To what extent did the Bank of Japan’s liquidity facilities for corporate …nancing reduce commercial paper (CP) issue-rates in Japan? To answer this question, we propose a simple structural model that illustrates the market for the CP operations and their e¤ects on the CP primary market. Based on the structural model, we measure the e¤ects of the CP operations as di¤erences between the actual rates in the primary market and the counterfactual rates without the operations, and decompose the e¤ects into three factors. We apply our model to identifying e¤ects of CP operations from October 2008 to May 2009, including the period after the Bank of Japan introduced the outright purchase of CP and its special funds-supplying operation accepting CPs as collateral in addition to the CP repo operation. Our results suggest that the CP repo operation and the outright purchase of CP had remarkable e¤ects initially, however, later their e¤ects were subdued, and that e¤ects of the special funds-supplying operation were substantial and persistent from January to April 2009. Keywords: JEL classi…cation
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