کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9727816 | 1480210 | 2005 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The long-range dependence behavior of the term structure of interest rates in Japan
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The long-range dependence behavior of the term structure of interest rates in Japan The long-range dependence behavior of the term structure of interest rates in Japan](/preview/png/9727816.png)
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 350, Issues 2â4, 15 May 2005, Pages 418-426
Journal: Physica A: Statistical Mechanics and its Applications - Volume 350, Issues 2â4, 15 May 2005, Pages 418-426
نویسندگان
Benjamin M. Tabak, Daniel O. Cajueiro,