Despite numerous researches on the macroeconomic effects of unconventional monetary policy measures, as surveyed for example by Kozicki, et al. (2011) and Williams (2011), the empirical effectiveness is still unconvincing. Instead of an event-study method most of the previous studies took, we apply a simple time-series methodology of a Tobit or censored normal regression model. To capture the effects associated with the standard monetary policy rule, we take into account both non-linearity caused by a zero-bound of nominal interest rates (Benhabib, et al., 2002) and endogeneity of determinant variables in monetary policy rule. As relevant instrumental variables for the possibly endogenous variables in a non-linear Taylor-type rule augmented with financial asset prices, unconventional monetary policy measures are used. We consider the case of the Bank of Japan (BOJ), which has time-series variations in the ZIRP and QEP implemented on an intermittent basis since 1999. We also distinguish such three channels of the unconventional measures as summarized by Ueda (2012): either through providing funding liquidity for financial institutions, through enhancing market liquidity of financial assets, or through the central bank’s balance sheet. Our comprehensive data-analysis suggests qualitative differences in the effectiveness among each channel. The effects of funding liquidity are as a whole restricted. While it is the policy via the market liquidity what is effective in reducing term spreads with fewer anomalies, it is via the central bank’s balance sheet to decrease credit spread. Concerning the effects on output gap, a channel through the funding liquidity is though limitedly effective, but inflation rate is to the larger extent subject to the market liquidity or the central bank’s balance sheet channel. These differential results on what kinds of assets and the amount to purchase in the open-market operations demonstrate how the central banks should effectively manage the unconventional measures and then develop exit strategy from them.

This paper provides a tractable framework to study optimal risk sharing between an investor and a firm with general utility forms in the presence of moral hazard under market risk and jump risk. We show that, for a two-date discrete-time moral hazard model, there exists a continuous-time model that obtains the same optimal result. Moreover, we characterize the optimal risk sharing explicitly, in particular, the structural effect of jump risk on the optimal allocations.