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証券経済研究 第71号（2010年9月）
Effects of Monetary and Fiscal Policy on the Yield Curve: Evidence from the U.S. and U.K.
Tokihito Sudo
〔要 旨〕
Monetary authorities in the U.S. and U.K. commenced special program purchases of longer-term government bonds in March 2009. One of the purposes of the programs was to influence the prices of assets acquired, that is, to lower middle- and long-term interest rates. The U.K. program played a role in that direction, but the U.S. program appears to have failed to attain its objective.
Can the central bank depress middle- and long-term interest rates by acquiring middle- and long-term government bonds, while issues of the corresponding bond increase? Using a New-Keynesian model, this study examines the relationship between monetary policy and the yield curve, considering the influence of government bond issues on the yield as well. As per the simulation results, whether the central bank can influence the middle point and/or the long end of the yield curve by purchasing the corresponding bonds would depend on the balance between the bonds acquired by the central bank and those issued by the government or the increase in the outstandings of bonds with corresponding terms to maturity.
The ratios of government bond purchases by the monetary authority to both bond issues and average outstandings are much higher in the U.K. than in the U.S. This confirms the empirical results of this study.
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