Copyright © 2019 The Authors. We propose an empirical framework for analyzing the macroeconomic effects of quantitative easing (QE) and apply it to Japan. The framework is a regime-switching structural vector autoregression in which the monetary policy regime, chosen by the central bank responding to economic conditions, is endogenous and observable. QE is modeled as one of the regimes. The model incorporates an exit condition for terminating QE. We find that higher reserves at the effective lower bound raise inflation and output, and that terminating QE may be contractionary or expansionary, depending on the state of the economy at the point of exit.

© 2019 The Author We estimate a structural vector autoregressive model with an effective lower bound of nominal interest rates (ELB) using Japanese macroeconomic and financial data from the mid-1990s to the end of 2016. The estimated results show that the Bank of Japan's quantitative and qualitative easing (QQE) policy increased output via “pure” quantitative easing when the first-year's QQE level effect was controlled, complemented by qualitative easing. Our nonlinear counter-factual analyses show that raising the ELB or lowering an inflation threshold in forward guidance is not necessarily contractionary.

© 2016 Japanese Economic Association We estimate a discrete-time version of the Vayanos and Vila (2009) preferred-habitat model, using Japanese government bond yield data. The estimated results indicate that bond excess returns become more sensitive to bond supply in the absence of a zero lower bound constraint unless arbitrageurs become willing to take on more risk.

© 2015, © 2015 Taylor & Francis. This article examines the roles of uncertainties regarding various macro-variables in determining risk premiums of bond yields. We develop a multivariate GARCH-VAR to quantify uncertainties regarding inflation, real activities and monetary policy as time-varying conditional variances. We jointly estimate the multivariate GARCH and no-arbitrage bond pricing equations using a maximum likelihood method. The results indicate that the inflation uncertainty is the largest contributor to the dynamics of long-term yields since the 1980s, while the monetary policy uncertainty also plays noticeable roles.

I construct a no-arbitrage term structure model with endogenous regime shifts and apply it to Japanese government bond (JGB) yields. This model subjects the short-term interest rate to monetary regime shifts, specifically a zero interest rate policy (ZIRP) and normal regimes, which depend on macroeconomic variables. The estimates show that under the ZIRP regime, the effect of deflation (inflation) on lowering (raising) bond yields amplifies on the long end of yield curves, compared with a case with positive interest rates under the normal regime. On the other hand, output gaps' ability to raise bond yields weakens for all maturities. © 2013 Elsevier Inc.

近年、マクロ環境やゼロ金利制約等を組み込んだマクロ実証・金利モデルを構築し推計してきた。主な研究課題（非伝統的金融緩和とその出口政策のマクロ経済効果）については、既に前年度までに当初の計画以上の成果物を出すことができたので、令和１年度は、残りの研究課題について研究を進めた。特に国債市場における国債管理政策に関する研究を進めた。令和１年度の主な実績は、①長年取り組んでいるマクロファイナンスモデルを国債管理政策の枠組みで分析したこと（「マクロ環境と国債管理リスク～コロナショックとリーマンショック時の比較」、単著、2020年夏公表予定）、②長引く低金利環境について理解を深めるため、標準的なイールドカーブモデルにおける仮定を緩めて分析したこと(The Nelson-Siegel Decay Factor in a Low Interest Rate Environment、https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3538961、共著）である。①では、コロナショックとリーマンショック時におけるタームプレミアム等（国債管理政策の長期コスト）の反応もみながら、補正予算に伴う国債の追加発行の年限構成の妥当性について考察した。②では、ネルソン＝シーゲルモデルのdecay factorの減少がイールドカーブを押し下げるメカニズムを明らかにした。①や②の他に、当初の研究計画には含まれていなかったマクロファイナンスモデルの拡張を進めることができた。また、研究報告も学会や様々なセミナー・ワークショップで行うことができた。

I conducted three research projects. First, my coauthor and I estimated the macro effect of unconventional monetary policy in Japan using a structural vector autoregression model with an effective lower bound (ELB) and forward guidance. We find that quantitative easing increases inflation and output. Our nonlinear impulse responses show that a liftoff can be expansionary depending on macroeconomic conditions.
Second, I estimated a term structure model with preferred habitat and an ELB. The estimated results indicate that bond excess returns become more sensitive to changes in arbitrageurs' bond demand in the absence of a ELB constraint unless they become willing to take on more risk.
Third, my coauthor and I estimated a sovereign default model using a simulated maximum likelihood method. Despite its focus on idiosyncratic risk, the estimated model accounts for the overall default patterns of Argentina.