@article{ed68ceb8ead641ed8bde5d4c84212c1b,
title = "Nelson–Siegel decay factor and term premia in Japan",
abstract = "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.",
keywords = "Decay factor, Japan, Nelson–Siegel, Regime switching, State space model, Term premium, Yield curve control",
author = "Junko Koeda and Atsushi Sekine",
note = "Funding Information: We are grateful for anonymous referees for their constructive suggestions and insightful comments. We thank Jouchi Nakajima, Shigenori Shiratsuka, Takayuki Tsuruga, Takeshi Yagihashi, and participants of the JSME Spring meeting and the JEA Autumn meeting in 2020, and the Hitotsubashi Summer Institute 2020 for helpful comments. This work was supported by Grants-in-Aid for Scientific Research under Grant no. 18K01710 and 20K13525. Funding Information: We are grateful for anonymous referees for their constructive suggestions and insightful comments. We thank Jouchi Nakajima, Shigenori Shiratsuka, Takayuki Tsuruga, Takeshi Yagihashi, and participants of the JSME Spring meeting and the JEA Autumn meeting in 2020, and the Hitotsubashi Summer Institute 2020 for helpful comments. This work was supported by Grants-in-Aid for Scientific Research under Grant no. 18K01710 and 20K13525. Publisher Copyright: {\textcopyright} 2022 Elsevier Inc.",
year = "2022",
month = jun,
doi = "10.1016/j.jjie.2022.101204",
language = "English",
volume = "64",
journal = "Journal of The Japanese and International Economies",
issn = "0889-1583",
publisher = "Academic Press Inc.",
}