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Pré-publication, Document de travail Année : 2019

Potential Growth and Natural Yield Curve in Japan

Résumé

We estimate the yield curve gap in Japan and examine whether it has contributed to the sustained low growth and low inflation rates observed since the beginning 2000s. We use a semi-structural empirical model that generalizes Laubach and Williams’ approach, considering the entire range of maturities of the interest rates and dealing with the issue of mixed frequency sampling. We consider global factors exerting downward pressures on inflation and examine how the neutral yield curve has affected the snowball effect in the dynamics of the Japanese public debt ratio.
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Dates et versions

halshs-02091035, version 1 (05-04-2019)

Identifiants

  • HAL Id : halshs-02091035 , version 1

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Gilles Dufrénot, Meryem Rhouzlane, Etienne Vaccaro-Grange. Potential Growth and Natural Yield Curve in Japan. 2019. ⟨halshs-02091035⟩
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Dernière date de mise à jour le 26/06/2024
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