The Effects of Monetary Policy Accouncements at the Zero Lower Bound
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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