Testing the expectations hypothesis: some new evidence for Japan

Daniel Thornton

Review, 2004, vol. 86, issue Sep, 40 pages

Abstract: The deregulation of the Japanese financial markets and the adoption of an interest rate policy instrument by the Bank of Japan prompted a number of empirical investigations of the expectation hypothesis (EH) of the term structures of interest rates in Japan. This paper is a continuation of this research. It deviates from the previous work on the EH in Japan in two respects. First, it tests the EH by estimating a general vector autoregression (VAR) of the long-term and short-term rates and testing the restrictions implied by the EH on the VAR using a Lagrange multiplier test. Second, the issue of stationarity of interest rates is considered. The paper not only considers the possibility that Japanese interest rates are nonstationary, but also analyzes the implications of nonstationarity for the EH.

Keywords: Monetary policy - Japan; Interest rates - Japan (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://files.stlouisfed.org/files/htdocs/publications/review/04/09/Thornton.pdf (application/pdf)

Related works:
Journal Article: Testing the Expectations Hypothesis: Some New Evidence for Japan (2004)
Working Paper: Testing the expectations hypothesis: some new evidence for Japan (2003)
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:fip:fedlrv:y:2004:i:sep:p:21-40:n:v.86no.5

Access Statistics for this article

Review is currently edited by Juan M. Sanchez

More articles in Review from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Scott St. Louis ().