Comparative analysis of zero coupon yield curve estimation methods using JGB price data [electronic resource] / Kentaro Kikuchi and Kohei Shintani.
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Tokyo :
Institute for Monetary and Economic Studies, Bank of Japan,
[2012]
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| Series: | IMES discussion paper series ;
no. 2012-E-4. |
| Subjects: |
MARC
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| 100 | 1 | |a Kikuchi, Kentarō. |0 http://id.loc.gov/authorities/names/n83072581. | |
| 245 | 1 | 0 | |a Comparative analysis of zero coupon yield curve estimation methods using JGB price data |h [electronic resource] / |c Kentaro Kikuchi and Kohei Shintani. |
| 260 | |a Tokyo : |b Institute for Monetary and Economic Studies, Bank of Japan, |c [2012] | ||
| 300 | |a 1 online resource (59 pages ) : |b illustrations (some color) | ||
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| 490 | 1 | |a IMES discussion paper series ; |v discussion paper no. 2012-E-4. | |
| 500 | |a "April 2012."--1st preliminary page. | ||
| 500 | |a "Keywords: coupon-bearing government bond, zero coupon yield, piecewise polynomial function ; JEL classification: C13, C14, G12."--1st preliminary page. | ||
| 500 | |a Includes supplemental data. | ||
| 504 | |a Includes bibliographical references (pages 57-59) | ||
| 520 | 3 | |a "This paper conducts a comparative analysis of the diverse methods for estimating the Japanese government bond (JGB) zero coupon yield curve (hereafter, zero curve) according to the criteria that estimation methods should meet. Previous studies propose many methods for estimating the zero curve from the market prices of coupon-bearing bonds. In estimating the JGB zero curve, however, an undesirable method may fail to accurately grasp the features of the zero curve. In order to select an appropriate estimation method for the JGB, we set the following criteria for the zero curve: (1) estimates should not fall below zero, (2) estimates should not take abnormal values, (3) estimates should have a good fit to market prices, and (4) the zero curve should have little unevenness. The method which meets these criteria enables us to estimate the zero curve with a good fit to the JGB market prices and a proper interpolation to grasp the features of the zero curve. Based on our analysis, we conclude that the method proposed in Steeley [1991] is the best in light of the criteria for the JGB price data. In fact, the zero curve based on this method can fully capture the characteristics of the JGB zero curve in a prolonged period of accommodative monetary policy."--1st preliminary page. | |
| 588 | |a Title from PDF t. p. (IMES, viewed April 23, 2012) | ||
| 650 | 0 | |a Government securities |z Japan |x Econometric models. | |
| 650 | 0 | |a Bonds |z Japan |x Econometric models. | |
| 700 | 1 | |a Shintani, Kohei. | |
| 710 | 2 | |a Nihon Ginkō. |b Kin'yū Kenkyūjo. |0 http://id.loc.gov/authorities/names/n85096407 |1 http://isni.org/isni/0000000417569762. | |
| 776 | 0 | 8 | |i Also issued in print: |a Kikuchi, Kentarō. |t Comparative analysis of zero coupon yield curve estimation methods using JGB price data. |d Tokyo : Institute for Monetary and Economic Studies, Bank of Japan, [2012] |w (OCoLC)794239963. |
| 830 | 0 | |a IMES discussion paper series ; |v no. 2012-E-4. |0 http://id.loc.gov/authorities/names/no97025687. | |
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