Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks

Katsuhiro Sugita and 勝弘 杉田

No 2006-15, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: Term structure; Structural break; Cointegration; Bayesian inference; Gibbs sampling; Bayes factor (search for similar items in EconPapers)
JEL-codes: C11 C13 C32 E43 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2006-11
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2006-15

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