On 21st September, 2016, the Bank of Japan (BOJ) embarked on a new unconventional monetary policy called yield curve control (YCC). We show that YCC creates an arbitrage opportunity in an otherwise frictionless and arbitrage-free government bond market which financial institutions can exploit. This arbitrage creates a wealth transfer from the BOJ to these financial institutions. We estimate the lower bound on this wealth transfer for the first 28 months to be $5.25 billion or [Formula: see text]582.32 billion, which constitutes an unexplored policy externality. This corresponds to 7.49% per annum on the notional employed in this arbitrage strategy.

中文翻译：

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收益控制货币政策的影响：对金融机构的直升机撒钱

2016 年 9 月 21 日，日本央行 (BOJ) 开始实施新的非常规货币政策，称为收益率曲线控制 (YCC)。我们表明，YCC 在金融机构可以利用的无摩擦和无套利的政府债券市场中创造了套利机会。这种套利创造了从日本央行到这些金融机构的财富转移。我们估计前 28 个月这种财富转移的下限为 52.5 亿美元或[公式：见正文]5823.2 亿美元，这构成了未探索的政策外部性。这相当于该套利策略中使用的名义年利率为 7.49%。