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Government Debt Maturity in Japan: 1965 to the Present

Junko Koeda and Yosuke Kimura

No e163, Working Papers from Tokyo Center for Economic Research

Abstract: This study constructs a dataset of Japanese government bonds' maturity structure for the fiscal years 1965?2020. Using the maturity structure data at the end of each fiscal year for the past three decades, this study structurally estimates a canonical preferred-habitat term structure model extracting the bond supply factor. 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 for the past two decades.

Pages: 33 pages
Date: 2021-09
New Economics Papers: this item is included in nep-his, nep-isf and nep-mac
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