaction function based on Taylor rule, which describes the decision of central bank even in a period when nominal interest rate is close to zero or some lower bound. We apply this reaction function or its modified version to long-running time series over a half century in each country to test two hypotheses; (1) central bank smoothes interest rate, and (2) central bank slashes interest rate more drastically near lower bound to avoid the deflation. We can get some results which reject the former and support the latter. Also we find evidence in each country which tells the value of constant term in the reaction function shifts discontinuously at times.
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| Free Research Field |
ファイナンス
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