［37］．Fama, Eugene F., and Robert R. Bliss. 1987. “The Information in Long-Maturity Forward Rates.” American Economic Review77 （4）：680–692.［38］．Froot, Kenneth A. 1989. “New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates.” Journal of Finance44 （2）：283–305.［39］．Fukunaga, Ichiro, Naoya Kato, and Junko Koeda. 2015. “Maturity Structure and Supply Factors in Japanese Government Bond Markets.” Monetary and Economic Studies, 33, Institute for Monetary and Economic Studies, Bank of Japan：45–95.［40］．Greenwood, Robin, and Dimitri Vayanos. 2010. “Price Pressure in the Government Bond Market.” American Economic Review100 （2）：585–590.［41］．Greenwood, Robin, and Dimitri Vayanos. 2014. “Bond Supply and Excess Bond Returns.” Review of Financial Studies27 （3）：663–713.［42］．Gürkaynak, Refet S, and Jonathan H. Wright. 2012. “Macroeconomics and the Term Structure.” Journal of Economic Literature50 （2）：331–367.［43］．Greenwood, Robin, and Dimitri Vayanos. 2010. “Price Pressure in the Government Bond Market.” American Economic Review100 （2）：585–590.［44］．Hamilton, James D., and Wu, Jing Cynthia. 2012. “The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment.” Journal of Money, Credit and Banking44 （s1）：3–46.［45］．Hattori, Takahiro. 2017. “The Predictive Power of the Implied Volatility of Interest Rates：Evidence from USD, EUR, and JPY Swaption.” The Journal of Fixed Income27 （1）：67–76.［46］．Hattori, Takahiro. 2019a. “The impact of quantitative and qualitative easing with yield curve control on the term structure of interest rates：Evidence from micro-level data.” Working Paper.［47］．Hattori, Takahiro. 2019b. “Do Liquidity Enhancement Auctions improve the Market Liquidity in the JGB market?” Economics Letters, forthcoming.［48］．Hattori, Takahiro. 2019c. “J-Liquidity Measure：The Term Structure of the Liquidity Premium in Japan.” Japan and the World Economy49：61–72.［49］．Hattori, Takahiro, and Jiro Yoshida. 2019. “Return of the Bond-Price Support Regime：Bank of Japan’s Dual Bond-Purchase Program.” Working Paper.［50］．Hayashi, Fumio. 2001. “Identifying a Liquidity Effect in the Japanese Interbank Market.” International Economic Review42 （2）：287–316.［51］．Hayashi, Fumio. 2018. “Computing equilibrium bond prices in the Vayanos-Vila model.” Research in Economics72 （2）：181–195.［52］．Jermann, Urban. 2019. “Negative Swap Spreads and Limited Arbitrage.” Review of Financial Studies, forthcoming.［53］．Kim, Don H., and Jonathan H. Wright. 2005. “An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates.” Board of Governors of the Federal Reserve System Finance and Economics Discussion Paper 2005-33.［54］．Krishnamurthy, Arvind, and Annette Vissing-Jorgensen. 2012. “The Aggregate Demand for Treasury Debt.” Journal of Political Economy120 （2）：233-267［55］．Langetieg, Terence C. 1980. “A Multivariate Model of the Term Structure.” Journal of Finance35 （1）：71–97.［56］．Longstaff, Francis A. 2000. “The Term Structure of Very Short-Term Rates：New Evidence for the Expectations Hypothesis.” Journal of Financial Economics58 （3）：397–415.［57］．Lutz, Friedrich A. 1940. “The Structure of Interest Rates.” The Quarterly Journal of Economics55 （1）, 36–63.［58］．Modigliani, Franco, and Richard Sutch. 1966. “Innovations in Interest Rate Policy.” American Economic Review56 （2）：178–197.［59］．Modigliani, Franco, and Richard Sutch. 1967. “Debt Management and the Term Structure of Interest Rates：An Empirical Analysis of Recent Experience.” Journal of Political Economy 75（4）：569–589.［60］．Oda, Nobuyuki, and Kazuo Ueda. 2007. “The Effects of the Bank of Japan’s Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve：A Macro-Finance Approach.” Japanese Economic Review58 （3）：303–328.［61］．Rudebusch, Glenn D. 1995. “Federal Reserve Interest Rate Targeting, Rational Expectations, and the Term Structure.” Journal of Monetary Economics35 （2）：245–274.［62］．Rudebusch, Glenn D., Brian P. Sack, and Eric T. Swanson. 2007. “Macroeconomic Implications of Changes in the Term Premium.” Federal Reserve Bank of St.Louis Review 89 （4）：241–269.［63］．Schlepper, Kathi, Heiko Hofer, Ryan Riordan, and Andreas Schrimpf. 2019. “The Market Microstructure of Central Bank Bond Purchases.” Journal of Financial and Quantitative Analysis, forthcoming.［64］．Smith, Josephine M., and John B. Taylor. 2009. “The Term Structure of Policy Rules.” Journal of Monetary Economics56 （7）：907–917.［65］．Svensson, Lars. 1995. “Estimating Forward Interest Rates with the Extended Nelson and Siegel Method.” Sveriges Riksbank Quarterly Review3 （1）：13–26.［66］．Uesugi, Iichiro. 2002. “Measuring the Liquidity Effect：The Case of Japan.” Journal of the Japanese and International Economies16 （3）：289–316.［67］．Vayanos, Dimitri, and Jean-Luc Vila. 2009. “A Preferred-Habitat Model of the Term Structure of Interest Rates.” London School of Economics Paul Woolley Centre Working Paper 6. ファイナンス 2019 Oct.53シリーズ 日本経済を考える 93連載日本経済を 考える
元のページ ../index.html#57