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Yield Curve for Japanese Agency Bonds: From 2002 to the Present

Author

Listed:
  • Hattori, Takahiro
  • Miyake, Hiroki

Abstract

In this study, we aim to estimate the daily par yield curve for Japanese agency bonds since 2002. The agency bond market is one of the most practically and academically disputatious areas in terms of whether public agencies as issuers are disciplined by the market. Given the drastic reformation of it public agencies in the 2000s, this topic holds far more importance in Japan than in other countries. To the best of our knowledge, this research is the first to make the par rate of Japanese agency bonds publicly available. Our estimation is based on the well-known parametric and spline methods, of which we found that the latter fits well, as in previous studies. Further, we have posted the estimation data on our website and will continue to update it regularly: http://www.mcnnns77.net.

Suggested Citation

  • Hattori, Takahiro & Miyake, Hiroki, 2016. "Yield Curve for Japanese Agency Bonds: From 2002 to the Present," MPRA Paper 71487, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:71487
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    References listed on IDEAS

    as
    1. Hattori, Takahiro & Miyake, Hiroki, 2016. "The Japan Municipal Bond Yield Curve: 2002 to the Present," MPRA Paper 69725, University Library of Munich, Germany.
    2. Kentaro Kikuchi & Kohei Shintani, 2012. "Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 30, pages 75-122, November.
    3. Takahiro Hattori & Hiroki Miyake, 2016. "The Japan Municipal Bond Yield Curve: 2002 to the Present," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(6), pages 118-118, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Term structure; Interest rates; Par yield curve; Agency bond; Fiscal Investment and Loan Program; Japan;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • H81 - Public Economics - - Miscellaneous Issues - - - Governmental Loans; Loan Guarantees; Credits; Grants; Bailouts

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