Assessing Abenomics: Evidence from Inflation-Indexed Japanese Government Bonds

评估安倍经济学:来自通货膨胀指数的日本政府债券的证据

2019/05/10 06:54
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对照中文英文原文
我们使用名义和实际收益率的无套利期限结构模型评估与“安倍经济学”相关的改革新闻的影响。

Abstract

摘要

We assess the impact of news concerning the reforms associated with “Abenomics” using an arbitrage-free term structure model of nominal and real yields. Our model explicitly accounts for the deflation protection enhancement embedded in Japanese inflation-indexed bonds issued since 2013, which pay their original nominal principal when deflation has occurred from issue to maturity. The value of this enhancement is sizable and time-varying, with substantive impacts on estimates of expected inflation compensation. After properly accounting for deflation protection, our results suggest that Japanese inflation risk premia were mostly negative during this period. Moreover, long-term inflation expectations remained positive throughout, despite extensive spells of realized deflation. Finally, initial market responses to policy changes associated with Abenomics and afterwards were not as inflationary as they appear under standard modeling procedures, implying that the program was less “disappointing” than many perceive.

我们使用名义和实际收益率的无套利期限结构模型评估与“安倍经济学”相关的改革新闻的影响。我们的模型明确说明自2013年以来发行的日本通胀指数债券中的通货紧缩保护增强,当通货紧缩从发行到成熟时支付其原始名义本金。这种增强的价值是相当大且时变的,对预期通货膨胀补偿的估计具有实质性影响。在适当考虑通缩保护后,我们的结果表明日本通胀风险溢价在此期间大多为负面。此外,尽管存在大量已实现的通货紧缩,但长期通胀预期始终保持正值。最后,与安倍经济学及其后相关的政策变化的初始市场反应并不像标准建模程序中出现的那样具有通货膨胀性,这意味着该计划不像许多人认为的那样“令人失望”。

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