Download or read book An Examination of the Evolving Relationship Between Interest Rates of Different Maturities in Japan and Test of the Expectations Hypothesis of the Term Structure to Ascertain the Feasibility of Using Asymmetric Dynamics in Yield Spreads written by Shew-Huei Kuo and published by . This book was released on 2000 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of the study was to examine the evolving relationship between interest rates of different maturities in Japan, allowing for possible asymmetrical movements toward a long-run equilibrium rather than use of the traditional analysis of symmetrical movements. The relationship among interest rates of different maturities has been extensively studied with mixed results. This research provides empirical evidence concerning the properties of interest rate term structure using Japan's data from 1980 to 1998. The study employed the testing methodologies which permit asymmetry in the adjustment toward equilibrium in the threshold autoregressive and the momentum-threshold autoregressive specifications. The test results support the expectations hypothesis of the term structure of interest rate. It was shown that the error correction toward the long-run equilibrium relationship is best estimated as an asymmetric process.
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2000 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Economic Literature written by and published by . This book was released on 2000 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Japanese Term Structure of Interest Rates written by Gary Stephen Shea and published by . This book was released on 1982 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book American Doctoral Dissertations written by and published by . This book was released on 1999 with total page 848 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing the Expectations Hypothesis written by Daniel L. Thornton and published by . This book was released on 2004 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Term Structure of Interest Rates and Monetary Policy During a Zero Interest Rate Period written by Mr.Jun Nagayasu and published by International Monetary Fund. This book was released on 2003-10-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When interest rates are low, the usefulness of the model declines, since the interest spread contains little information that can be used for predicting future economic activity. The term-structure relationship is also weakened by the Bank of Japan's use of interest rate smoothing.
Download or read book Monetary Policy and the Term Structure of Interest Rates in Japan written by John Y. Campbell and published by . This book was released on 1991 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interest Rates and Monetary Policy in Japan written by Takayasu Ito and published by . This book was released on 2005 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fisher Hypothesis in Japan written by Takayasu Ito and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the validity of the Fisher hypothesis in Japanese long-term interest rates (two, three, four, five, seven and ten years) using non-stationary time series models. Initially, the entire sample period (October 1987-June 2006) is investigated. Then the samples, divided into three segments depending on each period's monetary policy regimes, are investigated. Thus, the asymmetric impacts of inflation expectation on Japanese long-term interest rates can be investigated. The first period examined is from October 1987-June 1991. The second period is from July 1991-July 2000. The third period is from March 2001-June 2006. In the first period monetary policy is tightening, but in the second and third periods it is easing. Thus it is concluded that the Fisher hypothesis is valid only in all maturities of long-term interest rates in the first period. However, it does not hold in any of the maturities in the entire sample period or in the second and third periods.
Download or read book Outlook for Interest Rates and Japanese Banks Risk Exposures under Abenomics written by Mr.Serkan Arslanalp and published by International Monetary Fund. This book was released on 2013-10-18 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how Japan’s long-term interest rates and Japanese banks’ interest rate risk exposures may evolve under Abenomics. Results from a panel regression analysis for major advanced economies shows that long-term government bond yields in Japan are determined to a large extent by growth and inflation outlook, fiscal conditions, demography, and the investor base of government securities. A further deterioration of fiscal conditions would push up long-term rates by about 2 percentage points over the medium term, but the rise is partly offset by higher demand for safe assets amid population aging and increased purchases by the Bank of Japan. At the same time, illustrative scenarios suggest the interest rate risk exposure of Japanese banks could decline substantially over the next two years. However, if structural and fiscal reforms are incomplete, both long-tem yields and interest-risk exposures of Japanese banks could increase over the medium term.
Download or read book Testing the Expectations Hypothesis written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The deregulation of the Japanese financial markets and the adoption of an interest rate policy instrument by the Bank of Japan prompted a number of empirical investigations of the expectation hypothesis (EH) of the term structures of interest rates in Japan. This paper is a continuation of this research. It deviates from the previous work on the EH in Japan in two respects. First, it tests the EH by estimating a general vector autoregression (VAR) of the long-term and short-term rates and testing the restrictions implied by the EH on the VAR using a Lagrange multiplier test. Second, the issue of stationarity of interest rates is considered. The paper not only considers the possibility that Japanese interest rates are nonstationary, but also analyzes the implications of nonstationarity for the EH.
