This study examines the low–interest rate environment in Japan from mid-1990 to the end of 2020, using a dynamic Nelson–Siegel framework emphasizing the role of the decay factor. A regime-switching model estimates that the regime with low decay factor and bond yield volatility (“low” regime) has persisted since the early years of Bank of Japan's quantitative and qualitative monetary easing (QQE) policy. A shift away from the low regime can instantly increase the 10-year government bond yield by over 50 basis points by increasing the term premiums with little changes in the expected short rate.

中文翻译：

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日本的 Nelson-Siegel 衰减因子和期限溢价

本研究使用强调衰减因子作用的动态 Nelson-Siegel 框架考察了日本从 1990 年中期到 2020 年底的低利率环境。一种制度转换模型估计，自日本银行的量化和质化货币宽松 (QQE) 政策早期以来，具有低衰减因子和债券收益率波动率的制度（“低”制度）一直存在。通过增加期限溢价而预期短期利率几乎没有变化，摆脱低利率制度可以立即将 10 年期政府债券收益率提高 50 个基点以上。