Abstract
We investigate the effect of quantitative and qualitative easing (QQE) conducted by the Bank of Japan (BOJ) on the Japanese Government Bond (JGB) price using micro-level panel data. Our paper takes advantage of the policy changes in the open market operation under QQE, where the BOJ predetermines the schedule of the operation after March 2017, which suggests that the purchases by the BOJ are an exogenous shock without surprise. Utilizing this ideal setup, we empirically show that the impact of the demand factor on the term structure significantly affects the JGB price, which supports the market segmentation theory.
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