The long-range dependence behavior ofthe term structure ofinterest rates in Japan

Detalhes bibliográficos
Autor(a) principal: Tabak, Benjamin Miranda
Data de Publicação: 2005
Outros Autores: Cajueiro, Daniel Oliveira
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/296
https://repositorio.ucb.br:9443/jspui/handle/123456789/7521
Resumo: This paper presents an empirical evidence suggesting that Japanese interest rates for different maturities possess long-range dependence in both mean and volatility. For long-term bonds, predictability in the term structure ofinterest rates increases with maturity, suggesting that there exists a term premium. Furthermore, the dynamics ofshort-term interest rates (6 months) is very different from longer term bonds, as the former are anti-persistent, which implies that the zero-interest rate policy is perceived to be temporary.
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spelling Tabak, Benjamin MirandaCajueiro, Daniel Oliveira2016-10-10T03:51:46Z2016-10-10T03:51:46Z2005TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. The long-range dependence behavior of the term structure of interest rates in Japan. Physica, v. 350, n. 2, p. 418-426, 2005.http://twingo.ucb.br:8080/jspui/handle/10869/296https://repositorio.ucb.br:9443/jspui/handle/123456789/7521This paper presents an empirical evidence suggesting that Japanese interest rates for different maturities possess long-range dependence in both mean and volatility. For long-term bonds, predictability in the term structure ofinterest rates increases with maturity, suggesting that there exists a term premium. Furthermore, the dynamics ofshort-term interest rates (6 months) is very different from longer term bonds, as the former are anti-persistent, which implies that the zero-interest rate policy is perceived to be temporary.Made available in DSpace on 2016-10-10T03:51:46Z (GMT). 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dc.title.pt_BR.fl_str_mv The long-range dependence behavior ofthe term structure ofinterest rates in Japan
title The long-range dependence behavior ofthe term structure ofinterest rates in Japan
spellingShingle The long-range dependence behavior ofthe term structure ofinterest rates in Japan
Tabak, Benjamin Miranda
Emerging markets
Hurst exponent
GARCH
Long-range dependence
title_short The long-range dependence behavior ofthe term structure ofinterest rates in Japan
title_full The long-range dependence behavior ofthe term structure ofinterest rates in Japan
title_fullStr The long-range dependence behavior ofthe term structure ofinterest rates in Japan
title_full_unstemmed The long-range dependence behavior ofthe term structure ofinterest rates in Japan
title_sort The long-range dependence behavior ofthe term structure ofinterest rates in Japan
author Tabak, Benjamin Miranda
author_facet Tabak, Benjamin Miranda
Cajueiro, Daniel Oliveira
author_role author
author2 Cajueiro, Daniel Oliveira
author2_role author
dc.contributor.author.fl_str_mv Tabak, Benjamin Miranda
Cajueiro, Daniel Oliveira
dc.subject.por.fl_str_mv Emerging markets
Hurst exponent
GARCH
Long-range dependence
topic Emerging markets
Hurst exponent
GARCH
Long-range dependence
dc.description.abstract.por.fl_txt_mv This paper presents an empirical evidence suggesting that Japanese interest rates for different maturities possess long-range dependence in both mean and volatility. For long-term bonds, predictability in the term structure ofinterest rates increases with maturity, suggesting that there exists a term premium. Furthermore, the dynamics ofshort-term interest rates (6 months) is very different from longer term bonds, as the former are anti-persistent, which implies that the zero-interest rate policy is perceived to be temporary.
dc.description.status.pt_BR.fl_txt_mv Publicado
description This paper presents an empirical evidence suggesting that Japanese interest rates for different maturities possess long-range dependence in both mean and volatility. For long-term bonds, predictability in the term structure ofinterest rates increases with maturity, suggesting that there exists a term premium. Furthermore, the dynamics ofshort-term interest rates (6 months) is very different from longer term bonds, as the former are anti-persistent, which implies that the zero-interest rate policy is perceived to be temporary.
publishDate 2005
dc.date.issued.fl_str_mv 2005
dc.date.accessioned.fl_str_mv 2016-10-10T03:51:46Z
dc.date.available.fl_str_mv 2016-10-10T03:51:46Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
format article
dc.identifier.citation.fl_str_mv TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. The long-range dependence behavior of the term structure of interest rates in Japan. Physica, v. 350, n. 2, p. 418-426, 2005.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/296
https://repositorio.ucb.br:9443/jspui/handle/123456789/7521
identifier_str_mv TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. The long-range dependence behavior of the term structure of interest rates in Japan. Physica, v. 350, n. 2, p. 418-426, 2005.
url http://twingo.ucb.br:8080/jspui/handle/10869/296
https://repositorio.ucb.br:9443/jspui/handle/123456789/7521
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