IDEAS home Printed from
   My bibliography  Save this paper

Report on “The Committee on Yen Risk-free-rate Model Estimationâ€Â


  • Takeaki KARIYA


  • Darrell DUFFIE
  • Mariko FUJII
  • Masaaki KIJIMA
  • Atsuyuki KOGURE
  • Robert MERTON
  • Akihiko TAKAHASHI
  • Keiichi TANAKA
  • Satoshi YAMASHITA


With the introduction of the international accounting standards in Europe and dissemination of LDI (Liability Driven Investment) as a new investment standard, the investor demand for super-long end has been rising also in Japan. Under these circumstances, it is required that the Japanese government, as the supplier of the Japanese Government Bond (JGB), a unique yen-denominated risk-free asset, establishes a system in which new ultra-long-term bonds such as 40-year JGB can be issued flexibly. Such issues will contribute to the development of bond market and ALM (Asset Liability Management) of financial institutions. On the other hand, proper attention should be paid to setting appropriate conditions for the issuance of new maturity government bonds without a secondary market so that neither investors nor taxpayers may be left in a disadvantageous position. Thus, the establishment of an interest rate estimation model is required for setting out such appropriate conditions. For the purpose of establishing the model from a neutral and professional point of view, this committee was set up at the Policy Research Institute and it consist of Japanese and foreign experts of finance, financial engineering, and statistics.

Suggested Citation

  • Takeaki KARIYA & Darrell DUFFIE & Mariko FUJII & Masaaki KIJIMA & Takao KOBAYASHI & Atsuyuki KOGURE & Robert MERTON & Akihiko TAKAHASHI & Keiichi TANAKA & Satoshi YAMASHITA, 2007. "Report on “The Committee on Yen Risk-free-rate Model Estimationâ€Â," Finance Working Papers 22315, East Asian Bureau of Economic Research.
  • Handle: RePEc:eab:financ:22315

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    Japanese Government Bond; interest rate estimation model;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eab:financ:22315. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shiro Armstrong). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.