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Finding Historical Japanese Government Bond Yield Data

Article Quant Q&A · Author: BEN LENZ
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Summary

The document addresses a data gap for research using Japanese government bond rates: the questioner needs long histories for three-month, five-year, and ten-year maturities, using free sources. Bloomberg and Capital IQ are ruled out by the stated data constraints. The accepted answer points to Japan’s Ministry of Finance (MOF), which provides daily fitted JGB rates with historical coverage beginning in 1974.

The key limitation is tenor coverage: the MOF series described starts at a one-year maturity, so it does not directly solve the request for three-month or five-year rates. The answer offers no alternative source for those tenors, no download or construction method, and no assessment of the fitted rates. Researchers should therefore treat it as a useful lead for longer-maturity history, rather than a complete solution for the requested curve.

Key ideas

  • Japan’s Ministry of Finance provides daily fitted government bond rates with historical coverage beginning in 1974.
  • The shortest tenor in the cited series is one year.
  • The source therefore does not directly address the need for three-month or five-year rates.

Tags

Fixed incomeStatistics
Full text
# Help finding free Japanese Government bond data


# Help finding free Japanese Government bond data












Hey so I'm looking to use Japanese bond rates for the 3-month, 5-year, and 10 year government bonds going back 20 years or so. Unfortunately I'm presenting this in a context where I have to use free (mostly government) data sources, so Bloomberg or CapIQ are out. I've found stuff for the 10 year rate but I'm totally stuck on the 5 year and 3-month rate going further back than a few months any suggestions?

Thanks!

## Answer by Helin (score 0, accepted)

https://quant.stackexchange.com/a/34882

MOF provides daily fitted JGB rates since 1974: Historical Data (1974~), but the shortest tenor is 1-year.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.