Yield Spreads and Short-Term Interest Rate Movements in the Tokyo Money Market and the Actions of the Bank of Japan: November 1993 to March 1996
This paper evaluates the predictive powerof the term structure of short-temr interest rates in the Tokyo money market. The econometrics show tha the information contained in yield spreads affects the average short-term interest rates up to only three months at best. In addition, few 'settlement day' effects are discovered. This seems to be attributable to the fact that financial institutions accumulated 'required balances' and to the Bank of Japan's frequent recourse to market operations in an endeavour to control short-term interest rates.
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|Date of creation:||1998|
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