Extracting rate expectations, Japan's bond prices

Working Paper from the Bank of Japan's Financial Markets Department entitled "Extracting Market Expectations on the Duration of the Zero Interest Rate Policy from Japan's Bond Prices". The paper aims to extract the expectations of market participants on the duration of the Zero Interest Rate Policy (ZIRP) by the Bank of Japan by modeling the term structure of interest rates.

Extracting Market Expectations on the Duration of the Zero Interest Rate Policy from Japan's Bond Prices

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