Quantifying Forward Guidance and Yield Curve Control

36 Pages Posted: 9 Jan 2024 Last revised: 17 Jan 2024

See all articles by Junko Koeda

Junko Koeda

Waseda University - School of Political Science and Economics

Bin Wei

Federal Reserve Bank of Atlanta

Multiple version iconThere are 2 versions of this paper

Date Written: December 27, 2023

Abstract

This paper evaluates the effectiveness of Japanese unconventional monetary policies over the past quarter century within a unified term structure framework. It specifically examines the impact of the Bank of Japan's outcome-based forward guidance and yield curve control (YCC), while also incorporating other policy types into the framework. The findings highlight that both the BOJ's forward guidance and YCC have had a significant influence on the shadow rate. Forward guidance accounted for most of the policy impact in the early stages of unconventional monetary policies and remained influential throughout. YCC, since its introduction in 2016 until March 2022, contributed to over a third of the policy impact. Furthermore, these policies have been effective in raising output and inflation.

Keywords: Forward guidance, effective lower bound (ELB), liftoff, term structure, shadow rate, macro finance, unspanned macro factors, yield curve control, Japan

JEL Classification: E43, E44, E52, E58

Suggested Citation

Koeda, Junko and Wei, Bin, Quantifying Forward Guidance and Yield Curve Control (December 27, 2023). Available at SSRN: https://ssrn.com/abstract=4677030 or http://dx.doi.org/10.2139/ssrn.4677030

Junko Koeda (Contact Author)

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

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

Bin Wei

Federal Reserve Bank of Atlanta ( email )

1000 Peachtree Street N.E.
Atlanta, GA 30309-4470
United States

HOME PAGE: http://https://www.frbatlanta.org/research/economists/wei-bin.aspx

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
143
Abstract Views
788
Rank
347,519
PlumX Metrics