During the general discussion Naoyuki Yoshino noted that Japanese and U.S. bond markets differed: 95 percent of government bonds are domestically owned in Japan compared with 50 percent in the United States. Moreover, Japanese bond markets are segmented because different investors hold different maturity bonds and financial regulators closely monitor the maturity matching of financial services providers. As a result, the government of Japan regularly issues additional bonds when liquidity in a particular maturity is lacking.

Bhanupong Nidhiprabha and Yiping Huang suggested that it would be preferable to include the Bank of Japan's and the U.S. Federal Reserve's (Fed) assets in the estimations, rather than the shadow short rate, during the period of unconventional monetary policy because balance sheets were the tool used by the central banks. Maria Socorro Gochocco-Bautista and Wing Thye Woo noted, however, that the shadow short rate was a preferred measure because it captures quantitative (changes...

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