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On the estimation of the natural yield curve

On the estimation of the natural yield curve
Digital文書・図像類
NAKAJIMA, Jouchi, SUDO, Nao, HOGEN, Yoshihiko, TAKIZUKA, YasutakaInstitute of Economic Research, Hitotsubashi University2023-12
Available onlineOther Libraries in Japan
  • Summary, etc....of the natural yield curve, which is an e......aturities on a yield curve. To identify i......ulting natural yield curve and its updated patterns betw...
  • Subject HeadingNatural yield curve Natural rate of interest Term...

A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy

A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy
Digital文書・図像類
菊池, 健太郎Center for Risk Research (CRR), Shiga University2020-03CRR Discussion Paper, Series BNo. B-17p.1-15
Other Libraries in Japan
  • Subject Heading「Yield curve」「 No arbitrage condition」「Qua...
  • Note (General)...l to replicate yield curves that include ......using Japanese yield curve data and estimate the implied...

Predicting Interest Rate Volatility: Using Information on the Yield Curve

Predicting Interest Rate Volatility: Using Information on the Yield Curve
Digital文書・図像類
髙見澤, 秀幸Hitotsubashi University Center for Financial Research2015-05-08
Available onlineOther Libraries in Japan
  • Summary, etc....rmation on the yield curve is useful for ......atility of the yield curve. The information is used with...
  • Subject HeadingYield curve Volatility Level-dependence A...

Revisiting Bank of Japan’s Policy Duration Commitment: Impact, Consequences and Challenges

Revisiting Bank of Japan’s Policy Duration Commitment: Impact, Consequences and Challenges
Digital文書・図像類
KINOSHITA, TomohiroGRIPS Policy Research Center2015-03-18GRIPS Discussion PapersDP14-25
Other Libraries in Japan
  • Summary, etc....d shape of the yield curve at an extraord......The suppressed yield curve has contribute...... and flattened yield curve coupled with maturity extensi...
  • Subject Heading...onetary policy yield curve central bank income

Testing for Factor Loading Structural Change under Common Breaks

Testing for Factor Loading Structural Change under Common Breaks
Digital文書・図像類
山本, 庸平, 田中, 晋也Graduate School of Economics, Hitotsubashi University2013-12
Available onlineOther Libraries in Japan
  • Subject Heading...onotonic power yield curve

A Note on Construction of Multiple Swap Curves with and without Collateral

A Note on Construction of Multiple Swap Curves with and without Collateral
Paper文書・図像類
Fujii, Masaaki, Yasufumi, Shimada, Akihiko, Takahashi日本経済国際共同センター2009-07Discussion paper series. CIRJE-FCIRJE-F-630
Other Libraries in Japan
  • Subject HeadingLibor swap tenor yield curve collateral overnight index sw...

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