Ueno, Yoichi; Baba, Naohiko; Sakurai, Yuji - Bank of Japan - 2006
This paper analyzes the Japanese government bond (JGB) yield curve using the Black-Gorovoi-Linetsky (BGL) model of interest rates as options with a view to monitoring the JGB market expectations about the Bank of Japan's (BOJ) zero interest rate policy (ZIRP). Main findings are as follows....