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The long-range dependence behavior of the term structure of interest rates in Japan

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  • Tabak, Benjamin M.
  • Cajueiro, Daniel O.

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 of interest rates increases with maturity, suggesting that there exists a term premium. Furthermore, the dynamics of short-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.

Suggested Citation

  • Tabak, Benjamin M. & Cajueiro, Daniel O., 2005. "The long-range dependence behavior of the term structure of interest rates in Japan," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 418-426.
    • Handle: RePEc:eee:phsmap:v:350:y:2005:i:2:p:418-426
    DOI: 10.1016/j.physa.2004.11.048
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    References listed on IDEAS

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    3. Barkoulas, John T. & Baum, Christopher F., 1996. "Long-term dependence in stock returns," Economics Letters, Elsevier, vol. 53(3), pages 253-259, December.
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