Government Debt Maturity and the Term Structure in Japan

31 Pages Posted: 28 Jan 2022 Last revised: 5 Mar 2024

See all articles by Junko Koeda

Junko Koeda

Waseda University - School of Political Science and Economics

Yosuke Kimura

Tokyo Institute of Technology - School of Engineering

Date Written: January 22, 2022

Abstract

Using the constructed data on maturity composition at each fiscal year’s end, this study structurally estimates a canonical preferred-habitat term structure model for the period 1995-2020 in Japan. The study finds that a reduction in the maturity-composition factor is associated with an increase in the proportion of short-term remaining maturity, while the proportions of other specific maturities remain relatively stable in comparison. This reduction has contributed to the compression of long-term bond yields in a persistently low interest rate environment. Notably, in the late-2010s, this factor has become the primary determinant of long-term bond yield movements with an increasing degree of compression observed over this period.

Keywords: term structure of interest rate; maturity structure; debt management; Japan; bond yield; preferred habitat

JEL Classification: E43; E52; G11; G12; H63

Suggested Citation

Koeda, Junko and Kimura, Yosuke, Government Debt Maturity and the Term Structure in Japan (January 22, 2022). Available at SSRN: https://ssrn.com/abstract=4015576 or http://dx.doi.org/10.2139/ssrn.4015576

Junko Koeda (Contact Author)

Waseda University - School of Political Science and Economics ( email )

1-6-1 Nishi-Waseda
Shinjuku-ku, Tokyo 169-8050, Tokyo 169-8050
Japan

Yosuke Kimura

Tokyo Institute of Technology - School of Engineering ( email )

Tokyo
Japan

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