Revisiting the expectations hypothesis: The Japanese term structure and regime shifts

Xiaoneng Zhu

Journal of Economics and Business, 2011, vol. 63, issue 3, 237-249

Abstract: This paper re-examines the expectations hypothesis of the Japanese term structure along two dimensions: (a) allowing regime shifts in interest rate dynamics; (b) introducing macroeconomic factors as conditioning information. The empirical analysis suggests that the expectations hypothesis is an inadequate description of the Japanese term structure even after taking account of regime shifts. However, I find that regime shift is a salient feature of the Japanese term structure and regimes are intimately related to economic activities.

Keywords: Expectations; hypothesis; Macro; factors; Regime; shifts; Term; structure; The; Wald; test (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0148-6195(11)00002-6
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:63:y:2011:i:3:p:237-249

Access Statistics for this article

Journal of Economics and Business is currently edited by Emanuele Bajo and Moritz Ritter

More articles in Journal of Economics and Business from Elsevier
Bibliographic data for series maintained by Catherine Liu ().