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Long-Term Interest Rates in Japan : Analysis of Japanese Government Bond and Interest Rate Swap
http://hdl.handle.net/10191/7808
http://hdl.handle.net/10191/7808b7e2309a-e4a5-41b6-ae57-5a2e594a666f
名前 / ファイル | ライセンス | アクション |
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2009-04-10 | |||||
タイトル | ||||||
タイトル | Long-Term Interest Rates in Japan : Analysis of Japanese Government Bond and Interest Rate Swap | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Long-Term Interest Rates in Japan : Analysis of Japanese Government Bond and Interest Rate Swap | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Japanese Long Term Interest Rate | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Market Segmentation | |||||
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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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper analyzes the relationship between Japanese Government Bond and Japanese Yen Interest Rate Swap markets. The whole sample is divided into two sub periods. Sample A is from January 4, 1994 through February 12, 1999. Sample B is from February 15, 1999 through June 30, 2006. In Sample A, Japanese Yen Interest Rate Swap rates are in the long run equilibrium with Japanese Government Bond yields in all maturities. In Sample B, Japanese Yen Interest Rate Swap rates are in the long run equilibrium with Japanese Government Bond yields only in the maturities from 2 years through 7 years. The market segmentation is observed in 10 years between Japanese Government Bond and Japanese Yen Interest Rate Swap markets in Sample B. | |||||
書誌情報 |
新潟大学経済論集 en : 新潟大学経済論集 巻 86, p. 19-38, 発行日 2009-03 |
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出版者 | ||||||
出版者 | 新潟大学経済学会 | |||||
ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 02861569 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN00183269 | |||||
著者版フラグ | ||||||
値 | publisher |