Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9727816 | Physica A: Statistical Mechanics and its Applications | 2005 | 9 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Benjamin M. Tabak, Daniel O. Cajueiro,