The natural yield curve: its concept and measurement
| Autor: | Kei Imakubo, Haruki Kojima, Jouchi Nakajima |
|---|---|
| Rok vydání: | 2015 |
| Předmět: |
Statistics and Probability
Macroeconomics Natural yield curve Yield curve gap Natural rate of interest Interest rate gap Term structure Economics and Econometrics 05 social sciences Monetary policy jel:E43 Bootstrapping (finance) jel:C32 jel:E52 jel:E58 Maturity (finance) Measure (mathematics) Mathematics (miscellaneous) Output gap Benchmark (surveying) Quantitative easing 0502 economics and business Econometrics Economics Yield curve 050207 economics Social Sciences (miscellaneous) 050205 econometrics |
| Popis: | This paper illustrates the concept of the natural yield curve and how to measure it. The natural yield curve extends the idea of the natural rate of interest defined at a single maturity to one defined for all maturities. If the actual real yield curve matches the natural yield curve, the output gap will converge to zero. An empirical analysis using data for Japan shows that past monetary easing programs expanded the gap between the actual real yield curve and the natural yield curve mainly for short and medium maturities and led to accommodative financial conditions. By contrast, the quantitative and qualitative monetary easing policy has expanded the gap for long maturities as well as short and medium maturities. The natural yield curve is expected to provide a useful benchmark in the conduct of both conventional monetary policy and unconventional monetary policy aiming to influence the entire yield curve. |
| Databáze: | OpenAIRE |
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