Quantifying Forward Guidance and Yield Curve Control

Junko Koeda () and Bin Wei
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Junko Koeda: https://www.waseda.jp/fpse/faculty-en/2021/04/13/1309/

No 2024-8, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: This study evaluates the effectiveness of Japan's unconventional monetary policies over the past quarter century within a unified term structure framework. It specifically examines the impact of the Bank of Japan's (BOJ) outcome-based forward guidance and yield curve control (YCC) and incorporates other policy types into the framework. The findings show that the BOJ’s forward guidance and YCC have both had a significant impact on the shadow rate. Forward guidance accounted for most of the policy impact in the early stages of unconventional monetary policies and remained influential throughout. YCC, since its introduction in 2016 until March 2022, contributed to more than a third of the policy impact. Furthermore, these policies have been effective in raising output and inflation.

Keywords: forward guidance; effective lower bound (ELB); liftoff; term structure; shadow rate; macro finance; unspanned macro factors; yield curve control; Japan (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 (search for similar items in EconPapers)
Pages: 41
Date: 2024-09-23
New Economics Papers: this item is included in nep-ban, nep-cba, nep-his and nep-mon
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Published in 2024

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DOI: 10.29338/wp2024-08

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