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The term structure of Japanese interest rates:: The equilibrium spread with asymmetric dynamics

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  • Kuo, Shew-Huei
  • Enders, Walter

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Bibliographic Info

Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

Volume (Year): 18 (2004)
Issue (Month): 1 (March)
Pages: 84-98

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Handle: RePEc:eee:jjieco:v:18:y:2004:i:1:p:84-98

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Web page: http://www.elsevier.com/locate/inca/622903

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References

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  1. Enders, Walter & Granger, C. W. J., 1998. "Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Staff General Research Papers, Iowa State University, Department of Economics 1388, Iowa State University, Department of Economics.
  2. Richard Clarida & Jordi Gali & Mark Gertler, 1997. "Monetary Policy Rules in Practice: Some International Evidence," NBER Working Papers 6254, National Bureau of Economic Research, Inc.
  3. Timothy Cook & Thomas Hahn, 1990. "Interest rate expectations and the slope of the money market yield curve," Economic Review, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Sep, pages 3-26.
  4. Rudebusch, Glenn D., 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Journal of Monetary Economics, Elsevier, Elsevier, vol. 35(2), pages 245-274, April.
  5. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
  6. Enders, Walter & Siklos, Pierre L, 2001. "Cointegration and Threshold Adjustment," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 19(2), pages 166-76, April.
  7. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 74(1), pages 116-26, February.
  8. N. Gregory Mankiw & Jeffrey A. Miron, 1985. "The Changing Behavior of the Term Structure of Interest Rates," NBER Working Papers 1669, National Bureau of Economic Research, Inc.
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Cited by:
  1. Offermanns, Christian J. & Nautz, Dieter, 2006. "The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre 2006,01, Deutsche Bundesbank, Research Centre.
  2. Jardet, C. & Le Fol, G., 2007. "Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework," Working papers, Banque de France 167, Banque de France.
  3. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2010. "The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian Economies," Discussion Paper Series, Department of Economics, University of Macedonia 2010_18, Department of Economics, University of Macedonia, revised Nov 2009.
  4. Aksoy Yunus & Leon-Ledesma Miguel A., 2008. "Non-Linearities and Unit Roots in G7 Macroeconomic Variables," The B.E. Journal of Macroeconomics, De Gruyter, De Gruyter, vol. 8(1), pages 1-44, February.
  5. Daiki Maki, 2006. "Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(17), pages 1301-1307.
  6. Beirne, John, 2012. "The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(3), pages 534-551.
  7. Marco R Barassi & Dayong Zhang, 2009. "Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates," Discussion Papers, Department of Economics, University of Birmingham 09-17, Department of Economics, University of Birmingham.
  8. Mark Holmes & Ping Wang, 2006. "Asymmetric adjustment towards long-run PPP: Some new evidence for Asian economies," International Economic Journal, Taylor & Francis Journals, Taylor & Francis Journals, vol. 20(2), pages 161-177.

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