The long-range dependence behavior of the term structure of interest rates in Japan

Benjamin Tabak and Daniel Cajueiro

Physica A: Statistical Mechanics and its Applications, 2005, vol. 350, issue 2, 418-426

Abstract: This paper presents an empirical evidence suggesting that Japanese interest rates for different maturities possess long-range dependence in both mean and volatility. For long-term bonds, predictability in the term structure of interest rates increases with maturity, suggesting that there exists a term premium. Furthermore, the dynamics of short-term interest rates (6 months) is very different from longer term bonds, as the former are anti-persistent, which implies that the zero-interest rate policy is perceived to be temporary.

Keywords: Emerging markets; Hurst exponent; GARCH; Long-range dependence (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437104014967
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:phsmap:v:350:y:2005:i:2:p:418-426

DOI: 10.1016/j.physa.2004.11.048

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().