Testing the Expectations Hypothesis: Some New Evidence for Japan (ICPSR 1306)

Version Date: Mar 15, 2005

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Principal Investigator(s):
Daniel J. Thornton, Federal Reserve Bank of St. Louis

https://doi.org/10.3886/ICPSR01306.v1

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Summary

The deregulation of the Japanese financial markets and the adoption of an interest rate policy instrument by the Bank of Japan prompted a number of empirical investigations of the expectation hypothesis (EH) of the term structures of interest rates in Japan. This paper is a continuation of this research. It deviates from the previous work on the EH in Japan in two respects. First, it tests the EH by estimating a general vector autoregression (VAR) of the long-term and short-term rates and testing the restrictions implied by the EH on the VAR using a Lagrange multiplier test. Second, the issue of stationarity of interest rates is considered. The paper not only considers the possibility that Japanese interest rates are nonstationary, but also analyzes the implications of nonstationarity for the EH.

Citation

Thornton, Daniel J. Testing the Expectations Hypothesis:  Some New Evidence for Japan. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2005-03-15. https://doi.org/10.3886/ICPSR01306.v1

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Funding

Federal Reserve Bank of St. Louis

Subject Terms

Geographic Coverage

Distributor(s)

Inter-university Consortium for Political and Social Research
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Data Collection Notes

  1. (1) Files submitted are the data files 0409dtd.wf1 and 0409dtd.txt and the program file 0409dtp.txt. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.

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Original Release Date

2005-03-15

Version History

2018-02-15 The citation of this study may have changed due to the new version control system that has been implemented. The previous citation was:
  • Thornton, Daniel J. Testing the Expectations Hypothesis: Some New Evidence for Japan. ICPSR01306-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2005-03-15. http://doi.org/10.3886/ICPSR01306.v1
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Notes

  • These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

  • The public-use data files in this collection are available for access by the general public. Access does not require affiliation with an ICPSR member institution.