@article{1a6bd7f5300246a9a34bdf366d841e97,
title = "Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan",
abstract = "We estimate a discrete-time version of the Vayanos and Vila (2009) preferred-habitat model, using Japanese government bond yield data. The estimated results indicate that bond excess returns become more sensitive to bond supply in the absence of a zero lower bound constraint unless arbitrageurs become willing to take on more risk.",
author = "Junko Koeda",
note = "Funding Information: Thank you to the anonymous referee for constructive and helpful suggestions. I am grateful for the research opportunity at the Institute for Monetary and Economic Studies at the Bank of Japan, and to Ichiro Fukunaga, Takashi Kano, Naoya Kato, Nobuyuki Oda and participants of the 2015 Japan Economic Association Autumn Meeting and the Center for Positive Political Economy's macroeconomics-finance workshop at Waseda University for helpful comments. This research was supported by grants-in-aid from the Ministry of Education, Culture, Sports, Science, and Technology of the Japanese government (grant number 26870124). Funding Information: Thank you to the anonymous referee for constructive and helpful suggestions. I am grateful for the research opportunity at the Institute for Monetary and Economic Studies at the Bank of Japan, and to Ichiro Fukunaga, Takashi Kano, Naoya Kato, Nobuyuki Oda and participants of the 2015 Japan Economic Association Autumn Meeting and the Center for Positive Political Economy{\textquoteright}s macroeconomics-finance workshop at Waseda University for helpful comments. This research was supported by grants-in-aid from the Ministry of Education, Culture, Sports, Science, and Technology of the Japanese government (grant number 26870124). Publisher Copyright: {\textcopyright} 2016 Japanese Economic Association",
year = "2017",
month = dec,
doi = "10.1111/jere.12117",
language = "English",
volume = "68",
pages = "443--457",
journal = "Japanese Economic Review",
issn = "1352-4739",
publisher = "Wiley-Blackwell",
number = "4",
}