9 November 2017 | 9:18 am

Summary From 2016 September, “yield curve control ” has been introduced. In addition to the negative interest rate policy, which was announced in 2016 in January, but a framework to adjust long-term the interest rate to about 0%. After YCC introduction, changes in interest rates of less than 10 years compared with 10 years more than was smaller. From this fact, investor interest is that it would be moved from the following 10 years to 10 years more than I thought. In this paper, one hand was narrowed differences between maturities of magnitude and direction of changes in interest rates in the following 10 years, based on the expected whether interest change in 10 years than is not more of complex changes, interest rates before and after the YCC introduced It was analyzed whether there was a difference in the variation pattern. Yield curve and the linkage of the interest rate that changes complex The yield curve, is an important indicator to know the state of the bond market, constituted by the interest rate of each maturity. Shape of the yield curve, long-term interest rate than short-term interest rate is high, a basic become a steadily increasing as shown in Figure 1, varies depending on market conditions. With the introduction of negative interest rate policy of the 2016 January from ) with the overall level of the yield curve is reduced significantly, the yield spread has become smaller. Further, after the YCC introduced, short-term interest rates while maintaining a negative level ) significantly increased as long interest rates, resulting in yield spread became larger. Thus, changes in interest rates and yield spread, the shape of the yield curve varies complicatedly. Change maturities are close rates tend to similar in their size and direction. This trend, hypothesis explaining the shape of the yield curve – pure expectations hypothesis and market disruption hypothesis – easy to understand the use of the. In the pure expectations hypothesis, because the investor prediction for the future of short-term interest rates have been woven into the shape of the yield curve, when the rise of the future of short-term interest rates is expected, the yield curve is soaring. In addition, the market disruption hypothesis, since it has the investment period for preference each investors, market participants are different for each maturity, the interest rate is determined by the supply and demand of each term. Even if the prediction of the investors, even if the investment period investors to selection, rather than a pinpoint, such as, for example, 6 years, and so, such as short-term and medium-term…, Is better to capture with a constant width it is common. Therefore, the interest rate to fall within the term division in the mind of investors, the size and direction of the change is considered to be a movement, such as similar. In the following, between the interest rate that changes in interest rates are similar classified in the “linkage of height”, continue to classification. After YCC introduction, I wonder if there is change in the linkage of interest rates After YCC introduction of the 2016 September, interest rate fluctuations of less than 10 years compared with 10 years more than was smaller. As long as it is also continued YCC in the future, the interest rate of less than 10 years is fixed generally between from ▲ 0.1% of 0%. If, fading interest of investors to interest rates of less than 10 years, it can be assumed that interest in more than 10 years has increased relatively. In that case, would not the other hand, to expand the width of less than 10 years of division variation pattern of more than 10 years growing interest to reduce the width of the due to the complexity of classification. In this paper, we consider the impact of negative interest rates introduction, over the most recent from minus interest rates before the introduction, to see whether a change in the linkage between the maturity has occurred. ◆ analysis methods In this paper, using a clustering analysis is a technique of grouping has high similarity , classified according to the linkage height. Specifically, separated from the negative rate introduced 1 year ago 3 periods following the to the nearest, performing comparison analyzes for each period. minus interest rates before the introduction ) minus the interest rate after the introduction YCC introduced before YCC after the introduction The use data, using NOMURA-BPI maturity by Monthly change the width of the average compound interest of the index. However, the monthly change width divided by the standard deviation of each period . This is the time rate change immediately after the introduction negative interest rates was intense very large variation in the change width than other times, it is hard for the classification results directly compared. This time is evaluated in two axes of the interlocking of the classification results and all maturities. The former, shows the linkage of high maturity classification, interest rate maturities that are within the same segment, to change with the unity of the degree there. The latter represents the total maturities generally varies in the same direction the strength of the trend. ———– In discussion, taking into account the results of the average linkage and Ward method between groups, the same tendency was seen. The context of the notation is based on Ward method. Ward method, technique going hierarchically coupled combination of maturity, such as the distance between points in the group is minimized. Average linkage between groups, methods continue to hierarchically coupled such that the average distance between all the points included in the group is minimized. This time, the distance of maturity to each other serves as a reference. 29 – 30 years, excluding the 2015 1-February because of the defect. , however, 30 – 32-year government bonds are excluded because there is a deficit. was not normalized, the nature of the clustering analysis, for subtracting the average value does not affect the results, this was omitted. ———– ◆ Result Shows the classification results of each period in Chart 2 . As far below 10 years, subdivided into machine YCC introduced was different result expected. However, when comparing the period C and period A, including super long, it can be said that there is no great difference as a whole. Furthermore, linkage of all maturities is the period A · period C together low, it was found that high only during a period B . A change occurs in the linkage of all maturities is the result that was not expected. Classification result, linkage of all maturities, interest rate changes in the period B from both the point of view was special, those who think that there is or would not be natural. ———– In the classification, it was to the point where information loss due to coupling is the whole of less than 10%. ———– I wonder if there was affected by YCC So, I wonder YCC introduced and allowed to normalize the special circumstances. Unfortunately, only the above results, it can not determine the seemingly due to YCC. It is a result of the special situation after the introduction of negative interest rate has settled down with the passage of time, it’s because it is possible to capture even. Then, to verify the effect of the policy. The method, immediately before and after the introduction minus interest, immediately before and after YCC introducing performs each analysis target 1 month. Differs from the previous, a point with a daily variation, the basic approach is the same. minus interest rates prior to the introduction of one month one month after introducing negative interest rates YCC prior to the introduction of one month 1 month after the YCC introduction The results, please refer to Exhibit 4 and 5. When attention is paid to the following 10 years, but is divided into immediately after the introduction of negative interest rates was expanded, then, it can be seen is how to shrink with each passing time. Regarding the linkage of all maturities, whereas higher after introducing negative rates, it can be seen that not greatly changed before and after the YCC introduced. From this result, it would not be reasonable to the impact of the policy is not so large. From the above, although negative rates introduced was considerable impact, YCC itself was confirmed that was not significantly affect the size and direction of the difference in interest rates change. Contrary to expectations, was thought to Nari I should be how to interpret the results that did not change the interest rate pattern. In order to control the yield curve, the Bank of Japan had decided to purchase amount for each term in the form of response to a change in interest rates. While changes in interest rates in the order less than 10 years had been held down small, it comes to have changed slightly. To change was small, or would not than was just overlooked the interest rate fluctuation pattern. It should be noted that, at this time of the analysis, or assumption of investors have been woven into the interest rate change, and, whether the Bank of Japan had given how much influence on the interest rate change can not be determined. In the future, we want to working on more detailed factor analysis of changes in interest rates. Yuri Mizuno Nasu NLI Research Institute Financial Research Department researcher [Than Articles NLI Research Institute] · YCC 20-year government bond interest rates after the introduction – either woven Where can I find information about the exit of the monetary policy – Looking back at the impact of the 10-year government bond interest rate of monetary policy – the measurement of the downward pressure of interest rates by the Monetary Policy – 1 from the introduction year, evaluation – financial markets of the movement of the yield curve control – immobility of the Bank of Japan, the following points of interest? ~ Financial markets of movement – Bank of Japan or ETF budget “purchase increase” of digestion is

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