Portfolio Rebalancing Following the Bank of Japan's Government Bond Purchases: Empirical Analysis Using Data on Bank Loans and Investment Flows
Masashi Saito and
Yoshihiko Hogen
Additional contact information
Masashi Saito: Bank of Japan
Yoshihiko Hogen: Bank of Japan
No 14-06-19, Bank of Japan Research Papers from Bank of Japan
Abstract:
This paper organizes facts and conducts an empirical analysis related to the portfolio rebalancing effect of government bond purchases by the Bank of Japan (BOJ). Our analysis uses data on bank loans and investment flows that are classified by type of entity, primarily taken from the Flow of Funds Accounts Statistics. Following the introduction of Quantitative and Qualitative Monetary Easing (QQE) by the BOJ in April 2013, entities other than the BOJ, as a group, have increased loans and investment in equities, mutual funds, and corporate bonds in Japan, while reducing their holdings of Japanese government bonds. Such portfolio rebalancing is mainly led by domestic banks and nonresidents. Meanwhile, so far, insurance companies, corporate pension funds, and public pensions have not reduced government bond holdings when the BOJ purchased government bonds. In addition to changes in financial and economic conditions, such as the balance sheet conditions of domestic banks and loan demand faced by domestic banks, purchases of government bonds with a longer remaining maturity by the BOJ have played a role in the increase in bank loans observed during the QQE period.
Keywords: portfolio rebalancing; government bond purchases; Quantitative and Qualitative Monetary Easing (QQE); Flow of Funds Accounts Statistics (search for similar items in EconPapers)
JEL-codes: E52 E58 G11 G2 H63 (search for similar items in EconPapers)
Date: 2014-06-19
New Economics Papers: this item is included in nep-ban, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)
Downloads: (external link)
http://www.boj.or.jp/en/research/brp/ron_2014/data/ron140619a.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:boj:bojron:ron140619a
Access Statistics for this paper
More papers in Bank of Japan Research Papers from Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Bank of Japan ().