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

Takahiro Hattori and Hiroki Miyake

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Term structure; Interest rates; Par yield curve; Agency bond; Fiscal Investment and Loan Program; Japan (search for similar items in EconPapers)
JEL-codes: E43 G12 H81 (search for similar items in EconPapers)
Date: 2016-05-20
New Economics Papers: this item is included in nep-mac
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