Markov-switching variance models and structural changes underlying Japanese bond yields: An inquiry into non-linear dynamics

Takamitsu Kurita

The Journal of Economic Asymmetries, 2016, vol. 13, issue C, 74-80

Abstract: This study employs a Markov-switching variance method to model structural changes in Japan's long-term government bond data and reveals three state classifications according to time-varying influences from various factors on bond yields. It examines three internal factors—Japan's short-term interest rate, its inflation rate and stock returns—and one external factor—yields on the US long-term government bond. The results of this study highlight the non-linear nature of Japanese bond yields over approximately the past three decades.

Keywords: Markov-switching variance models; Structural; Changes; Non-linear dynamics; Long-term bond yields (search for similar items in EconPapers)
JEL-codes: C22 C50 E43 E44 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:13:y:2016:i:c:p:74-80

DOI: 10.1016/j.jeca.2016.03.001

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