Data

  Trend inflation for Japan 

  Natural rate of interest for Japan 

  Firms' inflation expectations for Japan 

  Macroeconomic uncertainty index for Japan

  Shadow rate and term premium estimates for Japan

  Japanese Government Bonds security-by-security data 

  ...these datasets are featured on the website Japan's Monetary Policy Database, maintained by Jouchi Nakajima

Software code

  Time-varying parameter models (Ox, Matlab)

  Time-varying local projections (R)

  Stochastic volatility models (Ox)

  Standard VAR models (Matlab)

Software references (in Japanese)

  Ox function reference

  Ox graph reference