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Linkage of Long Term Interest Rates between Japan and Euro Zone: Investigation of Uncovered Interest Rate Parity
http://hdl.handle.net/10191/6147
http://hdl.handle.net/10191/6147b682b46c-2b07-409c-9ff9-e322c64b12a6
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
20_0003.pdf (3.2 MB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2008-04-08 | |||||
| タイトル | ||||||
| タイトル | Linkage of Long Term Interest Rates between Japan and Euro Zone: Investigation of Uncovered Interest Rate Parity | |||||
| タイトル | ||||||
| タイトル | Linkage of Long Term Interest Rates between Japan and Euro Zone: Investigation of Uncovered Interest Rate Parity | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Interest Rates Linkage | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Cointegration | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Granger Causality | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Uncovered Interest Rate Parity | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_6501 | |||||
| タイプ | departmental bulletin paper | |||||
| 著者 |
Ito, Takayasu
× Ito, Takayasu |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | This paper analyzes the relationship of long term interest rates between Japan and Euro zone in the framework of uncovered interest rate parity relationship (UIP) from June 1, 2000 through May 24, 2004. Engle and Granger cointegration test is conducted. We find no evidence of UIP in the entire term structure. Thus we find little evidence for longrun international linkages of long term interest rates between Japanese Yen and Euro from June 1, 2000 through May 24, 2004. The Granger causalities of Japanese interest rates on Euro interest are confirmed in the entire term structure. The Granger causalities of Euro interest rate on Japanese interest rate are confirmed only in 10 year. | |||||
| 書誌情報 |
新潟大学経済論集 en : 新潟大学経済論集 巻 83, p. 43-54, 発行日 2007-09 |
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| 出版者 | ||||||
| 出版者 | 新潟大学経済学会 | |||||
| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 02861569 | |||||
| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AN00183269 | |||||
| 著者版フラグ | ||||||
| 値 | publisher | |||||
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Cite as
Ito, Takayasu, 2007, Linkage of Long Term Interest Rates between Japan and Euro Zone: Investigation of Uncovered Interest Rate Parity: 新潟大学経済学会, 43–54 p.
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