Approximating the term structure of interest rates in Japan

Shang-Wu Yu

Applied Economics Letters, 1999, vol. 6, issue 7, 403-407

Abstract: This paper uses B-spline functions to approximate the term structure of interest rates implied in Japanese government bonds. The results indicate that the estimated short rate curve exhibits a slight dip in the long end of the curve. This may be attributed to an excess demand for long-term bonds in general and specifically on the run bonds in the Japanese market.

Date: 1999
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DOI: 10.1080/135048599352899

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