Download or read book Revisiting the Expectations Hypothesis of the Term Structure of Interest Rates written by George Bulkley and published by . This book was released on 2008 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The expectations hypothesis of the term structure has been decisively rejected by a large empirical literature that spans several decades. In this paper, using a newly constructed dataset of synthetic zero coupon bond yields, we show that evidence against the expectations hypothesis became very much weaker following the widespread acceptance of its empirical failure to describe the behavior of interest rates in the early 1990s. Indeed, in the period 1991-2004, the expectations hypothesis cannot be rejected for most bond maturities. These results are consistent with the idea that asset pricing anomalies tend to disappear once they are widely recognized.
Download or read book The Volatility of Japanese Interest Rates written by K. C. Chan and published by . This book was released on 1991 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Trends 2040 written by National Intelligence Council and published by Cosimo Reports. This book was released on 2021-03 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The ongoing COVID-19 pandemic marks the most significant, singular global disruption since World War II, with health, economic, political, and security implications that will ripple for years to come." -Global Trends 2040 (2021) Global Trends 2040-A More Contested World (2021), released by the US National Intelligence Council, is the latest report in its series of reports starting in 1997 about megatrends and the world's future. This report, strongly influenced by the COVID-19 pandemic, paints a bleak picture of the future and describes a contested, fragmented and turbulent world. It specifically discusses the four main trends that will shape tomorrow's world: - Demographics-by 2040, 1.4 billion people will be added mostly in Africa and South Asia. - Economics-increased government debt and concentrated economic power will escalate problems for the poor and middleclass. - Climate-a hotter world will increase water, food, and health insecurity. - Technology-the emergence of new technologies could both solve and cause problems for human life. Students of trends, policymakers, entrepreneurs, academics, journalists and anyone eager for a glimpse into the next decades, will find this report, with colored graphs, essential reading.
Download or read book The Effect of Economic Regimes on the Relation Between Term Structure and Real Activity in Japan written by Kenneth Kim and published by . This book was released on 1997 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Note: This is a description of the paper, not the abstract. Previous research finds that the Japanese term structure of interest rates, as defined by the long-term interest rate minus the short-term interest rate, fails to predict future Japanese economic activity, as defined by changes in GDP. The failure to find a relationship between the two variables is surprising because in almost all other developed economies, a positive relationship is prevalent. Our paper makes two key contributions to the literature. First, we offer an explanation for the inability of prior research to find a positive relationship between these two variables. Specifically, we describe the existence of two distinct economic regimes that have existed in Japan's recent history. During the period from 1975 to 1983, Japanese authorities tightly regulated interest rates and restricted financial market activities. In contrast, the period from 1984 to 1991 represents a time of financial market liberalization. Therefore, we contend that the term structure contains un-informative information for predicting economic activity in the first period, but that the market forces that were allowed to prevail in the latter period should permit the well known positive relationship between these two variables to persist. Overall, we do find a positive relationship between the term structure and economic activity in the latter period of our study, while no significant relationship emerges from the first period. These findings are consistent with our hypothesis. Finally, the second main contribution of our paper is that we employ a generalized method of moments (GMM) methodology to conduct our study. This methodology represents an improvement over prior term structure studies.
Download or read book What Drives the Japanese Yen Eurobond Term Structure of Japanese Bonds written by Jonathan A. Batten and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the long-run equilibrium implications of the Expectations Hypothesis of the term structure on different maturities of high-grade yen Eurobonds and Japanese Government Bonds (JGBs) using the Canonical Cointegrating Regression (CCR) technique developed by Park [Econometrica 60 (1992) 119]. Consistent with the Expectations Hypothesis, there is some evidence of long-run equilibrium relationship between JGBs and high-grade yen Eurobonds. Furthermore, the most liquid, long-term JGBs tend to drive the yen Eurobond term structure, with short-term yields adjusting to movements in the long-term yields.
