Long-Term Interest Rates in Japan : Analysis of Japanese Government Bond and Interest Rate Swap

• Ito, Takayasu

抄録

This paper analyzes the relationship between Japanese Government Bond and Japanese Yen Interest Rate Swap markets. The whole sample is divided into two sub periods. Sample A is from January 4, 1994 through February 12, 1999. Sample B is from February 15, 1999 through June 30, 2006. In Sample A, Japanese Yen Interest Rate Swap rates are in the long run equilibrium with Japanese Government Bond yields in all maturities. In Sample B, Japanese Yen Interest Rate Swap rates are in the long run equilibrium with Japanese Government Bond yields only in the maturities from 2 years through 7 years. The market segmentation is observed in 10 years between Japanese Government Bond and Japanese Yen Interest Rate Swap markets in Sample B.

収録刊行物

• 新潟大学経済論集

  新潟大学経済論集 86 19-38, 2009-03

  新潟大学経済学会

キーワード

• Japanese Long Term Interest Rate
• Market Segmentation
• Cointegration

詳細情報

• CRID: 1050845764163925888
• NII論文ID: 120006740487
• NII書誌ID: AN00183269
• ISSN: 02861569
• HANDLE: 10191/7808
• NDL書誌ID: 10257997
• Web Site: https://niigata-u.repo.nii.ac.jp/records/27253
• Web Site: http://id.ndl.go.jp/bib/10257997
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I10257997
• 本文言語コード: en
• 資料種別: departmental bulletin paper
• データソース種別:
  • IRDB
  • NDL
  • CiNii Articles