This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
The Term Structure of Interest Rates and Monetary Policy During A Zero-Interest-Rate Period Author info | Abstract | Publisher info | Download info | Related research | Statistics Jun Nagayasu
Additional information is available for the following
registered author(s):
This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When interest rates are low, the usefulness of the model declines, since the interest spread contains little information that can be used for predicting future economic activity. The term-structure relationship is also weakened by the Bank of Japan's use of interest rate smoothing.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by International Monetary Fund in its series IMF Working Papers with number
03/208.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length: 30 pages
Date of creation: 12 Nov 2003Date of revision:
Handle: RePEc:imf:imfwpa:03/208Contact details of provider: Postal: International Monetary Fund, Washington, DC USA Phone: (202) 623-7000 Fax: (202) 623-4661 Email: Web page: http://www.imf.org/external/pubind.htm More information through EDIRC
Order Information: Web: http://www.imf.org/external/pubs/pubs/ord_info.htm
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Monetary policy ; Interest rates ; Economic models ; Other versions of this item:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Newey, Whitney K & West, Kenneth D, 1987.
"A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix ,"
Econometrica ,
Econometric Society, vol. 55(3), pages 703-08, May.
[Downloadable!] (restricted)
Other versions: Hansen, Lars Peter, 1982.
"Large Sample Properties of Generalized Method of Moments Estimators ,"
Econometrica ,
Econometric Society, vol. 50(4), pages 1029-54, July.
[Downloadable!] (restricted)
R. Kato & S. Nishiyama, 2002.
"Optimal Monetary Policy When Interest Rates are Bounded at Zero ,"
Computing in Economics and Finance 2002
8, Society for Computational Economics.
[Downloadable!]
Other versions:
Ryo Kato & Shinichi Nishiyama, 2001.
"Optimal Monetary Policy When Interest Rates are Bound at Zero ,"
Working Papers
01-12, Ohio State University, Department of Economics.
[Downloadable!] Kato, Ryo & Nishiyama, Shin-Ichi, 2005.
"Optimal monetary policy when interest rates are bounded at zero ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 29(1-2), pages 97-133, January.
[Downloadable!] (restricted) Reifschneider, David & Willams, John C, 2000.
"Three Lessons for Monetary Policy in a Low-Inflation Era ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 32(4), pages 936-66, November.
James MacKinnon, 1990.
"Critical Values for Cointegration Tests ,"
University of California at San Diego, Economics Working Paper Series
90-4, Department of Economics, UC San Diego.
[Downloadable!]
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, vol. 49(4), pages 379-392.
[Downloadable!] (restricted)
Stephen G. Cecchetti, 1989.
"The Case of the Negative Nominal Interest Rates: New Estimates of the Term Structure of Interest Rates During the Great Depression ,"
NBER Working Papers
2472, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Bennett T. McCallum, 1994.
"Monetary Policy and the Term Structure of Interest Rates ,"
NBER Working Papers
4938, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: David Reifschneider & John C. Williams, 2000.
"Three lessons for monetary policy in a low-inflation era ,"
Conference Series ; [Proceedings] ,
Federal Reserve Bank of Boston, pages 936-978.
Other versions: Marvin Goodfriend, 2001.
"Financial stability, deflation, and monetary policy ,"
Working Paper
01-01, Federal Reserve Bank of Richmond.
[Downloadable!]
Other versions:
Goodfriend, Marvin, 2001.
"Financial Stability, Deflation, and Monetary Policy ,"
Monetary and Economic Studies ,
Institute for Monetary and Economic Studies, Bank of Japan, vol. 19(S1), pages 143-67, February.
[Downloadable!] Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996.
"Efficient Tests for an Autoregressive Unit Root ,"
Econometrica ,
Econometric Society, vol. 64(4), pages 813-36, July.
[Downloadable!] (restricted)
Other versions: Okina, Kunio & Shiratsuka, Shigenori, 2004.
"Policy commitment and expectation formation: Japan's experience under zero interest rates ,"
The North American Journal of Economics and Finance ,
Elsevier, vol. 15(1), pages 75-100, March.
[Downloadable!] (restricted)
Shiller, Robert J, 1979.
"The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure ,"
Journal of Political Economy ,
University of Chicago Press, vol. 87(6), pages 1190-1219, December.
[Downloadable!] (restricted)
Nagayasu, Jun, 2002.
"On the term structure of interest rates and inflation in Japan ,"
Journal of Economics and Business ,
Elsevier, vol. 54(5), pages 505-523.
[Downloadable!] (restricted)
Campbell, John Y & Shiller, Robert J, 1987.
"Cointegration and Tests of Present Value Models ,"
Journal of Political Economy ,
University of Chicago Press, vol. 95(5), pages 1062-88, October.
[Downloadable!] (restricted)
Other versions: Takeshi Kimura & Hiroshi Kobayashi & Jun Muranaga & Hiroshi Ugai, 2003.
"The effect of the increase in the monetary base of Japan's economy at zero interest rates: an empirical analysis ,"
BIS Papers chapters ,
in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 276-312
Bank for International Settlements.
[Downloadable!]
Daniel L. Thornton, 2003.
"Testing the expectations hypothesis: some new evidence for Japan ,"
Working Papers
2003-033, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions:
Daniel L. Thornton, 2004.
"Testing the expectations hypothesis: some new evidence for Japan ,"
Review ,
Federal Reserve Bank of St. Louis, issue Sep, pages 21-40.
[Downloadable!] Thornton, Daniel-L, 2004.
"Testing the Expectations Hypothesis: Some New Evidence for Japan ,"
Monetary and Economic Studies ,
Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(2), pages 45-69, May.
[Downloadable!] Kugler, Peter, 1997.
"Central Bank Policy Reaction and the Expectations Hypothesis of the Term Structure ,"
International Journal of Finance & Economics ,
John Wiley & Sons, Ltd., vol. 2(3), pages 217-24, July.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004.
"Monetary policy alternatives at the zero bound: an empirical assessment ,"
Finance and Economics Discussion Series
2004-48, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions:
Access and
download statistics Did you know? A tutorial is available.
This page was last updated on 2009-11-20.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .