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An Econometric Analysis of Japanese Government Bond Markets in the Prewar and Postwar Periods

In: Studies On Financial Markets In East Asia

Author

Listed:
  • Hiroshi Kamae

    (Tokyo Keizai University, Japan)

Abstract

This paper investigates whether Japanese Government bond (JGB) markets in the pre and postwar periods were efficient. Is the pure expectations hypothesis regarding the term structure of interest rates applicable in this case? After a brief explanation of the JGB and money markets, we examine this hypothesis econometrically using Dai 1-kai shi-buri kousai (First series of 4% coupon government bonds), Kougou go-buri kousai (Kougou 5% government bond) in the prewar period and 10 year long-term bonds in the postwar period. Empirical tests show that the expectations hypothesis is rejected for both periods.

Suggested Citation

  • Hiroshi Kamae, 2011. "An Econometric Analysis of Japanese Government Bond Markets in the Prewar and Postwar Periods," World Scientific Book Chapters, in: Masayuki Susai & Shigeru Uchida (ed.), Studies On Financial Markets In East Asia, chapter 7, pages 101-119, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814343374_0007
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