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Policy announcement and credit risk: zero interest rate policy and quantitative monetary easing policy

Author

Listed:
  • Kunihiro Hanabusa

    (Kansai University)

Abstract
This paper examines how changes in the Bank of Japan (BOJ)'s monetary policy stance affect credit risks during the non-traditional monetary policy period. We divide its policy period into the zero interest rates policy (ZIRP) and the quantitative monetary easing policy (QMEP) to compare each policy effect. First, we find that the introductions of both the ZIRP and the QMEP lower the 20-year credit risk. Moreover, the QMEP lowers the 10-year credit risk. Next, it is found that the credit risks increase after the termination of ZIRP but decrease after it of QMEP. The market response on the policy announcement of the termination of the easing monetary policy is different.

Suggested Citation

  • Kunihiro Hanabusa, 2018. "Policy announcement and credit risk: zero interest rate policy and quantitative monetary easing policy," Economics Bulletin, AccessEcon, vol. 38(1), pages 201-210.
    • Handle: RePEc:ebl:ecbull:eb-17-00759
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    References listed on IDEAS

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    Cited by:

    1. Guilmi, Corrado Di & Fujiwara, Yoshi, 2022. "Dual labor market, financial fragility, and deflation in an agent-based model of the Japanese macroeconomy," Journal of Economic Behavior & Organization, Elsevier, vol. 196(C), pages 346-371.

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    More about this item

    Keywords

    Credit risk; Event study; Non-traditional monetary policy;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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