Narrow Your Choices

Refine By Countries

Refine By Topic

Refine By Series

Refine By Language

Refine By Date

—

Refine By IMF Taxonomy

Refine By JEL Taxonomy

Refine by LOC Taxonomy

Refine By THEMA Taxonomy

  • Print
  • Save

Browse

You are looking at 1 - 1 of 1 items for :

  • Type: Journal Issue x
  • Financial risk management x
  • Economic Theory; Demography x
  • Debts, Public x
  • Banks; Depository Institutions; Micro Finance Institutions; Mortgages x
  • Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill x
  • Macrostructural analysis x
Clear All Modify Search
Cover IMF Working Papers
Outlook for Interest Rates and Japanese Banks’ Risk Exposures under Abenomics
Mr. Serkan Arslanalp and Mr. Waikei R Lam
This paper examines how Japan’s long-term interest rates and Japanese banks’ interest rate risk exposures may evolve under Abenomics. Results from a panel regression analysis for major advanced economies shows that long-term government bond yields in Japan are determined to a large extent by growth and inflation outlook, fiscal conditions, demography, and the investor base of government securities. A further deterioration of fiscal conditions would push up long-term rates by about 2 percentage points over the medium term, but the rise is partly offset by higher demand for safe assets amid population aging and increased purchases by the Bank of Japan. At the same time, illustrative scenarios suggest the interest rate risk exposure of Japanese banks could decline substantially over the next two years. However, if structural and fiscal reforms are incomplete, both long-tem yields and interest-risk exposures of Japanese banks could increase over the medium term.
Keywords:
WP; JGB holding; JGB market; BoJ asset purchase; risk exposure; current account; Abenomics, interest rate risks; sovereign yields; unconventional monetary policy; Japanese government bonds (JGB); JGB financing; Long term interest rates; Market risk; Inflation; Structural reforms; Global