by Natsuki Arai
National Chengchi University
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 United States, and not statistically significant in most cases.
JEL Codes: E43, E44, E52, E58.
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