Monetary policy and the yield curve at zero interest

Hibiki Ichiue, Yoichi Ueno

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)


In contrast to affine term structure models, Black's (1995) model of interest rates as options has properties suitable to examine the yield curve when the short-term interest rate is near zero. We estimate a Black's model with Japan's data to extract market expectations about duration of zero interest. We find that expectations about duration have substantially varied, which contradicts with the assumption utilized in the literature. We also find a tight link between expectations about duration and survey measures of inflation expectations, which appears to be attributable to the Bank of Japan's commitment conditional on inflation.

Original languageEnglish
Pages (from-to)1-12
Number of pages12
JournalJournal of The Japanese and International Economies
Publication statusPublished - 2015 Dec 1
Externally publishedYes


  • First hitting time
  • Japan
  • Quantitative easing
  • Shadow rate
  • Zero lower bound

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics
  • Political Science and International Relations


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