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No.76 (2008/9) >

Title :Bayesian Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates with Multiple Structural Breaks
Authors :杉田, 勝弘
Authors alternative :Sugita, Katsuhiro
Issue Date :Sep-2008
Abstract :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.
Type Local :紀要論文
ISSN :0557-580X
Publisher :琉球大学法文学部
URI :http://hdl.handle.net/20.500.12000/7487
Citation :琉球大学経済研究 no.76 p.35 -50
Appears in Collections:No.76 (2008/9)

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