Monetary Policy Effectiveness under the Ultra‐Low Interest Rate Environment: Evidence from Yield Curve Dynamics in Japan
通过动态Nelson-Siegel模型分析日本超低利率环境下的收益率曲线，发现量化宽松主要通过拉平超长期（10年以上）收益率曲线产生效果，而短期效果不变，且货币政策在标准宏观稳定政策时间框架内未能产生足够宽松效应。
I examine the effectiveness of monetary policy under the ultra‐low interest rate environment in Japan through the lens of yield curve dynamics. To that end, I employ the dynamic Nelson–Siegel model with time‐varying parameters, thereby computing indicators for tracing monetary easing effects. I show that the estimation performance of the yield curve models is sufficiently improved even under the ultra‐low interest rate environment by extending the dynamic Nelson–Siegel model to allow a loading parameter to vary over time, in addition to three factors of yield curve dynamics: level, slope, and curvature. However, I also demonstrate that the identification of the level and loading parameters is critical in assessing monetary policy effects. I reveal that monetary easing effects under the Quantitative and Qualitative Monetary Easing (QQE) are produced by flattening the yield curve in the ultra‐long‐term maturity zone over 10 years, while monetary easing effects from maturities shorter than ten years remain almost unchanged. Monetary policy fails to produce sufficient monetary easing effects within the time frame of the standard macroeconomic stabilization policy, even with the full‐fledged implementation of unconventional monetary policy measures under the ultra‐low interest rate environment in Japan.