• E43;
  • E52;
  • E58;
  • G12

This paper empirically investigates the effects of the Bank of Japan's (BOJ) zero interest rate commitment and quantitative monetary easing on the yield curve. Applying a macro-finance approach, we decompose interest rates into expectations and risk premium components and extract the market's perception of the BOJ's policy stance. We make clear the counterfactual policy without the BOJ's commitment. We find some evidence that the commitment lowered interest rates and mat raising the reserve target may have been perceived as a signal indicating the BOJ's accommodative policy stance. The portfolio rebalancing effect has not been found to be significant.