CIRJE-F-374 | "The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market" |
Author Name | Baba, Naohiko, Motoharu Nakashima, Yousuke Shigemi and Kazuo Ueda |
Date | September 2005 |
Full Paper | PDF file@ |
Remarks | Subsequently published in International Journal of Central Banking, March 2006, Vol.2, No. 1, 105-136. |
Abstract |
Using the interest rates on Negotiable Certificate of Deposit issued by individual
banks, we first show that under the Bank of Japan's Zero Interest Rate Policy and
Quantitative Monetary Easing Policy, not just the levels of money market rates
but also the dispersion of rates across banks have fallen to near zero. We next
show that the fall in the dispersion of the rates is not fully explained by a fall in
the dispersion of credit ratings of the banks. We also present some evidence on the
role of the Bank of Japan's monetary policy in reducing risk premiums. |