This note uses a target-zone model to study the bond yield movements under yield curve control. The bond yield is assumed to be quasi-bounded in a band, but can breach a cap under a restricted condition of its dynamics. The empirical results using the 10-year Japanese Government Bonds suggest that this model can describe the yield dynamics under yield curve control. Co-integration results show spill-over effects from US Treasury yields to the Japanese Government Bond yield dynamics. While the bond yield was bounded below the caps, the conditions for breaching the caps were met in October 2018 and March 2021.

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关于模拟收益率曲线控制的注释：目标区域方法

本说明使用目标区域模型来研究收益率曲线控制下的债券收益率走势。假设债券收益率在一个区间内是准有界的，但在其动态受限的条件下可能会突破上限。使用 10 年期日本政府债券的实证结果表明，该模型可以描述收益率曲线控制下的收益率动态。协整结果显示美国国债收益率对日本政府债券收益率动态的溢出效应。虽然债券收益率被限制在上限以下，但违反上限的条件在 2018 年 10 月和 2021 年 3 月得到满足。