Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan
The Japanese Economic Review, 2017, vol. 68, issue 4, No 2, 443-457
Abstract We estimate a discrete-time version of the Vayanos and Vila (2009) preferred-habitat model, using Japanese government bond yield data. The estimated results indicate that bond excess returns become more sensitive to bond supply in the absence of a zero lower bound constraint unless arbitrageurs become willing to take on more risk.
Keywords: C13; C32; E43; E44; E52 (search for similar items in EconPapers)
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Journal Article: Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan (2017)
Working Paper: Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan (2015)
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