The Japanese government is heavily indebted but the yield on the Japanese government bond (JBG) remains low to date. We hypothesize that the presence of the Japanese government as a large stable investor of JGBs exerted a stabilizing influence on private JGB traders and thus rendered the risk premium for sovereign default negligible. To identify the influence of a large stable JGB holder, we utilize a surprise change in the policy stance toward public debt holding as a quasi-experiment. We estimated a VARMA model using daily data and found that an announced government withdrawal led to a 50-basis-point increase in the yields of 10-year JGBs. Our study suggests that large public debt holding reduces the risk premium and is one factor behind the low yield.