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Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks
http://hdl.handle.net/10086/16983
http://hdl.handle.net/10086/1698336982fd8-ca36-448c-abe8-e2463f70f03c
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
070econDP06-15.pdf (132590 bytes)
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| アイテムタイプ | デフォルトアイテムタイプ（フル）その２(1) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2017-05-20 | |||||||||
| タイトル | ||||||||||
| タイトル | Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks | |||||||||
| 言語 | en | |||||||||
| 作成者 |
杉田, 勝弘
× 杉田, 勝弘
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| アクセス権 | ||||||||||
| アクセス権 | open access | |||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Term structure | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Structural break | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Cointegration | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Bayesian inference | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Gibbs sampling | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Bayes factor | |||||||||
| 出版者 | ||||||||||
| 出版者 | Graduate School of Economics, Hitotsubashi University | |||||||||
| 日付 | ||||||||||
| 日付 | 2006-11 | |||||||||
| 日付タイプ | Issued | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||
| 資源タイプ | technical report | |||||||||
| 出版タイプ | ||||||||||
| 出版タイプ | VoR | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||
| 関連情報 | ||||||||||
| 関連タイプ | isPartOf | |||||||||
| 関連名称 | Discussion papers ; No. 2006-15 | |||||||||
| ページ数 | ||||||||||
| ページ数 | 31 | |||||||||
| JEL | ||||||||||
| 値 | C11 | |||||||||
| JEL | ||||||||||
| 値 | C13 | |||||||||
| JEL | ||||||||||
| 値 | C32 | |||||||||
| JEL | ||||||||||
| 値 | E43 | |||||||||
| 抄録（第三者提供不可） | ||||||||||
| 値 | This paper investigates the expectations hypothesis for the Japanese term structure of interest rates using vector error correction models with multiple structural breaks, focusing on how the breaks affect volatility, risk premium and speed of the adjustment toward the equilibrium. Using 1985-2005 data, we find strong evidence of three structural changes. After the second break point, the term structure relationship is found to be weakened with nearly zero percent short-term interest rate. This finding is consistent with the expectations hypothesis since with very low short-term interest rate the risk premium is dominant in determining long rates. | |||||||||
