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This paper analyses deviations in yen-dollar cross-currency swap markets between 2007 and 2017. Using weekly-frequency data on money market-related and capital marketrelated financial variables, we analyse how the cross-currency basis is influenced by differences in returns and different types of risk. We study these dynamics using statedependent impulse responses obtained from local projections. Our results show that differences in bond yields, particularly short-term and medium-term government bond yields, are a quantitatively relevant driver of the cross-currency basis in the post-crisis period. We argue that spreads opening up in these markets provide an incentive for cross-border financial flows and corresponding hedging demand, which in turn drive the basis in the post-crisis period. We further find some evidence for the relevance of central bank balance sheet policies, relative corporate bond market performance, and general market volatility. Overall, the impulse responses for the immediate crisis period are considerably more indeterminate and quantitatively less relevant than the responses in the post-crisis state.

This paper provides an overview of the operational implementation of negative interest rates in Europe and Japan. Drawing attention to the fact that there is precedent for negative policy rates and negative money market rates, the paper addresses conceptual issues and summarizes measures which define negative interest rate policy. Based on detailed institutional analysis and an examination of the interaction of negative interest rate policies with balance sheet policies, it is argued that there is substantial heterogeneity in the purpose, design and operational specificities of negative interest rate policies across economies, with significant consequences for effective money market rates, private sector funding conditions, and expectations. Summarizing transmission channels of negative rates to the real economy and their potential benefits and risks, the paper calls attention to potential adverse effects resulting from the interaction of negative interest rate policy with tighter liquidity and capital standards adopted since the Global Financial Crisis.

公共政策プログラム / Public Policy Program, 論文審査委員: 吉野 直行（主査）, CHEY Hyoung-kyu, LEON-GONZALEZ, Roberto, 園部 哲史, 藤原 一平（慶應義塾大学大学院経済学研究科 教授）