The Japanese Term Structure Of Interest Rates
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The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period
Author | : Mr. Jun Nagayasu |
Publisher | : International Monetary Fund |
Total Pages | : 32 |
Release | : 2003-10-01 |
Genre | : Business & Economics |
ISBN | : 1451919301 |
This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When interest rates are low, the usefulness of the model declines, since the interest spread contains little information that can be used for predicting future economic activity. The term-structure relationship is also weakened by the Bank of Japan''s use of interest rate smoothing.
Global Factors in the Term Structure of Interest Rates
Author | : Mirko Abbritti |
Publisher | : International Monetary Fund |
Total Pages | : 41 |
Release | : 2013-11-05 |
Genre | : Business & Economics |
ISBN | : 1475513313 |
This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.
Outlook for Interest Rates and Japanese Banks’ Risk Exposures under Abenomics
Author | : Mr.Serkan Arslanalp |
Publisher | : International Monetary Fund |
Total Pages | : 26 |
Release | : 2013-10-18 |
Genre | : Business & Economics |
ISBN | : 1484374215 |
This paper examines how Japan’s long-term interest rates and Japanese banks’ interest rate risk exposures may evolve under Abenomics. Results from a panel regression analysis for major advanced economies shows that long-term government bond yields in Japan are determined to a large extent by growth and inflation outlook, fiscal conditions, demography, and the investor base of government securities. A further deterioration of fiscal conditions would push up long-term rates by about 2 percentage points over the medium term, but the rise is partly offset by higher demand for safe assets amid population aging and increased purchases by the Bank of Japan. At the same time, illustrative scenarios suggest the interest rate risk exposure of Japanese banks could decline substantially over the next two years. However, if structural and fiscal reforms are incomplete, both long-tem yields and interest-risk exposures of Japanese banks could increase over the medium term.