巴德学院利维经济研究所-关于日元利率互换收益率的探讨（英）-2023.5-25页_1mb

Summary

Abstract
This paper econometrically models Japanese yen interest rate swap yields, examining the influence of short-term interest rates on long-term swaps after controlling for core inflation, industrial production growth, equity price changes, and exchange rate changes. It finds that short-term rates significantly affected swap yields in some periods (e.g., 2002–2014), but core inflation became dominant post-April 2014. Structural breaks during the 2007–2009 financial crisis and 2014 highlight limitations to Keynes's hypothesis on central bank policies and short-term rates dominating long-term rates, with policy implications for the Bank of Japan and market dynamics.

Introduction
The study addresses the importance of JPY interest rate swaps in global finance and the scarcity of empirical analyses. It tests whether Keynes's theory on central bank policies influencing long-term rates via short-term rates applies to JPY swaps, extending literature from USD and GBP markets. The research provides insights into monetary transmission mechanisms, inflation, and institutional contexts affecting swap yields.

Literature Review
Existing studies on interest rate swaps often lack focus on JPY or structural breaks. Keynes's conjecture that short-term rates influence long-term rates has empirical support in some cases but proves context-dependent. Recent work on USD and GBP swaps shows applicability to JPY swaps, motivating this study to explore the dynamics within Japan's institutional setting.

Methodology
The empirical analysis uses Bai-Perron break tests and econometric models with variables including short-term call rates, core inflation, industrial production growth, stock index changes, and exchange rates. Data spans from September 2002 to December 2022, with unit root tests confirming non-stationarity and stationary differences for modeling. The approach accounts for serial correlation and heteroskedasticity using robust standard errors.

Findings
Before April 2014, short-term interest rates significantly influenced all maturity swap yields, with core inflation playing a lesser role. Post-2014, the short-term rate's effect vanished, while core inflation became positive and significant. Structural breaks during global crises (2007–09) and 2014 underscore that Keynes's theory applies only under specific macroeconomic and institutional conditions, not universally.

Policy Implications
The Bank of Japan's unconventional monetary policies since early 2014 may limit its influence on long-term rates. Policy implications include evaluating the effectiveness of yield curve control and other measures. The findings suggest a shift to inflation-focused strategies for market rates, with broader relevance for policymakers and investors in understanding swap yield dynamics.

Conclusion
The study reveals that short-term interest rates were a key driver of JPY swap yields from 2002 to 2014 but lost significance thereafter, with core inflation taking over. This challenges Keynes's enduring conjecture, emphasizing contextual factors in finance and policy. The results enhance knowledge of monetary transmission and aid in assessing market efficiency and policy effectiveness in Japan and other economies.