The Japanese Term Structure of Interest Rates
Author : Gary Stephen Shea
Publisher :
Page : 286 pages
File Size : 44,21 MB
Release : 1982
Category : Debt
ISBN :
Author : Gary Stephen Shea
Publisher :
Page : 286 pages
File Size : 44,21 MB
Release : 1982
Category : Debt
ISBN :
Author : Mr.Jun Nagayasu
Publisher : International Monetary Fund
Page : 32 pages
File Size : 38,77 MB
Release : 2003-10-01
Category : Business & Economics
ISBN : 1451874723
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 :
Page : 64 pages
File Size : 50,70 MB
Release : 1991
Category :
ISBN :
Author : Gary Stephen Shea
Publisher :
Page : 256 pages
File Size : 10,46 MB
Release : 1982
Category :
ISBN :
Author : K. C. Chan
Publisher :
Page : 15 pages
File Size : 33,33 MB
Release : 1991
Category : Interest rates
ISBN :
Author :
Publisher :
Page : 29 pages
File Size : 49,90 MB
Release : 1990
Category :
ISBN :
Author : Yoichi Ueno
Publisher :
Page : 0 pages
File Size : 21,80 MB
Release : 2017
Category :
ISBN :
Author : Helen Popper
Publisher :
Page : 29 pages
File Size : 18,27 MB
Release : 1990
Category :
ISBN :
Author : Takayasu Ito
Publisher :
Page : 216 pages
File Size : 50,65 MB
Release : 2005
Category : Interest rates
ISBN :
Author : Kenneth Kim
Publisher :
Page : 0 pages
File Size : 34,49 MB
Release : 1997
Category :
ISBN :
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.