June 2017 issue contents
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.

Full article (PDF, 38 pages, 824 kb)