Some Empirical Models of Japanese Government Bond Yields Using Daily Data

Tanweer Akram and Huiqing Li

Economics Working Paper Archive from Levy Economics Institute

Abstract: This paper models the dynamics of Japanese government bond (JGB) nominal yields using daily data. Models of government bond yields based on daily data, such as those presented in this paper, can be useful not only to investors and market analysts, but also to central bankers and other policymakers for assessing financial conditions and macroeconomic developments in real time. The paper shows that long-term JGB nominal yields can be modeled using the short-term interest rate on Treasury bills, the equity index, the exchange rate, commodity price index, and other key financial variables.

Keywords: Japanese Government Bonds; JGBs; Long-Term Interest Rates; Nominal Bond Yields; Monetary Policy; Bank of Japan; John Maynard Keynes (search for similar items in EconPapers)
JEL-codes: E43 E50 E58 E60 G10 G12 (search for similar items in EconPapers)
Date: 2020-07
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-pke
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