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<Articles>Financial Market Linkage between Japan and US : Investigation of Short and Long Term Interest Rates
<Articles>Financial Market Linkage between Japan and US : Investigation of Short and Long Term Interest Rates
Ito, Takayasu
158260
Interest Rate Linkage
Cointegration
Granger Causality
Monetary Policy Regime
Uncovered Interest Rate Parity(UIP)
This paper examines the international linkage of interest rates between Japan and US from 1 month through 10 year in the framework of Uncovered Interest Rate Party (UIP). The whole sample from October 2, 1990 through August 11, 2000 is divided into two sub periods. The first sub period, named Sample A, is from October 2, 1990 through May 17, 1993. In sample A the monetary policy regimes both in Japan and US are easing. We find that UIP holds true in the term structure from 2 year through 10 year. The second sub period , named Sample B, is from May 18, 1993 through August 11, 2000. In Sample B the monetary policy regime in Japan is easing, but in US it's tightening. We find no evidence of UIP in the entire term structure.
departmental bulletin paper
新潟大学経済学部
2004-01
application/pdf
新潟大学経済学年報
28
1
16
新潟大学経済学年報
AN00183258
03857697
https://niigata-u.repo.nii.ac.jp/record/27079/files/6_0001.pdf
eng