The effects of Bank of Japan's liquidity provision on the year-end premium

Yasuo Hirose; Shinsuke Ohyama; Ken Taniguchi

doi:10.1016/j.jjie.2011.09.007

The effects of Bank of Japan's liquidity provision on the year-end premium

Yasuo Hirose, Shinsuke Ohyama, Ken Taniguchi

Faculty of Economics

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

The premium on interbank money market rates arises over year-end periods as a result of the Japanese business practice of periodic settlement. This paper examines to what extent the Bank of Japan's liquidity provision reduced the year-end premium in Japan. We find that the funds-supplying operations over the year-end and the fiscal year-end of 2008 had the largest effects during the period from 2006 to 2008, reflecting the fact that the Bank of Japan significantly expanded liquidity provision in response to the decrease in market liquidity under the financial turmoil.

Original language	English
Pages (from-to)	179-185
Number of pages	7
Journal	Journal of The Japanese and International Economies
Volume	26
Issue number	1
DOIs	https://doi.org/10.1016/j.jjie.2011.09.007
Publication status	Published - 2012 Mar

Keywords

Monetary policy
Money market operation
Year-end

ASJC Scopus subject areas

Finance
Economics and Econometrics
Political Science and International Relations

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10.1016/j.jjie.2011.09.007

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abstract = "The premium on interbank money market rates arises over year-end periods as a result of the Japanese business practice of periodic settlement. This paper examines to what extent the Bank of Japan's liquidity provision reduced the year-end premium in Japan. We find that the funds-supplying operations over the year-end and the fiscal year-end of 2008 had the largest effects during the period from 2006 to 2008, reflecting the fact that the Bank of Japan significantly expanded liquidity provision in response to the decrease in market liquidity under the financial turmoil.",

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The effects of Bank of Japan's liquidity provision on the year-end premium

Abstract

Keywords

ASJC Scopus subject areas

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