Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2020 erstellt
Beschreibung:
This is the first study to analyze the yield curve control (YCC) regime initiated by the Bank of Japan (BOJ) in 2016. To impose yield caps, the BOJ makes its bond purchases endogenous to market yields through both fixed-amount and fixed-price (i.e., unlimited-amount) operations. Both long-term and short-term JGB yields become stationary and less volatile when the yield caps are binding under YCC. When negative yields make the yield caps slack, yields become non-stationary and volatile. Investors' yield expectations also converge across the entire yield curve. However, the immediate intraday impact of the BOJ's operations is confined to JGB markets