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Testing the Expectations Hypothesis : Some New Evidence for Japan

Author: Inter-university Consortium for Political and Social Research.
Publisher: Ann Arbor, Mich. : Inter-university Consortium for Political and Social Research [distributor], 2005.
Series: ICPSR (Series), 1306.
Edition/Format:   Computer file : EnglishView all editions and formats
Summary:
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  Read more...
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Material Type: Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Inter-university Consortium for Political and Social Research.
OCLC Number: 70890056
Notes: Title from ICPSR DDI metadata of 2006-07-25.
Details: Mode of access: Internet.
Series Title: ICPSR (Series), 1306.
Responsibility: Daniel J. Thornton.

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.

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