Shadow rate and term premium estimates for Japan's yield curve

The latest: From 1995/Jan. to 2025/May (updated in 2025/Jun.)

Shadow rate, term premiums, and expected rates:

 yield_M.csv - Monthly estimates

 yield_D.csv - Daily estimates

• Cite the below articles when using this dataset.

• The dataset is estimated and released by J. Nakajima within his research activity.

• The dataset is not the official view of the Bank of Japan.

• The dataset is updated every quarter. The past figures are subject to updates.

References:

• Ichiue, H., and Y. Ueno (2013). "Estimating term premia at the zero bound: An analysis of Japanese, US, and UK yields" Working Paper Series No.13-E-8, Bank of Japan

• Nakajima, J. (2025). "Impact of US monetary policy spillovers and yield curve control policy" Discussion Paper Series A.760, Institute of Economic Research, Hitotsubashi University

[Japanese]