The Effects of Monetary Policy Announcements at the Zero Lower Bound

International Journal of Central Banking, 13 (2) (2017) pp. 159-196

41 Pages Posted: 9 Sep 2016 Last revised: 18 Oct 2017

See all articles by Natsuki Arai

Natsuki Arai

National Chengchi University (NCCU) - Department of International Business

Date Written: July 7, 2016

Abstract

This paper investigates the effects of monetary policy announcements at the zero lower bound using Japanese data from 1998 to 2013. I find that the effect of expansionary monetary policy shocks is directly passed on to corporate bond yields, notably for high-grade corporate bond yields. However, the magnitude of estimated pass-through to stock prices and the exchange rate is substantially smaller than in the U.S., and not statistically significant in most cases.

Keywords: Zero Lower Bound, Unconventional Monetary Policy, Identification through Heteroscedasticity, Bank of Japan

JEL Classification: E43, E44, E52, E58

Suggested Citation

Arai, Natsuki, The Effects of Monetary Policy Announcements at the Zero Lower Bound (July 7, 2016). International Journal of Central Banking, 13 (2) (2017) pp. 159-196. Available at SSRN: https://ssrn.com/abstract=2836314

Natsuki Arai (Contact Author)

National Chengchi University (NCCU) - Department of International Business ( email )

Taipei City
Taiwan

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