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

IF 1.5 4区经济学 Q2 ECONOMICS Japanese Economic Review Pub Date : 2016-11-03 DOI:10.1111/jere.12117

Junko Koeda

引用次数: 8

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.

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零下限和正常环境下的债券供给与超额收益:来自日本的证据

我们估计了Vayanos和Vila(2009)首选栖息地模型的离散时间版本，使用日本政府债券收益率数据。估计结果表明，除非套利者愿意承担更多风险，否则在没有下限约束的情况下，债券超额收益对债券供应更加敏感。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Japanese Economic Review ECONOMICS-

CiteScore

2.70

自引率

0.00%

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期刊介绍： Started in 1950 by a group of leading Japanese economists under the title The Economic Studies Quarterly, the journal became the official publication of the Japanese Economic Association in 1959. As its successor, The Japanese Economic Review has become the Japanese counterpart of The American Economic Review, publishing substantial economic analysis of the highest quality across the whole field of economics from researchers both within and outside Japan. It also welcomes innovative and thought-provoking contributions with strong relevance to real economic issues, whether political, theoretical or policy-oriented.

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