Financial and Capital Market's Responses to Changes in The Central Bank's Target Interest Rate : The Case of Japan  

Oleh:

Honda, Yuzo ; Kuroki, Yoshihiro

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 116 no. 513 (2006), page 812-842.
Topik: interest rate; financial; capital markets; central bank's target; interest rate; case of japan
Fulltext: 812.pdf (257.84KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: Double, EE28.22 Non-tandon: 2 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We propose new proxy variables for monetary policy shocks in Japan for the period from July 1989 to March 2001 and investigate the effects of changes in the policy target variable on stock prices and the term structure of interest rates. We find that changes in the surprise component of the target variable significantly affect both intermediate - term and long - term interest rates. A surprise decrease in the target rate of 1 % leads, on average, to a 3 % increase in stock prices. The magnitudes of estimated reactions of financial variables are similar in Japan and the US.

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