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Testing Fisher Hypothesis from Japanese Interest Rate Swap Market
http://hdl.handle.net/10191/8548
http://hdl.handle.net/10191/85481bdd3c42-8164-4db5-8fd0-91680fd9ea91
名前 / ファイル | ライセンス | アクション |
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32_41-52.pdf (515.3 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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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 |
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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 |
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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 |