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

15 Pages Posted: 7 Nov 2017

See all articles by Junko Koeda

Junko Koeda

Ministry of Finance, Japan; Waseda University - School of Political Science and Economics

Date Written: December 2017

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.

Suggested Citation

Koeda, Junko, Bond Supply and Excess Bond Returns in Zero‐Lower Bound and Normal Environments: Evidence from Japan (December 2017). The Japanese Economic Review, Vol. 68, Issue 4, pp. 443-457, 2017, Available at SSRN: https://ssrn.com/abstract=3066412 or http://dx.doi.org/10.1111/jere.12117

Junko Koeda (Contact Author)

Ministry of Finance, Japan ( email )

3-1-1 Kasumigaseki
Chiyoda-ku
Tokyo, 100-8940
Japan
1008940 (Fax)

Waseda University - School of Political Science and Economics ( email )

1-6-1 Nishi-Waseda
Shinjuku-ku, Tokyo 169-8050, Tokyo 169-8050
Japan

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