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Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan

Junko Koeda

No 1506, Working Papers from Waseda University, Faculty of Political Science and Economics

Abstract: We estimate a discrete-time version of Vayanos and Vila’s (2009) preferred habitat model, using Japanese government bond yield data. The estimated results indicate that bond excess returns become more sensitive to supply factors in the absence of a zero lower bound constraint unless arbitrageurs become willing to take on more risk.

Keywords: Term structure model; Japanese government bonds; preferred habitat; supply factors (search for similar items in EconPapers)
JEL-codes: C13 C32 E43 E44 E52 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2015-07
New Economics Papers: this item is included in nep-mac
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Related works:
Journal Article: Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan (2017) Downloads
Journal Article: Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan (2017) Downloads
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