The extreme fluctuations in yields that swept bond markets in 1994 surprised traders,
portfolio managers, treasurers and central bankers. Observers from countries that were …

We examine the bidding patterns and auction profits in the Japanese Government Bond
(JGB) auctions and empirically test the predictions of auction theory. We find that the …

In many markets, the term structure of interest rates implied by coupon Treasury bonds
provides a key input for pricing and hedging interest rate-sensitive securities. Previous …

Prices and yields of UK government zero‐coupon bonds are used to test alternative yield
curve estimation models. Zero‐coupon bonds permit a more pure comparison, as the …

This paper empirically evaluates the validity of the term structure of interest rates in a low-
interest-rate environment. Applying a time-series method to high-frequency Japanese data …

This document reports the currently used term structure estimation method at the Bank of
Finland and discusses interpretation of the results it generates. We start by introducing two …

The yield curve represents the relationship between the discount rates on a collection of
default-free future cash flows, such as the coupon and redemption payments on UK …

The quality option for Japanese Government Bond Futures contracts is analysed using a
term structure approach based upon a two‐factor Heath, Jarrow and Morton (1990b) model …

This paper investigates the long-run equilibrium implications of the Expectations Hypothesis
of the term structure on different maturities of high-grade yen Eurobonds and Japanese …

This article provides a survey of research conducted in Japanese financial markets. Until the
1990s, the academic discipline of financial economics was almost not taught in Japanese …