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Testing the Expectations Hypothesis [electronic resource]: Some New Evidence for Japan

Daniel J. Thornton
Format
Computer Resource; Online
Published
Ann Arbor, Mich. Inter-university Consortium for Political and Social Research [distributor] 2005
Edition
2005-03-15
Series
ICPSR
ICPSR (Series)
Access Restriction
AVAILABLE. This study is freely available to the general public.
Abstract
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.Cf: http://doi.org/10.3886/ICPSR01306.v1
Contents
Dataset
Description
Mode of access: Intranet.
Notes
Title from ICPSR DDI metadata of 2016-02-11.
Series Statement
ICPSR 1306
ICPSR (Series) 1306
Other Forms
Also available as downloadable files.
Copyright Not EvaluatedCopyright Not Evaluated
Technical Details
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