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<p>Using the constructed data on maturity composition at each fiscal year’s end, this study structurally estimates a canonical preferred-habitat term structure model for the period 1995–2020 in Japan. The study finds that a reduction in the maturity-composition factor is associated with an increase in the proportion of short-term remaining maturity, while the proportions of other specific maturities remain relatively stable in comparison. This reduction has contributed to the compression of long-term bond yields in a persistently low interest rate environment. Notably, in the late-2010s, this factor has become the primary determinant of long-term bond yield movements with an increasing degree of compression observed over this period.</p>

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Government debt maturity and the term structure in Japan

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2025年5月20日

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  • Junko Koeda,
  • Yosuke Kimura

摘要

Using the constructed data on maturity composition at each fiscal year’s end, this study structurally estimates a canonical preferred-habitat term structure model for the period 1995–2020 in Japan. The study finds that a reduction in the maturity-composition factor is associated with an increase in the proportion of short-term remaining maturity, while the proportions of other specific maturities remain relatively stable in comparison. This reduction has contributed to the compression of long-term bond yields in a persistently low interest rate environment. Notably, in the late-2010s, this factor has become the primary determinant of long-term bond yield movements with an increasing degree of compression observed over this period.