收益率控制货币政策的影响:向金融机构撒钱

IF 0.9 Q3 BUSINESS, FINANCE

Quarterly Journal of Finance Pub Date : 2020-03-03 DOI:10.1142/s2010139220500044

R. Jarrow, Sujan Lamichhane

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引用次数: 0

摘要

2016年9月21日，日本央行(BOJ)启动了一项新的非常规货币政策，称为收益率曲线控制(YCC)。我们表明，YCC在金融机构可以利用的无摩擦和无套利的政府债券市场中创造了套利机会。这种套利造成了财富从日本央行向这些金融机构的转移。我们估计，前28个月的财富转移下限为52.5亿美元或5823.2亿日元，这构成了一个尚未探索的政策外部性。这相当于在此套利策略中使用的名义年收益率为7.49%。

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The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions

On 21st September, 2016, the Bank of Japan (BOJ) embarked on a new unconventional monetary policy called yield curve control (YCC). We show that YCC creates an arbitrage opportunity in an otherwise frictionless and arbitrage-free government bond market which financial institutions can exploit. This arbitrage creates a wealth transfer from the BOJ to these financial institutions. We estimate the lower bound on this wealth transfer for the first 28 months to be $5.25 billion or ¥582.32 billion, which constitutes an unexplored policy externality. This corresponds to 7.49% per annum on the notional employed in this arbitrage strategy.

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来源期刊

Quarterly Journal of Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.