Working Paper
Quantitative monetary easing and risk in financial asset markets
Small, David H.; Kimura, Takeshi (2004)
In this paper, we empirically examine the portfolio-rebalancing effects stemming from the policy of "quantitative monetary easing" recently undertaken by the Bank of Japan when the nominal short-term interest rate was virtually at zero. Portfolio-rebalancing effects resulting from the open market purchase of long-term government bonds under this policy have been statistically significant. Our results also show that the portfolio-rebalancing effects were beneficial in that they reduced risk premiums on assets with counter-cyclical returns, such as government and high-grade corporate bonds. ...
Finance and Economics Discussion Series , Paper 2004-57

Working Paper
Optimal monetary policy in a micro-founded model with parameter uncertainty
Kurozumi, Takushi; Kimura, Takeshi (2003)
In this paper, we structurally model uncertainty with a micro-founded model, and investigate its implications for optimal monetary policy. Uncertainty about deep parameters of the model implies that the central bank simultaneously faces both uncertainty about the structural dynamic equations and about the social loss function. Considering both uncertainties with cross-parameter restrictions based on the micro-foundations of the model, we use Bayesian methods to determine the optimal monetary policy that minimizes the expected loss. Our analysis shows how uncertainty can lead the central bank ...
Finance and Economics Discussion Series , Paper 2003-67