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Interest Rate Smoothing and Game-Varying Premium: Another Look at Debt Management in Japan

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  • Takeya, Y.
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    Abstract

    We argue a source of time-varying premium (TVTP) in Japanese government bond market, and show that it is interest rate smoothing that causes empirical failures of expectation theory of term structure of interest rates. We estimate a regime switching ARCH model where an interest rate smoothing regime can be identified. Based on a model of time-inconsistency by Missale and Blanchard (1994), we further focus on a role of debt maturity in TVTP, which is an alternative to an ARCH process.

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    Bibliographic Info

    Paper provided by Yale - Economic Growth Center in its series Papers with number 800.

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    Length: 30 pages
    Date of creation: 1999
    Date of revision:
    Handle: RePEc:fth:yalegr:800

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    Postal: U.S.A.; YALE UNIVERSITY, ECONOMIC GROWTH CENTER, YALE STATION NEW-HAVEN CONNECTICUT 06520 U.S.A
    Phone: (203) 432-3610
    Fax: (203) 432-3898
    Web page: http://www.econ.yale.edu/~egcenter/
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    Related research

    Keywords: INTEREST RATE ; DEBT ; ECONOMIC MODELS;

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