Do Fixed-Rate Purchase Operations by the Bank of Japan Control the Yield Curve? Evidence from High-Frequency Data

Abstract

This is the first study known to analyze fixed-rate purchase operations by the Bank of Japan (BOJ), as conducted under the policy of Quantitative and Qualitative Easing (QQE) with Yield Curve Control (YCC). On February 3, 2017, the BOJ conducted the first unlimited purchase of 10-year Japanese government bonds (JGB). We interpret this new operation as an attempt to convert the nonstationary process into a stationary process, and using intraday data empirically show that the BOJ successfully stabilized the JGB yield as a result.