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Monetary policy and the term structure of interest rates in Japan.
- Article from:
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Journal of Money, Credit & Banking
- Article date:
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February 1, 2006
- Author:
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Copyright informationCOPYRIGHT 2006 Ohio State University Press. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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This paper uses Japanese data to investigate the relationship between monetary policy and the yield curve. We find that the response of the yield curve depends in an important way on the maintained hypothesis about how monetary policy affects the economy. Under the liquidity effect maintained hypothesis monetary policy only has transient effects on the yield curve. Under the costly price adjustment maintained hypothesis, however, monetary policy has large and persistent effects on yields of all maturities.
JEL codes: C32, E43, E44, E52
Keywords: monetary policy, term structure of interest rates, VAR with sign restrictions, identification.
THIS PAPER INVESTIGATES the relationship ...