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博士論文 / Transmission Channels and Welfare Implications of the Quantitative and Qualitative Monetary Easing Policy in Japan

著者

書誌事項

タイトル

Transmission Channels and Welfare Implications of the Quantitative and Qualitative Monetary Easing Policy in Japan

著者名

鵜飼博史

学位授与大学

埼玉大学 (大学ID:0019) (CAT機関ID:KI00020X)

取得学位

博士(経済学)

学位授与番号

甲第1号

学位授与年月日

2017-03-22

注記・抄録

This paper comprehensively integrates the recently developed theoretical frameworks of unconventional monetary easing policies since Ugai (2007), based on the Bank of Japan’s (BOJ) Quantitative and Qualitative Monetary Easing Policy (QQE) (2013-2015) and the Comprehensive Monetary Easing Policy (CE) and subsequent monetary easing policies (2010-2012), and examines the effects of the BOJ’s QQE by transmission channels compared to the CE and subsequent policies through an event study using financial market data. Furthermore, this is the first paper to examine the side effect of the BOJ’s huge Japanese Government Bonds (JGB) purchases on the shortage of safe assets in the markets and their implications for economic welfare. Since the negative interest rate policy (NIRP) and the yield curve control (YCC) include the traditional interest rate channel, this paper does not assess the QQE with NIRP (2016) and the QQE with YCC (2016-present). First, this paper discusses and examines five theoretical channels of the unconventional monetary easing policy, namely, the signaling channel, credit easing channel, portfolio balance channel, safety channel, and inflation channel. Among them, the effect of the signaling channel to affect the public’s and markets’ expectations for the future path of interest rates is theoretically clear and is widely used in central banks of developed countries. An irrelevance proposition denies the effects of the credit channel, portfolio channel, and safety channel, but recent theories tolerate the existence of these effects by assuming a binding constraint for participating in the markets due to a decline in investors’ ability to take risks or to heightened risks of financial assets, a coexistence of investors with preferences for specific maturities and risk-averse arbitragers, or valuing safe assets for facilitating financial transactions. Therefore, their effectiveness is subject to empirical analysis. Furthermore, in Japan the direct inflation expectation channel had not been discussed in the past when the BOJ conducted a quantitative easing policy, but the QQE explicitly aims at raising inflation through this channel. Next, according to the event study, for the QQE under normal market conditions, the depreciation of the yen, not the decrease in yields of JGBs and corporate bonds, possibly through the portfolio balance channel functions quite strongly, while for the CE in dysfunctional market conditions, the commitment and credit easing function strongly. Signaling channel does not function for the QQE. The direct inflation expectation channel is weak for both the QQE and CE, although the QQE has adopted various ways to exert a direct and strong influence on inflation expectations. The gradual increase in inflation expectations came mainly from other channels, such as the depreciation of the yen. In other words, the QQE cannot significantly decrease real interest rates directly, but decrease them through the indirect effect of the yen’s depreciation on inflation expectations. The overall effects are not strong enough to raise the CPI inflation to the 2 percent target level within the committed period. The most crucial characteristic of the QQE is its maximization of the potential effects of an easing policy by explicitly doubling and later tripling the purchased amount of long-term JGBs and the monetary base proportionally. However, the JGB purchases by the BOJ surpass the issued JGBs, thereby reducing the outstanding JGBs in the markets. Theoretically, a shortage of safe assets would increase the convenience yield, which would reduce economic welfare, and would not permeate the yields of other risky assets, thereby not stimulating the economy. Therefore, this paper examines the impact of a reduction in long-term JGBs on yield spreads between corporate bonds and JGBs based on a money-in-utility-type model and an additional finance approach. The results indicate that a severe scarcity of JGBs as safe assets has been avoided because Japan’s outstanding public debt is the largest in the world. Nonetheless, a convenience yield has been priced in since the introduction of the QQE, and the event study shows no clear evidence that a decline in the yield of long-maturity JGBs induced by the QQE permeates the yields of corporate bonds. Aside from other channels, while no change in the yields of corporate bonds suggests no welfare gains for these large purchases of JGBs from the perspective of safety channels, the existence of the convenience yield itself reduces economic welfare despite not being large so far. Since the global financial crisis (GFC) in 2008, the demand for JGBs as collateral has increased from investors and from financial institutions that have to uphold strengthened global liquidity regulations. In addition, since the introduction of the QQE, market expectations for future planned JGB purchases by the BOJ and a partial shortage of safe assets due to market imperfection may also work. The scarcity of safe assets should be examined with due consideration of these recent changes and their welfare implications when the BOJ designs the future path of JGB purchases.

List of Tables and Figures ................................ ................................ ........................... ivIntroduction ................................ ................................ ................................ ................... 11. Theoretical Transmission Channels of Unconventional Monetary Easing Policies ................................ ................................ ................................ ................................ ........... 7A) Signaling channel ................................................................................................. 8B) Credit easing (targeted asset purchase) channel ............................................. 10C) Portfolio balance channel .................................................................................. 12D) Safety channel ..................................................................................................... 15E) Inflation expectation channel ............................................................................ 17F) Summary ............................................................................................................. 192. Empirical Results by Transmission Channels from the QQE and CE ............... 21A) Signaling channel ............................................................................................... 23B) Credit easing (targeted asset purchase) channel ............................................. 26C) Portfolio balance channel .................................................................................. 28D) Safety channel ..................................................................................................... 36E) Inflation expectation channel ............................................................................ 37F) Summary of the event study .............................................................................. 413. Safety Channel - Theoretical Model and Empirical Results ............................... 44A) Theoretical model ............................................................................................... 44B) Impact of a squeeze in the demand-supply conditions of government bonds (linear) ....................................................................................................................... 51C) Threshold of the convenience yield (nonlinear) ............................................... 54D) Discussion ............................................................................................................ 56Conclusion .................................................................................................................... 64Technical Appendix ..................................................................................................... 69Acknowledgments ........................................................................................................ 75References ................................ ................................ ................................ ..................... 76Tables and Figures ...................................................................................................... 82

指導教員 : 伊藤修

博士の専攻分野の名称 : 博士(経済学)学位授与年月日 : 平成29年3月22日

キーワード

quantitative easing, credit easing, inflation expectation, safe asset

各種コード

NII論文ID(NAID)

500001052202

NII著者ID(NRID)
  • 8000001169718
本文言語コード

eng

データ提供元

機関リポジトリ, NDLデジタルコレクション

外部リンク

博士論文 / 埼玉大学 / 経済学

博士論文 / 埼玉大学

博士論文 / 経済学

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