Japan's Fiscal Duration: A Measurement Architecture for Contractual Refinancing Exposure and the BOJ Balance Sheet

Abstract

This paper measures how quickly higher interest rates can pass through Japan’s government debt and the Bank of Japan’s balance sheet without treating those channels as one consolidated fiscalcost estimate. It separates four objects: the contractual maturity profile of the Ministry of Finance debt file, the maturity profile of fixed-rate Japanese government bonds held by the Bank of Japan, a mechanical refinancing benchmark, and the BOJ’s reported income and remittance accounts. The main contribution is quantitative: it shows how common shortcuts change the measured exposure. At 31 March 2026, the archived Ministry of Finance maturity file contains 1,104.3 trillion yen of recorded principal. Exact-date horizons place 13.4%, 30.3%, 43.6%, and 67.1% of that principal within one, three, five, and ten years. The corresponding fixed-rate BOJ holdings subtotal is 521.8 trillion yen, with 14.4%, 37.3%, 55.1%, and 83.1% maturing over the same horizons. Across 37 BOJ snapshots from March 2025 to March 2026, these maturity shares remain in narrow ranges even as fixed-rate holdings decline by 40.7 trillion yen. Under a 100-basis-point shock, multiplying the entire recorded stock by the rate change and horizon exceeds the contractual refinancing benchmark by factors of 24.7, 7.7, 4.9, and 2.9 at the four horizons. Directly subtracting BOJ holdings from an inconsistently scoped government balance produces negative amounts for 13 individual issues, while a scope-consistent book-entry balance removes every negative value. The BOJ accounting evidence leads to the same conclusion. From FY2020 through FY2025, the difference between reported JGB interest income and reserve remuneration never equals BOJ net income or the government payment. In FY2025 that local difference is -0.192 trillion yen, while BOJ net income is 1.926 trillion yen and the government payment is 1.830 trillion yen. The evidence supports a reproducible measurement architecture, but not a causal estimate or a single consolidated government-BOJ cash cost.

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