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Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields
This paper estimates an affine term structure model (ATSM) and a shadow rate model (SRM) using Japanese, US, and UK data until March 2013. These models produce very different results, which areExpand
Inflation Expectations and Consumer Spending at the Zero Bound: Micro Evidence
type="main" xml:id="ecin12176-abs-0001"> Standard theoretical models predict that higher inflation expectations generate greater current consumer spending at the zero lower bound of interest rates.Expand
Equilibrium nominal interest rates are useful indicators for both monetary policy authorities and market players. However, there are few studies which estimate Japan's equilibrium rate because of itsExpand
Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity
We use a regime-switching model to examine how exchange rate volatility is related to the failure of uncovered interest parity. Main findings are as follows. First, exchange rate returns are stronglyExpand
Monetary Policy and the Yield Curve at Zero Interest: The Macro-Finance Model of Interest Rates as Options
A macro-finance model combined with Black's (1995) model of interest rates as options is employed to investigate the relationship between the yield curve and monetary policy under Japan's zeroExpand
Inflation Dynamics and Labor Market Specifications: A Bayesian Dynamic Stochastic General Equilibrium Approach for Japan's Economy
Which labor market specification is better able to describe inflation dynamics, a widely used sticky wage model or a recently investigated labor market search model? Using a Bayesian likelihoodExpand
Inflation Dynamics and Labor Adjustments in Japan: A Bayesian DSGE Approach
Many studies of inflation dynamics assume that in the presence of competitive labor markets firms adjust labor input only at the intensive margin. We consider labor market search and examine the roleExpand
Monetary policy and the yield curve at zero interest
In contrast to affine term structure models, Black’s (1995) model of interest rates as options has properties suitable to examine the yield curve when the short-term interest rate is near zero. WeExpand
Changes in the Global Investor Base and the Stability of Portfolio Flows to Emerging Markets
An analysis of mutual-fund-level flow data into EM bond and equity markets confirms that different types of funds behave differently. Bond funds are more sensitive to global factors and engage moreExpand
Determinants of long-term yields: A panel data analysis of major countries
We utilize cross-country panel data to investigate the determinants of long-term bond yields. To address endogeneity, we use forward interest rates and various forecasts of economists andExpand