Abstract ：
This paper examines how changes in the Bank of Japan (BOJ)’s monetary policy stance affect the short-, medium-, long, and super long-term yield spreads and credit risks during the non-traditional money policy period. We focus on the periods of low interest rate and ample liquidity provision, and analyze the relationships between statements of the BOJ and reactions of the monetary market interest rates, employing the event study approach. The introduction announcement of low interest rate policy raises the medium-term credit risk, and decreases the long-term credit risk and the short-term yield spread. On the other hand, the termination announcement of it increases the short- and medium-term yield spreads. Moreover, our analysis shows that BOJ’s ample liquidity provisions decrease the short-, medium-, long-, and super long-term credit risks.

Keywords : Term structure of interest rates; Credit risk; Event study

JEL code: E52; E58; G14