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  1. 040 経済学部
  2. 20 紀要
  3. 01 新潟大学経済学年報
  4. 第32号
  1. 0 資料タイプ別
  2. 03 紀要論文

Testing Fisher Hypothesis from Japanese Interest Rate Swap Market

http://hdl.handle.net/10191/8548
http://hdl.handle.net/10191/8548
1bdd3c42-8164-4db5-8fd0-91680fd9ea91
名前 / ファイル ライセンス アクション
32_41-52.pdf 32_41-52.pdf (515.3 kB)
Item type 紀要論文 / Departmental Bulletin Paper(1)
公開日 2009-05-11
タイトル
タイトル Testing Fisher Hypothesis from Japanese Interest Rate Swap Market
タイトル
言語 en
タイトル Testing Fisher Hypothesis from Japanese Interest Rate Swap Market
言語
言語 jpn
キーワード
主題Scheme Other
主題 Fisher Hypothesis
キーワード
主題Scheme Other
主題 Japanese Interest Rate Swap
キーワード
主題Scheme Other
主題 Cointegration
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

WEKO 158208

Ito, Takayasu

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著者別名
識別子 158209
識別子Scheme WEKO
姓名 伊藤, 隆康
抄録
内容記述タイプ Abstract
内容記述 This paper investigates the validity of the Fisher hypothesis from the Japanese interest rate swap market by using non-stationary time series models. The data used for the analysis are confirmed to be I(1) by unit root tests. From the tests of cointegration and cointegration vector, I can conclude that the Fisher hypothesis doesn't hold in the long term interest rates of 2 years, 3 years, 4 years, 5 years, 7 years and 10 years from October 1987 through June 2006. This result isn't surprising since the sample period includes deflationary period when inflation rates were negative and the nominal interest rates decreased to historical low level.
書誌情報 新潟大学経済学年報
en : 新潟大学経済学年報

巻 32, p. 41-52, 発行日 2008-02
出版者
出版者 新潟大学経済学部
ISSN
収録物識別子タイプ ISSN
収録物識別子 03857697
書誌レコードID
収録物識別子タイプ NCID
収録物識別子 AN00183258
著者版フラグ
値 publisher
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