This study examines the two-decade long low interest rate environment in Japan using the Nelson-Siegel yield curve framework. As a possible “Japanification” of bond markets, we found that the decay factor has been declining in Japan for the past two decades, and this decline has been pushing...

I construct a no-arbitrage term structure model with endogenous regime shifts and apply it to Japanese government bond (JGB) yields. This application subjects the short-term interest rate to monetary regime shifts, such as a zero interest rate policy (ZIRP) and normal regimes, which depend on...

This study constructs a dataset of the maturity structure of Japanese government bond for the past half century. Using the maturity composition data at the end of each fiscal year, this study structurally estimates a canonical preferred-habitat term structure model particularly for the subsample...