The Japanese Term Structure of Interest Rates PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Japanese Term Structure of Interest Rates PDF full book. Access full book title The Japanese Term Structure of Interest Rates by Gary Stephen Shea. Download full books in PDF and EPUB format.
Author: Gary Stephen Shea
Publisher:
ISBN:
Category : Debt
Languages : en
Pages : 286
Get Book Here
Book Description
Author: Gary Stephen Shea
Publisher:
ISBN:
Category : Debt
Languages : en
Pages : 286
Get Book Here
Book Description
Author: Mr.Jun Nagayasu
Publisher: International Monetary Fund
ISBN: 1451874723
Category : Business & Economics
Languages : en
Pages : 32
Get Book Here
Book Description
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.
Author: John Y. Campbell
Publisher:
ISBN:
Category :
Languages : en
Pages : 64
Get Book Here
Book Description
Author: Gary Stephen Shea
Publisher:
ISBN:
Category :
Languages : en
Pages : 256
Get Book Here
Book Description
Author: K. C. Chan
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 15
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
Get Book Here
Book Description
Author: Yoichi Ueno
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Helen Popper
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
Get Book Here
Book Description
Author: Takayasu Ito
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 216
Get Book Here
Book Description
Author: Kenneth Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
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.
