This study is provided by ICPSR. ICPSR provides leadership and training in data access, curation, and methods of analysis for a diverse and expanding social science research community.
Testing the Expectations Hypothesis: Some New Evidence for Japan (ICPSR 1306)
Principal Investigator(s): Thornton, Daniel J., Federal Reserve Bank of St. Louis
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.
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.
These data are freely available.
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
Persistent URL: http://doi.org/10.3886/ICPSR01306.v1
This study was funded by:
- Federal Reserve Bank of St. Louis
Scope of Study
Subject Terms: economic conditions, interest rates
Geographic Coverage: Japan, Global
Data Collection Notes:
(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.
Original ICPSR Release: 2005-03-15
Related Publications (?)
- Citations exports are provided above.
Export Study-level metadata (does not include variable-level metadata)
If you're looking for collection-level metadata rather than an individual metadata record, please visit our Metadata Records page.