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 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 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 Factors in the Term Structure of Interest Rates written by Mirko Abbritti and published by International Monetary Fund. This book was released on 2013-11-05 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.

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 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 The Term Structure of Interest Rates in the Onshore Markets of the United States Germany and Japan written by Helen Popper and published by . This book was released on 1990 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Role of Monetary Policy Uncertainty in the Term Structure of Interest Rates written by and published by . This book was released on 2010 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Coupon Effects and the Pricing of Japanese Government Bonds written by Young Ho Eom and published by . This book was released on 2009 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many markets, the term structure of interest rates implied by coupon Treasury bonds provides a key input for pricing and hedging interest rate-sensitive securities. Previous studies in the Japanese market, however, suggest that the prices of the Japanese Government Bonds (JGB's) were significantly affected modelling in the Japanese context bases on interest rate factors could leave to misleading results. Since the previous studies, there have been significant structural changes in the regulatory environment, and in the liquidity of the Japanese bond market in the 1990's. In this light, we examine the effect of these changes on the JGB prices during the period between 1990 and 1996, by analyzing the term structure of interest rates in the JGB market over time. Specifically, we use the B-spline method to fit the term structure of interest rates using weekly prices of quot;non-benchmarkquot; ten-year JGB's. We also use a non-linear econometric model to examine the significance of the quot;couponquot; effects, which are the results of regulatory, accounting and liquidity factors.

Download or read book Negative Interest Rates written by Luís Brandão Marques and published by International Monetary Fund. This book was released on 2021-03-03 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper focuses on negative interest rate policies and covers a broad range of its effects, with a detailed discussion of findings in the academic literature and of broader country experiences.

Download or read book Japanese Fixed Income Markets written by Jonathan Batten and published by Elsevier. This book was released on 2006-09-27 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structured in 4 parts: Macroeconomic Environmental Development, Credit Risk Measures and Management, Interest Rate Analysis and Market Integration sections; this book looks at the Japanese Fixed Income Market. It focuses on macroeconomic environmental developments, credit risk measures and management, interest rate analysis and market integration.

Download or read book Japanese Monetary Policy written by Kenneth J. Singleton and published by University of Chicago Press. This book was released on 2007-12-01 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: How has the Bank of Japan (BOJ) helped shape Japan's economic growth during the past two decades? This book comprehensively explores the relations between financial market liberalization and BOJ policies and examines the ways in which these policies promoted economic growth in the 1980s. The authors argue that the structure of Japan's financial markets, particularly restrictions on money-market transactions and the key role of commercial banks in financing corporate investments, allowed the BOJ to influence Japan's economic success. The first two chapters provide the most in-depth English-language discussion of the BOJ's operating procedures and policymaker's views about how BOJ actions affect the Japanese business cycle. Chapter three explores the impact of the BOJ's distinctive window guidance policy on corporate investment, while chapter four looks at how monetary policy affects the term structure of interest rates in Japan. The final two chapters examine the overall effect of monetary policy on real aggregate economic activity. This volume will prove invaluable not only to economists interested in the technical operating procedures of the BOJ, but also to those interested in the Japanese economy and in the operation and outcome of monetary reform in general.

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 Negative Interest Rate Policy NIRP written by Andreas Jobst and published by International Monetary Fund. This book was released on 2016-08-10 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero lower bound is less binding than previously thought. However, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher asset values and stronger aggregate demand. Further monetary accommodation may need to rely more on credit easing and an expansion of the ECB’s balance sheet rather than substantial additional reductions in the policy rate.

Download or read book The Role of Monetary Policy Uncertainty in the Term Structure of Interest Rates written by Junko Koeda and published by . This book was released on 2010 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We examine the effect of uncertainty arising from policy-shock volatility on yield-curve dynamics. In contrast to the assumption of many macro-finance models, policy-shock processes appear to be time varying and persistent. We allow for this heteroskedasticity by constructing a no-arbitrage GARCH affine term structure model, in which policy-shock volatility is defined as the conditional volatility of the error term in a Taylor rule. We find that an increase in monetary policy uncertainty raises the medium- and longer-term spreads in a model that incorporates macroeconomic dynamics."--Authors' abstract.

Download or read book Bank of Japan Monetary and Economic Studies written by and published by . This book was released on 2006 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: