The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market

Naohiko Baba, Motoharu Nakashima, Yosuke Shigemi and Kazuo Ueda ()

MPRA Paper from University Library of Munich, Germany

Abstract: Using the interest rates on negotiable certificates of deposit issued by individual banks, we first show that under the Bank of Japan's zero interest rate policy and quantitative monetary easing policy, not just the levels of money market rates but also the dispersion of rates across banks have fallen to near zero. We next show that the fall in the dispersion of the rates is not fully explained by a fall in the dispersion of credit ratings of the banks. We also present some evidence on the role of the Bank of Japan's monetary policy in reducing risk premiums.

Keywords: Monetary policy; Zero Interest Rate Policy; Quantitative Monetary Easing Policy; Negotiable Certificate of Deposit; Credit Risk Premium (search for similar items in EconPapers)
JEL-codes: G0 G00 (search for similar items in EconPapers)
Date: 2005-10-17
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac, nep-mon and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Published in International Journal of Central Banking Number 1.Volume(2006): pp. 105-135

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Related works:
Journal Article: The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market (2006)
Working Paper: The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market (2005)
Working Paper: The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:816

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