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The Interest Rate Process and the Term Structure of Interest Rates in Japan

In: Japanese Monetary Policy

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  • John Y. Campbell
  • Yasushi Hamao

Abstract

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Suggested Citation

  • 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.
  • Handle: RePEc:nbr:nberch:7459
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Hodrick, Robert J, 1992. "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 357-386.
    3. Richardson, Matthew & Stock, James H., 1989. "Drawing inferences from statistics based on multiyear asset returns," Journal of Financial Economics, Elsevier, vol. 25(2), pages 323-348, December.
    4. N. Gregory Mankiw & Jeffrey A. Miron, 1986. "The Changing Behavior of the Term Structure of Interest Rates," The Quarterly Journal of Economics, Oxford University Press, vol. 101(2), pages 211-228.
    5. Mishkin, Frederic S., 1990. "What does the term structure tell us about future inflation?," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 77-95, January.
    6. Jorion, Philippe & Mishkin, Frederic, 1991. "A multicountry comparison of term-structure forecasts at long horizons," Journal of Financial Economics, Elsevier, vol. 29(1), pages 59-80, March.
    7. Frederick R. Macaulay, 1938. "Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856," NBER Books, National Bureau of Economic Research, Inc, number maca38-1, June.
    8. Peter Kugler, 1988. "An Empirical Note on the Term Structure and Interest Rate Stabilization Policies," The Quarterly Journal of Economics, Oxford University Press, vol. 103(4), pages 789-792.
    9. 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.
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    Citations

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    Cited by:

    1. 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.
    2. Zhu, Xiaoneng, 2011. "Revisiting the expectations hypothesis: The Japanese term structure and regime shifts," Journal of Economics and Business, Elsevier, vol. 63(3), pages 237-249, May.
    3. Hiraki, Takato & Takezawa, Nobuya, 1997. "How sensitive is short-term Japanese interest rate volatility to the level of the interest rate?," Economics Letters, Elsevier, vol. 56(3), pages 325-332, November.
    4. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-355, July.
    5. 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.
    6. Kuo, Shew-Huei, 2000. "An examination of the evolving relationship between interest rates of different maturities in Japan, and test of the expectations hypothesis of the term structure to ascertain the feasibility of using," ISU General Staff Papers 2000010108000014910, Iowa State University, Department of Economics.

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