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The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market

By Naohiko Baba, Motoharu Nakashima, Yousuke Shigemi and Kazuo Ueda


Using the interest rates on Negotiable Certificate of Deposit issued by individual banks, we first show that under the Bank of Japan's Zero Interest Rate Policy and Quantitative Monetary Easing Policy, not just the levels of money market rates but also the dispersion of rates across banks have fallen to near zero. We next show that the fall in the dispersion of the rates is not fully explained by a fall in the dispersion of credit ratings of the banks. We also present some evidence on the role of the Bank of Japan's monetary policy in reducing risk premiums.International Journal of central Banking. 掲載予定

Topics: Monetary policy, Zero Interest Rate Policy, Quantitative Monetary Easing Policy, Negotiable Certificate of Deposit, Credit Risk Premium, JEL Classification Numbers: E43, E52, 330
Publisher: University of Tokyo
Year: 2005
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Provided by: UT Repository
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