Government Debt Maturity in Japan: 1965 to the Present

Junko Koeda () and Yosuke Kimura
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Junko Koeda: Waseda University, 1-6-1 Nishi-Waseda, Shinjuku-ku, Tokyo 169-8050 Japan,

No 2103, Working Papers from Waseda University, Faculty of Political Science and Economics

Abstract: This study constructs and analyzes a dataset of Japanese government bond’s maturity structure for the fiscal years 1965–2019. Using the maturity structure data at the end of each fiscal year for the past three decades, this study proposes extracting the bond supply factor from the maturity structure variables, and structurally estimates a canonical preferred-habitat term structure model. The results provide a debt maturity equation in the fiscal year cycle, and demonstrate that two yield factors (bond supply factor and short-term interest rate) can account for annual-frequency variations in Japanese bond yields. The supply factor also explains the continued decline in the long-term interest rate in a zero lower bound environment for the past two decades.

Keywords: maturity structure; yield curve; debt management; Japan; supply factor; bond yield (search for similar items in EconPapers)
JEL-codes: E43 E52 G11 G12 H63 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2021-04
New Economics Papers: this item is included in nep-cwa and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Government Debt Maturity in Japan: 1965 to the Present (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:wap:wpaper:2103

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