Estimation of 10-year JGB yields: From 1961 to 1984

10 Pages Posted: 9 Jan 2021

See all articles by Takahiro Hattori

Takahiro Hattori

University of Tokyo - Graduate School of Public Policy

Date Written: November 21, 2020

Abstract

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 Japanese government, a 10-year yield series is available for economists from 1961 to the present, which is the same period as the seminal paper presented by Gürkaynak et al. (2007). The yield estimates from this paper are available at: https://sites.google.com/site/hattori0819/data.

Keywords: Japanese Government Bond, Interest Rate, Japanese History

JEL Classification: G12, E43, N45

Suggested Citation

Hattori, Takahiro, Estimation of 10-year JGB yields: From 1961 to 1984 (November 21, 2020). Available at SSRN: https://ssrn.com/abstract=3734887 or http://dx.doi.org/10.2139/ssrn.3734887

Takahiro Hattori (Contact Author)

University of Tokyo - Graduate School of Public Policy ( email )

Tokyo
Japan

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