Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238652 
Year of Publication: 
2020
Series/Report no.: 
Working Paper No. 962
Publisher: 
Levy Economics Institute of Bard College, Annandale-on-Hudson, NY
Abstract: 
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.
Subjects: 
Japanese Government Bonds
JGBs
Long-Term Interest Rates
Nominal BondYields
Monetary Policy
Bank of Japan
John Maynard Keynes
JEL: 
E43
E50
E58
E60
G10
G12
Document Type: 
Working Paper

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