We document a new risk premium in the Japanese yen that compensates for the policy uncertainty in Japan. The yen risk premium is implied from bond markets under the assumption of no-arbitrage. We estimate a regime switching term structure model and find that in Japan, the conventional monetary...

This paper firstly analyzes the Liquidity Enhancement Auction, which is a unique auction implemented in the Japanese Government Bond (JGB) markets. To improve the market liquidity in the JGB market, the Ministry of Finance, Japan (MOF) uses this auction to issue additional older bonds that lack...

This paper employs a Keynesian perspective to explain why Japanese government bonds' (JGBs) nominal yields have been low for more than two decades. It deploys several vector error correction (VEC) models to estimate long-term government bond yields. It shows that the low short-term interest...

For historical reasons, 10-year Japanese government bond (JGB) yields, which are often used as the risk-free rate, are not available consistently. This paper estimates 10-year JGB yields from 1961 to 1984. Then, by merging our estimated yields with the official yield data provided by the...

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...

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...

This paper employs a Keynesian perspective to explain why Japanese government bonds' (JGBs) nominal yields have been low for more than two decades. It deploys several vector error correction (VEC) models to estimate long-term government bond yields. It shows that the low short-term interest...

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...