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Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective

Junko Koeda

No CARF-F-254, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: This paper applies a tractable two-regime macro-finance affine term structure model to empirically investigate macroeconomic effects on Japanese government bond (JGB) yields in and out of a zero interest rate environment. The estimated results qualitatively assess how differently deflation and low growth contribute to lowering longer-term JGB yields between the normal and zero rate regimes.

Pages: 27 pages
Date: 2011-10, Revised 2011-11
New Economics Papers: this item is included in nep-fdg, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:cfi:fseres:cf254

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