Abstract ：
In this paper, we examine and evaluate the effect of changes in the Bank of Japan (BOJ)'s current account balance (CAB) target variable on the term structure of interest rates during the quantitative monetary easing policy (QMEP) period. We employ an autoregressive-exponential generalized autoregressive conditional heteroskedasticity (AR-EGARCH) model and reach two main conclusions. First, the introduction of the QMEP reduced the short-term yield spread and the increase in the CAB target extended the short-, middle-, and long-term yield spreads. Second, the additional expansion of the CAB target lowered the volatility of the short-, middle-, and long-term yield spreads.

JEL classification: E52
Keywords : Yield Spread; Quantitative Monetary Easing Policy