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
Date Written: July 7, 2016
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: Suggested Citation