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Short-term Cross-currency Basis Swap and Japanese Government Bond Markets under Non-traditional Monetary Policy

The five-, 10-, and 20-year yields of Japanese government bonds (JGBs) co-move with the six- and 12-month basis swap rates under the quantitative and qualitative easing policy regime introduced by the Bank of Japan (BOJ). The 10- and 20-year JGB yields are in a one-to-one relationship with the six- and 12-month basis swap rates. A cheaper yen gives foreign investors strong incentives to buy 10- and 20-year JGBs under the quantitative and qualitative easing policy regime. A cheaper yen also gives foreign investors some incentives to buy five-year JGBs under the same regime. However, JGB yield does not co-move with basis swap rate under the negative interest rate policy regime. After the BOJ introduced the negative interest rate policy, the trend observed under the quantitative and qualitative easing policy regime changed.