Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7521
Type: Artigo
Title: The long-range dependence behavior ofthe term structure ofinterest rates in Japan
Authors: Tabak, Benjamin Miranda
Cajueiro, Daniel Oliveira
Abstract: 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.
Keywords: Emerging markets
Hurst exponent
GARCH
Long-range dependence
Citation: 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.
Access Type: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/296
https://repositorio.ucb.br:9443/jspui/handle/123456789/7521
Document date: 2005
Appears in Collections:PPG - Revistas e Artigos Científicos

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