2024-03-28T21:48:05Z
https://niigata-u.repo.nii.ac.jp/oai
oai:niigata-u.repo.nii.ac.jp:00027279
2022-12-15T03:57:12Z
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Linkage of Long Term Interest Rates between Japan and Euro Zone: Investigation of Uncovered Interest Rate Parity
Linkage of Long Term Interest Rates between Japan and Euro Zone: Investigation of Uncovered Interest Rate Parity
Ito, Takayasu
158696
Interest Rates Linkage
Cointegration
Granger Causality
Uncovered Interest Rate Parity
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.
departmental bulletin paper
新潟大学経済学会
2007-09
application/pdf
新潟大学経済論集
83
43
54
新潟大学経済論集
AN00183269
02861569
https://niigata-u.repo.nii.ac.jp/record/27279/files/20_0003.pdf
eng