Nelson–Siegel decay factor and term premia in Japan

Junko Koeda*, Atsushi Sekine

*この研究の対応する著者

研究成果: Article査読

抄録

This study examines the low–interest rate environment in Japan from mid-1990 to the end of 2020, using a dynamic Nelson–Siegel framework emphasizing the role of the decay factor. A regime-switching model estimates that the regime with low decay factor and bond yield volatility (“low” regime) has persisted since the early years of Bank of Japan's quantitative and qualitative monetary easing (QQE) policy. A shift away from the low regime can instantly increase the 10-year government bond yield by over 50 basis points by increasing the term premiums with little changes in the expected short rate.

本文言語English
論文番号101204
ジャーナルJournal of The Japanese and International Economies
64
DOI
出版ステータスPublished - 2022 6月

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学
  • 政治学と国際関係論

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