Estimation of 10-year JGB yields: From 1961 to 1984
10 Pages Posted: 9 Jan 2021
Date Written: November 21, 2020
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: Suggested Citation