On the effect of Bank of Japan's outright purchase on the JGB yield curve

DOI10.1007/S10690-018-9238-5zbMath1418.91557OpenAlexW2784626391MaRDI QIDQ1627831

Soichiro Takahashi, Masafumi Nakano, Akihiko Takahashi, Takami Tokioka

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2017/2017cf1062.pdf

zbMATH Keywords

Kalman filterstate space modelyield curvescenario analysisBank of JapanQQE

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• The impact of quantitative easing on the US term structure of interest rates
• Prediction of individual bond prices via a dynamic bond pricing model: application to Japanese Government bond price data
• Stochastic calculus for finance. II: Continuous-time models.
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• A Monte Carlo filtering approach for estimating the term structure of interest rates

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