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.
- Language
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Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 962
- Classification
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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
- Subject
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Japanese Government Bonds
JGBs
Long-Term Interest Rates
Nominal BondYields
Monetary Policy
Bank of Japan
John Maynard Keynes
- Event
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Geistige Schöpfung
- (who)
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Akram, Tanweer
Li, Huiqing
- Event
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Veröffentlichung
- (who)
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Levy Economics Institute of Bard College
- (where)
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Annandale-on-Hudson, NY
- (when)
-
2020
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Akram, Tanweer
- Li, Huiqing
- Levy Economics Institute of Bard College
Time of origin
- 2020
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A note concerning government bond yields
How Does Liquidity Affect Government Bond Yields?
Ambiguity, nominal bond yields and real bond yields
Flight Patterns and Yields of European Government Bonds
Australian government bonds' nominal yields: An empirical analysis
Flight Patterns and Yields of European Government Bonds
Does Keynesian theory explain Indian government bond yields?
Forecasting government bond yields with large Bayesian VARs
Forecasting the term structure of government bond yields
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The determinants of long-term Japanese government bonds' low nominal yields
A note concerning government bond yields
How Does Liquidity Affect Government Bond Yields?
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Flight Patterns and Yields of European Government Bonds
Australian government bonds' nominal yields: An empirical analysis
Flight Patterns and Yields of European Government Bonds
Does Keynesian theory explain Indian government bond yields?
Forecasting government bond yields with large Bayesian VARs
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