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

Published: Mar 15, 2005

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

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

Version V1

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.

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

Export Citation:

  • RIS (generic format for RefWorks, EndNote, etc.)
  • EndNote

Federal Reserve Bank of St. Louis

(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.

2005-03-15

2005-03-15

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.

ICPSR logo

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.