Nelson–Siegel decay factor and term premia in Japan

Junko Koeda*, Atsushi Sekine


研究成果: Article査読

1 被引用数 (Scopus)


This study examines the low–interest rate environment in Japan from mid-1990 to the end of 2020, using a dynamic Nelson–Siegel framework emphasizing the role of the decay factor. A regime-switching model estimates that the regime with low decay factor and bond yield volatility (“low” regime) has persisted since the early years of Bank of Japan's quantitative and qualitative monetary easing (QQE) policy. A shift away from the low regime can instantly increase the 10-year government bond yield by over 50 basis points by increasing the term premiums with little changes in the expected short rate.

ジャーナルJournal of The Japanese and International Economies
出版ステータスPublished - 2022 6月

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学
  • 政治学と国際関係論


「Nelson–Siegel decay factor and term premia in Japan」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。