Some Empirical Models of Japanese Government Bond Yields Using Daily Data

Levy Economics Institute, Working Papers Series No. 962 (2020)

53 Pages Posted: 17 Aug 2020

See all articles by Tanweer Akram

Tanweer Akram

Citibank

Huiqing Li

Central University of Finance and Economics (CUFE) - School of National Fiscal Development

Date Written: July 15, 2020

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.

Keywords: Japanese Government Bonds, JGBs, Long-Term Interest Rates, Nominal Bond Yields, Monetary Policy, Bank of Japan, John Maynard Keynes

JEL Classification: E43, E50, E58, E60, G10, G12

Suggested Citation

Akram, Tanweer and Li, Huiqing, Some Empirical Models of Japanese Government Bond Yields Using Daily Data (July 15, 2020). Levy Economics Institute, Working Papers Series No. 962 (2020), Available at SSRN: https://ssrn.com/abstract=3652558 or http://dx.doi.org/10.2139/ssrn.3652558

Tanweer Akram (Contact Author)

Citibank ( email )

Irving, TX 75039

Huiqing Li

Central University of Finance and Economics (CUFE) - School of National Fiscal Development ( email )

39 Xueyuan S Rd
Haidian
Beijing
China

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