Replication data for a 2026 study by Brian Peters on the Bank of Japan's yield curve control exit. The dataset contains 9,835 daily Japanese Government Bond (JGB) observations from the Ministry of Finance Japan, spanning from 1986 to 2026. It is used to estimate cumulative abnormal yield responses across six BOJ policy events.
Use Cases
- Conducting an event study on central bank policy announcements based on the described six BOJ events.
- Analyzing the relationship between demographic-fiscal risk and sovereign bond yields based on the safe asset cliff hypothesis.
- Estimating abnormal yield changes using a market model with a U.S. benchmark as described in the study.
- Validating out-of-sample predictions of demographic yield gaps as referenced in the description.
Strengths
- Contains 9,835 daily observations providing a long-term time series from 1986 to 2026.
- Study reports a statistically significant cumulative abnormal JGB yield increase of +46.5 basis points across six events.
- Data is sourced from the authoritative Ministry of Finance Japan.
Limitations
- Column-level documentation is absent; field semantics must be inferred after download.
- Row count for the final analysis dataset is unknown, which may limit suitability assessment.
- Description metadata is limited; actual data quality and file formats require manual inspection after download.
Provenance
- Source
- Ministry of Finance Japan (MOF)
- Collection Method
- Likely collected from official government sources for financial market analysis.
- Time Range
- 1986-2026
- Freshness
- Last updated 2026-06-09 18:01:34; freshness should be verified.
- Geography
- Japan