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Interpreting Changes in the Volatility of Yields on Japnanese Long-term Bonds

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  • Kenneth J. Singleton

    (Professor, Graduate School of Business, Stanford University, U.S.A.)

Abstract

This paper investigates empirically the relations between changes in volatilities of holding period returns on JGBs and changes in U.S. interest rates and the yen/dollar exchange rate. Weekly and quarterly holding period returns are constructed for the period March 1986 through May 1988. Then quadratic and Fourier series approximations to the conditional variances of these yields are estimated. Significant variation in the conditional variances of holding period returns is documented. These results are interpreted in the light of the changing patterns of trading volumes and capital flows between the U.S. and Japan in the 1980s.

Suggested Citation

  • Kenneth J. Singleton, 1990. "Interpreting Changes in the Volatility of Yields on Japnanese Long-term Bonds," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 8(1), pages 49-77, January.
    • Handle: RePEc:ime:imemes:v:8:y:1990:i:1:p:49-77
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    File URL: http://www.imes.boj.or.jp/research/papers/english/me8-1-2.pdf
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    Cited by:

    1. 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.

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