An Econometric Analysis of Japanese Government Bond Markets in the Prewar and Postwar Periods

Hiroshi Kamae
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Hiroshi Kamae: Tokyo Keizai University, Japan

Chapter 7 in Studies on Financial Markets in East Asia, 2011, pp 101-119 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper investigates whether Japanese Government bond (JGB) markets in the pre and postwar periods were efficient. Is the pure expectations hypothesis regarding the term structure of interest rates applicable in this case? After a brief explanation of the JGB and money markets, we examine this hypothesis econometrically using Dai 1-kai shi-buri kousai (First series of 4% coupon government bonds), Kougou go-buri kousai (Kougou 5% government bond) in the prewar period and 10 year long-term bonds in the postwar period. Empirical tests show that the expectations hypothesis is rejected for both periods.

Keywords: Financial Market; Foreign Exchange Rate; Sub-prime Crisis; Real Estate Market; Relationship Banking; Dividend and Share; Stock Market; Government Bond; Hedging; IPO; Return; Volatility; Liquidity; Risk Attitude; Investment Behavior; Fund Managers (search for similar items in EconPapers)
Date: 2011
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