Cointegration, Common Factors, and the Term Structure of Yen Offshore Interest Rates

Hiraki, Takato; Shiraishi, Noriyoshi; Takezawa, Nobuya

doi:10.3905/jfi.1996.408184

Cited by 12 publications

(3 citation statements)

References 9 publications

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“…In their empirical analyses, they found that there are three principal factors in the yield curve: the level, the steepness and the curvature. Bühler and Zimmermann [4], and Hiraki, Shiraishi and Takezawa [5] also indicated similar conclusions. Other than these, there have been plenty of studies applying PCA to interest rates.…”

Section: Introductionsupporting

confidence: 66%

A comparative study of principal component analysis on term structure of interest rates

Liu

2010

JSIAM Letters

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In this paper, principal component analysis (PCA) is applied to three different parametrization of interest rates: zero rates, yield curve, and forward rates. This comparative study is complementary to Akahori, Aoki, and Nagata [1] where they claimed that, under the noarbitrage principle, yield curve cannot be a random walk. Conversely the forward curve could be a random walk. In our result of PCA, however, we observed that of the general beliefs. Our empirical results on the number of factors for the zero rates and the yield curve align with the general beliefs. This is a puzzle.

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Section: Introductionsupporting

confidence: 66%

A comparative study of principal component analysis on term structure of interest rates

Liu

2010

JSIAM Letters

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“…Previous work has found that the yield curve is well-summarized by three factors that respectively shift its level, its slope and its curvature (see e.g. Litterman and Scheinkman (1988), Singleton (1994) and Hiraki, Shiraishi and Takezawa(1996)). We also assume a three-factor model of the Japanese yield curve.…”

Section: Reduced Form Vector Auto-regressionmentioning

confidence: 99%

Monetary Policy and the Term Structure of Interest Rates in Japan

Braun¹,

Shioji²

2006

Journal of Money, Credit, and Banking

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This paper uses Japanese data to investigate the relationship between monetary policy and the yield curve. We find that the response of the yield curve depends in an important way on the maintained hypothesis about how monetary policy affects the economy. Under the liquidity effect maintained hypothesis monetary policy only has transient effects on the yield curve. Under the costly price adjustment maintained hypothesis, however, monetary policy has large and persistent effects on yields of all maturities.

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“…Third, the study will provide an insight into the long-term equilibrium relationship between different maturity classes of Thai and US government bonds. Historically, studies investigating long-term equilibrium relationships have been restricted to securities of developed countries (Hiraki et al, 1996).…”

Section: Introductionmentioning

confidence: 99%

Modelling the Credit Spreads and Long–Term Relationships of Thai Yankee Bond Issues

Batten

Fetherston

Hoontrakul

2002

Asian Economic Journal

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The present study investigates the yield spread between Thai government bonds issued in the US domestic market ('Yankee' bonds) and US Treasury bonds, to determine the long-term equilibrium dynamics and the factors that affect changes in credit spreads. The sample period investigated was from May 5, 1999 to March 26, 2002. The results suggest that the long-term equilibrium relationship holds only between Thai Yankee bonds and long-term US bonds, rather than shorter or equivalent maturity bonds. Also, changes in the credit spreads of Thai Yankee bonds are generally negatively related to changes in the Stock Exchange of Thailand (SET) index (see http://www.set.or.th/th/index.html). Changes in US Treasury bonds also tend to negatively affect spreads on short Thai Yankee bonds and positively affect spreads on long Thai Yankee bonds, although other macroeconomic factors -including exchange rate and capital flow variables -were generally not important.

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Cointegration, Common Factors, and the Term Structure of Yen Offshore Interest Rates

Abstract: Critical values are for the 1% significance level. These values are obtained fiom Zhang [1993] and can be computed as cx2 (2m2) where c = 0.85 -0.58/(2m2) as described in Joharxen [1988]. The sample period is

Cited by 12 publications

References 9 publications

A comparative study of principal component analysis on term structure of interest rates

A comparative study of principal component analysis on term structure of interest rates

Monetary Policy and the Term Structure of Interest Rates in Japan

Modelling the Credit Spreads and Long–Term Relationships of Thai Yankee Bond Issues

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