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It uses (i) swap yield curves augmented by OIS rates and (ii) the JGB yield curve augmented by FB/TB rates. Using the Nelson-Siegel model, it estimates latent factors, compares price discovery contributions, and applies a time-series structural model to decompose each factor into efficient price and idiosyncratic components.",{"@graph":69,"@context":121},[70,84,104],{"@type":71,"itemListElement":72},"BreadcrumbList",[73,77,79,82],{"item":74,"name":75,"@type":76,"position":8},"https://docshare.wps.com","Home","ListItem",{"item":78,"name":9,"@type":76,"position":14},"https://docshare.wps.com/document/",{"item":80,"name":40,"@type":76,"position":81},"https://docshare.wps.com/document/research-report/",3,{"item":83,"name":65,"@type":76,"position":19},"https://docshare.wps.com/document/ecb-workshop-on-the-analysis-of-the-money-market-no-980-extracting-market-expectations-from-yield-curves-augmented-by-money-market-interest-rates-the-case-of-japan/645785/",{"url":83,"name":65,"@type":85,"image":86,"author":91,"headline":65,"publisher":94,"fileFormat":97,"inLanguage":63,"description":67,"dateModified":98,"datePublished":98,"encodingFormat":97,"isAccessibleForFree":99,"interactionStatistic":100},"DigitalDocument",{"url":87,"@type":88,"width":89,"height":90},"https://docshare.wps.com/thumbnails/ecb-workshop-on-the-analysis-of-the-money-market-no-980-extracting-market-expectations-from-yield-curves-augmented-by-money-market-interest-rates-the-case-of-japan/645785.png","ImageObject",300,407,{"name":92,"@type":93},"SALUTone","Person",{"url":74,"name":95,"@type":96},"DocShare","Organization","application/pdf","2026-10-23",true,{"@type":101,"interactionType":102,"userInteractionCount":4},"InteractionCounter",{"@type":103},"ViewAction",{"@type":105,"mainEntity":106},"FAQPage",[107,113,117],{"name":108,"@type":109,"acceptedAnswer":110},"What period and macro questions does the paper focus on?","Question",{"text":111,"@type":112},"The paper analyzes market expectations about the Japanese economy and the BOJ’s policy stance from end-March 2006 onward, after quantitative easing ends. It targets expectations embedded in augmented yen yield curves.","Answer",{"name":114,"@type":109,"acceptedAnswer":115},"Which data and yield-curve augmentations are used?",{"text":116,"@type":112},"It uses swap yield curves augmented by OIS interest rates (OIS/Swap) and the JGB yield curve augmented by FB/TB interest rates (FB/TB/JGB). These augmentations incorporate money market interest rate information.",{"name":118,"@type":109,"acceptedAnswer":119},"How does the paper identify and interpret market expectations?",{"text":120,"@type":112},"It applies the Nelson-Siegel model to estimate three latent dynamic factors interpreted as market expectations. It further evaluates how price discovery differs across factors and decomposes each factor into efficient price and idiosyncratic components using a structural time-series model.","https://schema.org",{"og:url":83,"og:type":123,"og:title":65,"og:site_name":95,"og:description":67},"article",{"robots":125,"canonical":83},"index,follow",{"doc_id":127,"site_id":62},645785,1792735355,{"code":4,"msg":5,"data":130},{"doc_id":127,"user_id":131,"nickname":92,"user_avatar":132,"doc_module":4,"category_id":39,"category_name":40,"doc_title":65,"doc_description":67,"doc_content":133,"file_id":134,"file_url":135,"file_type":136,"file_size":137,"view_count":4,"is_deleted":4,"is_public":8,"is_downloadable":8,"audit_status":8,"page_count":138,"language":139,"language_code":63,"site_id":62,"html_lang":63,"table_of_contents":140,"faqs":141,"seo_title":142,"seo_description":67,"update_tm":128,"read_time":143},5909897206756,"https://ap-avatar.wpscdn.com/avatar/5600152dbe4a7e99502?x-image-process=image/resize,m_fixed,w_180,h_180&k=1792654152478566863","Working PaPer SerieS  \nno 980 / DeceMBer 2008  \nextracting Market exPectationS froM YielD curveS augMenteD BY MoneY Market intereSt rateS  \nthe caSe of JaPan  \nby Teppei Nagano and Naohiko Baba  \nIn 2008 all ECB publications feature a motif taken from the 10 banknote.  \nWORKING PAPER SERIES  \nNO 9 8 0 / DECEMBER 20 08  \nECB WORKSHOP ON THE ANALYSIS OF THE MONEY MARKET  \nEXTRACTING MARKET EXPECTATIONS FROM YIELD CURVES AUGMENTED BY MONEY MARKET INTEREST RATES THE CASE OF JAPAN 1  \nby Teppei Nagano 2 and Naohiko Baba 3  \nThis paper can be downloaded without charge from [http://www.ecb.europa. eu](http://www.ecb.europa. eu) or from the Social Science Research Network  \nelectronic library at [http://ssrn.com/abstract_id=1310617](http://ssrn.com/abstract_id=1310617).  \n1 The authors are grateful to workshop participants at the ECB and Hitotsubashi University, particularly to Jagjit Chadha (discussant), Makoto Saito, Ken Singleton, Christian Upper, and Kenji Wada for useful comments and discussions. We also benefited from discussions with market participants in London and Tokyo. The views expressed in this paper are solely those of the authors and do not necessarily reflect those of the Bank of Japan, the Bank for International Settlements and the European Central Bank.  \n2 Bank of Japan, 2-1-1 Nihonbashi-Hongokucho Chuo-ku, Tokyo 103-8660, Japan; [e-mail: teppei.nagano@boj.or.jp](e-mail: teppei.nagano@boj.or.jp)  \n[3 Corresponding author: Bank for International Settlements](3 Corresponding author: Bank for International Settlements), Centralbahnplatz 2, Basel CH-4002, Switzerland; Tel: +41 61 280 8819; fax: +41 61 280 9100; [e-mail: naohiko.baba@bis.org](e-mail: naohiko.baba@bis.org)  \nECB WORKSHOP ON THE ANALYSIS OF THE MONEY MARKET  \nOn 14 and 15 November 2007, Alain Durré, Huw Pill and Diego Rodriguez-Palenzuela of the ECB’s Monetary Policy Stance Division organised a central bank workshop titled “The Analysis of the Money Market: Role, Challenges and Implications from the Monetary Policy Perspective”. This workshop provided an opportunity for participating central bank experts to exchange views and foster debate, also in interaction with international organizations and academic institutions. The first day of the workshop addressed issues related to the macro-perspective of the money market, drawing on the experiences of a large number of countries. The second day adopted a micro-perspective on the money market, looking in particular at trading behaviour in the overnight money market and its implications for the evolution of spreads.  \nA first version of this paper was presented at this workshop. The papers presented at the time of the workshop did not consider the potential implications of the financial turmoil for the results of the paper, given that the tensions in money markets emerged in August 2007. The published version of these papers represents an update of the original paper, which incorporates the discussion which took place at the workshop and in most cases a discussion on the developments in the money markets since August 2007.  \n© European Central Bank, 2008  \nAddress  \nKaiserstrasse 29  \n60311 Frankfurt am Main, Germany  \nPostal address  \nPostfach 16 03 19  \n60066 Frankfurt am Main, Germany  \nTelephone  \n+49 69 1344 0  \nWebsite  \n[http://www.ecb.europa.eu](http://www.ecb.europa.eu)  \nFax  \n+49 69 1344 6000  \nAll rights reserved.  \nAny reproduction, publication andreprint in the form of a different publication, whether printed or produced electronically, in whole or in part, is permitted only with the explicit written authorisation of the ECB or the author(s).  \nThe views expressed in this paper do not necessarily reflect those of the European Central Bank.  \nThe statement of purpose for the ECB Working Paper Series is available from the ECB website, [http://www.ecb.europa](http://www.ecb.europa).  \neu/pub/scientific/wps/date/html/index .  \nen.html  \nISSN 1561-0810 (print)  \nISSN 1725-2806 (online)  \nCONTENTS  \nAbst","cbCaipuC6yFXV8TC","https://ap.wps.com/l/cbCaipuC6yFXV8TC","pdf",1218823,42,"English","# Abstract\n## 1 Introduction\n## 2 Estimation of latent dynamic factors capturing market expectations\n## 3 Evaluating price discovery using a reduced-form model\n## 4 Extracting market expectations using a structural time-series model\n## 5 Concluding remarks\n## References\n## Tables and Figures","[{\"question\":\"What period and macro questions does the paper focus on?\",\"answer\":\"The paper analyzes market expectations about the Japanese economy and the BOJ’s policy stance from end-March 2006 onward, after quantitative easing ends. It targets expectations embedded in augmented yen yield curves.\"},{\"question\":\"Which data and yield-curve augmentations are used?\",\"answer\":\"It uses swap yield curves augmented by OIS interest rates (OIS/Swap) and the JGB yield curve augmented by FB/TB interest rates (FB/TB/JGB). These augmentations incorporate money market interest rate information.\"},{\"question\":\"How does the paper identify and interpret market expectations?\",\"answer\":\"It applies the Nelson-Siegel model to estimate three latent dynamic factors interpreted as market expectations. It further evaluates how price discovery differs across factors and decomposes each factor into efficient price and idiosyncratic components using a structural time-series model.\"}]","ECB Workshop On The Analysis Of The Money Market - No 980 - Extracting Market Expectations From Yield Curves Augmented By Money Market Interest Rates, The Case Of Japan | PDF",106]