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On the term structure of interest rates and inflation in Japan

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  • Nagayasu, Jun

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Article provided by Elsevier in its journal Journal of Economics and Business.

Volume (Year): 54 (2002)
Issue (Month): 5 ()
Pages: 505-523

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Handle: RePEc:eee:jebusi:v:54:y:2002:i:5:p:505-523

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Web page: http://www.elsevier.com/locate/jeconbus

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  1. James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
  2. Shiller, Robert J, 1973. "Rational Expectations and the Term Structure of Interest Rates: Comment," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 5(3), pages 856-60, August.
  3. Frederic S. Mishkin, 1988. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc.
  4. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(5), pages 513-529.
  5. Kim, Kenneth A. & Limpaphayom, Piman, 1997. "The effect of economic regimes on the relation between term structure and real activity in Japan," Journal of Economics and Business, Elsevier, Elsevier, vol. 49(4), pages 379-392.
  6. Stefan Gerlach & Frank Smets, 1997. "Exchange rate regimes and the expectations hypothesis of the term structure," BIS Working Papers 43, Bank for International Settlements.
  7. Hardouvelis, Gikas A., 1994. "The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 33(2), pages 255-283, April.
  8. Frankel, Jeffrey A & Lown, Cara S, 1994. "An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve along Its Entire Length," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 109(2), pages 517-30, May.
  9. Jorion, Philippe & Mishkin, Frederic, 1991. "A multicountry comparison of term-structure forecasts at long horizons," Journal of Financial Economics, Elsevier, Elsevier, vol. 29(1), pages 59-80, March.
  10. Newey, Whitney K & West, Kenneth D, 1987. "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 777-87, October.
  11. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 57(6), pages 1361-1401, November.
  12. Jones, David S. & Vance Roley, V., 1983. "Rational expectations and the expectations model of the term structure : A test using weekly data," Journal of Monetary Economics, Elsevier, Elsevier, vol. 12(3), pages 453-465, September.
  13. John Y. Campbell & Yasushi Hamao, 1993. "The Interest Rate Process and the Term Structure of Interest Rates in Japan," NBER Chapters, in: Japanese Monetary Policy, pages 95-120 National Bureau of Economic Research, Inc.
  14. Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9421, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  15. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
  16. repec:fth:bfdipa:20/99 is not listed on IDEAS
  17. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
  18. Modigliani, Franco & Shiller, Robert J, 1973. "Inflation, Rational Expectations and the Term Structure of Interest Rates," Economica, London School of Economics and Political Science, London School of Economics and Political Science, vol. 40(157), pages 12-43, February.
  19. Hsu, Chiente & Kugler, Peter, 1997. "The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates," Economics Letters, Elsevier, vol. 55(1), pages 115-120, August.
  20. Lanne, Markku, 1999. "Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift," Research Discussion Papers 20/1999, Bank of Finland.
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Cited by:
  1. Jun Nagayasu, 2003. "The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period," IMF Working Papers 03/208, International Monetary Fund.

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