{"title":"Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan","authors":"Junko Koeda","doi":"10.1111/jere.12117","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":null,"pages":null},"PeriodicalIF":16.4000,"publicationDate":"2016-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/jere.12117","citationCount":"8","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jere.12117","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}
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.
期刊介绍：
Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance.
Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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