Arbeitspapier
Some empirical models of Japanese government bond yields using daily data
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 962
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Central Banks and Their Policies
Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Japanese Government Bonds
JGBs
Long-Term Interest Rates
Nominal BondYields
Monetary Policy
Bank of Japan
John Maynard Keynes
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Akram, Tanweer
Li, Huiqing
- Ereignis
-
Veröffentlichung
- (wer)
-
Levy Economics Institute of Bard College
- (wo)
-
Annandale-on-Hudson, NY
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Akram, Tanweer
- Li, Huiqing
- Levy Economics Institute of Bard College
Entstanden
- 2020
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