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<Articles>Financial Market Linkage between Japan and US : Investigation of Short and Long Term Interest Rates
http://hdl.handle.net/10191/1322
http://hdl.handle.net/10191/13220c485ece-da76-4a7f-83e9-7b10ddc2ff2c
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
6_0001.pdf (751.9 kB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2007-04-23 | |||||
| タイトル | ||||||
| タイトル | <Articles>Financial Market Linkage between Japan and US : Investigation of Short and Long Term Interest Rates | |||||
| タイトル | ||||||
| タイトル | <Articles>Financial Market Linkage between Japan and US : Investigation of Short and Long Term Interest Rates | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Interest Rate 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 | Monetary Policy Regime | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Uncovered Interest Rate Parity(UIP) | |||||
| 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 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. | |||||
| 書誌情報 |
新潟大学経済学年報 en : 新潟大学経済学年報 巻 28, p. 1-16, 発行日 2004-01 |
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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 | |||||
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Cite as
Ito, Takayasu, 2004, <Articles>Financial Market Linkage between Japan and US : Investigation of Short and Long Term Interest Rates: 新潟大学経済学部, 1–16 p.
