The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period [electronic resource] / Jun Nagayasu.
Material type:
TextSeries: IMF Working Papers; Working Paper ; No. 03/208Publication details: Washington, D.C. : International Monetary Fund, 2003Description: 1 online resource (31 p.)ISBN: 1451874723 :ISSN: 1018-5941Subject(s): Covariance | Equation | Inflation | Key Words | Statistics | Zero Interest Rates | JapanAdditional physical formats: Print Version:: The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate PeriodOnline resources: IMF e-Library | IMF Book Store Abstract: This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When interest rates are low, the usefulness of the model declines, since the interest spread contains little information that can be used for predicting future economic activity. The term-structure relationship is also weakened by the Bank of Japan's use of interest rate smoothing.
This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When interest rates are low, the usefulness of the model declines, since the interest spread contains little information that can be used for predicting future economic activity. The term-structure relationship is also weakened by the Bank of Japan's use of interest rate smoothing.
Description based on print version record.
There are no comments on this title.