Yield Curve Control

This is one of the first studies to analyze the Bank of Japan’s (BOJ) yield curve control since 2016. The BOJ set a target range for 10-year Japanese government bond (JGB) yields and introduced distinct policy instruments. A fixed-price (i.e., unlimited amount) purchase operation for the 10-year JGBs effectively reduces yields to the target range, although this effect may not immediately extend to the interest swap rate. The BOJ has also made regular fixed-amount purchase operations endogenous to yields and adjusted the growth rate of its balance sheet. These instruments, together with the enhanced forward guidance, have made investors’ expectations convergent, and yields have become stationary and less volatile.

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Work Title Yield Curve Control
Access
Open Access
Creators
  1. Takahiro Hattori
  2. Jiro Yoshida
Keyword
  1. Large-scale asset purchases (LSAP)
  2. Quantitative easing (QE)
  3. Central banking
  4. JGB
  5. Bond-price support
  6. High-frequency data
  7. Swap spread
License In Copyright (Rights Reserved)
Work Type Article
Publisher
  1. International Journal of Central Banking
Publication Date September 9, 2023
Deposited February 11, 2024

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Version 1
published

  • Created
  • Added HY_YCC__Final.pdf
  • Added Creator Takahiro Hattori
  • Added Creator Jiro Yoshida
  • Published
  • Updated Keyword, Description, Publication Date Show Changes
    Keyword
    • Large-scale asset purchases (LSAP), Quantitative easing (QE), Central banking, JGB, Bond-price support, High-frequency data, Swap spread
    Description
    • This is one of the first studies to analyze the Bank of Japan’s (BOJ) yield curve control since 2016. The BOJ set a target range for 10-year Japanese government bond (JGB) yields and introduced distinct policy instruments. A fixed-price (i.e., unlimited amount) purchase operation for the 10-year JGBs effectively reduces yields to the target range, although this effect may not immediately extend to the interest swap rate. The BOJ has also made regular fixed-amount purchase operations endogenous to yields and
    • adjusted the growth rate of its balance sheet. These instruments, together with the enhanced forward guidance, have made investors’ expectations convergent, and yields have become stationary and less volatile.
    • This is one of the first studies to analyze the Bank of Japan’s (BOJ) yield curve control since 2016. The BOJ set a target range for 10-year Japanese government bond (JGB) yields and introduced distinct policy instruments. A fixed-price (i.e., unlimited amount) purchase operation for the 10-year JGBs effectively reduces yields to the target range, although this effect may not immediately extend to the interest swap rate. The BOJ has also made regular fixed-amount purchase operations endogenous to yields and adjusted the growth rate of its balance sheet. These instruments, together with the enhanced forward guidance, have made investors’ expectations convergent, and yields have become stationary and less volatile.
    Publication Date
    • 2023-12-01
    • 2023-09-09
  • Updated