Impact of US Monetary Policy Spillovers and Yield Curve Control Policy

Jouchi Nakajima

No 760, Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: This study revisits the impact of US monetary policy (MP) spillovers on international bond markets through an empirical analysis of Japanese government bond yields. The analysis investigates how US MP shocks affect the yield curve and the components of expected rates and term premiums. A key insight of this study, supported by the empirical findings, is that the impacts of US MP spillovers on the term premium of domestic yields are muted during the yield curve control (YCC) policy, where the targeted long-term yield is kept within a certain small range. This novel finding implies that the policy is effective in preventing longterm yields from increasing upward pressure from US MP spillovers.

Keywords: Monetary policy; Term premium; Shadow rate; Yield curve control (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 G12 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2025-02
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/85067/DP760.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:hit:hituec:760

Access Statistics for this paper

More papers in Discussion Paper Series from Institute of Economic Research, Hitotsubashi University Contact information at EDIRC.
Bibliographic data for series maintained by Hiromichi Miyake ().