The impact of quantitative and qualitative easing on term structure: Evidence from micro-level data

Takahiro Hattori

Economics Letters, 2020, vol. 195, issue C

Abstract: We investigate the effect of quantitative and qualitative easing (QQE) conducted by the Bank of Japan (BOJ) on the Japanese Government Bond (JGB) price using micro-level panel data. Our paper takes advantage of the policy changes in the open market operation under QQE, where the BOJ predetermines the schedule of the operation after March 2017, which suggests that the purchases by the BOJ are an exogenous shock. Utilizing this ideal setup, we empirically show that the impact of the demand factor on the term structure significantly affects the JGB price, which supports the market segmentation theory.

Keywords: Yield curve; Quantitative easing; Central banking; Market segmentation (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 E65 G12 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302238

DOI: 10.1016/j.econlet.2020.109347

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