WEKO3
アイテム
{"_buckets": {"deposit": "b2d5467f-d441-48c4-a532-b93dc68f8c54"}, "_deposit": {"id": "2004134", "owner": "1", "owners": [1], "pid": {"revision_id": 0, "type": "depid", "value": "2004134"}, "status": "published"}, "_oai": {"id": "oai:u-ryukyu.repo.nii.ac.jp:02004134", "sets": ["1642837843440", "1642838405494"]}, "author_link": [], "item_1617186331708": {"attribute_name": "Title", "attribute_value_mlt": [{"subitem_1551255647225": "Bayesian Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates with Multiple Structural Breaks", "subitem_1551255648112": "en"}]}, "item_1617186419668": {"attribute_name": "Creator", "attribute_type": "creator", "attribute_value_mlt": [{"creatorNames": [{"creatorName": "杉田, 勝弘", "creatorNameLang": "ja"}]}, {"creatorNames": [{"creatorName": "Sugita, Katsuhiro", "creatorNameLang": "en"}]}]}, "item_1617186476635": {"attribute_name": "Access Rights", "attribute_value_mlt": [{"subitem_1522299639480": "open access", "subitem_1600958577026": "http://purl.org/coar/access_right/c_abf2"}]}, "item_1617186609386": {"attribute_name": "Subject", "attribute_value_mlt": [{"subitem_1522299896455": "en", "subitem_1522300014469": "Other", "subitem_1523261968819": "Term structure"}, {"subitem_1522299896455": "en", "subitem_1522300014469": "Other", "subitem_1523261968819": "Structural break"}, {"subitem_1522299896455": "en", "subitem_1522300014469": "Other", "subitem_1523261968819": "Cointegration"}, {"subitem_1522299896455": "en", "subitem_1522300014469": "Other", "subitem_1523261968819": "Bayesian inference"}, {"subitem_1522299896455": "en", "subitem_1522300014469": "Other", "subitem_1523261968819": "Gibbs sampling"}, {"subitem_1522299896455": "en", "subitem_1522300014469": "Other", "subitem_1523261968819": "Bayes factor"}]}, "item_1617186626617": {"attribute_name": "Description", "attribute_value_mlt": [{"subitem_description": "This paper investigates the expectations hypothesis for the Japanese term structure of interest rates using vector error correction models with multiple structural breaks, focusing on how the breaks affect volatility, risk premium and speed of the adjustment toward the equilibrium. Using 1985-2005 data, we find strong evidence of three structural changes. After the second break point, the term structure relationship is found to be weakened with nearly zero percent short-term interest rate. This finding is consistent with the expectations hypothesis since with very low short-term interest rate the risk premium is dominant in determining long rates.", "subitem_description_type": "Other"}, {"subitem_description": "紀要論文", "subitem_description_type": "Other"}]}, "item_1617186643794": {"attribute_name": "Publisher", "attribute_value_mlt": [{"subitem_1522300295150": "ja", "subitem_1522300316516": "琉球大学法文学部"}]}, "item_1617186702042": {"attribute_name": "Language", "attribute_value_mlt": [{"subitem_1551255818386": "jpn"}]}, "item_1617186783814": {"attribute_name": "Identifier", "attribute_value_mlt": [{"subitem_identifier_type": "HDL", "subitem_identifier_uri": "http://hdl.handle.net/20.500.12000/7487"}]}, "item_1617186819068": {"attribute_name": "Identifier Registration", "attribute_value_mlt": [{"subitem_identifier_reg_text": "10.24564/0002004134", "subitem_identifier_reg_type": "JaLC"}]}, "item_1617186920753": {"attribute_name": "Source Identifier", "attribute_value_mlt": [{"subitem_1522646500366": "ISSN", "subitem_1522646572813": "0557-580X"}, {"subitem_1522646500366": "NCID", "subitem_1522646572813": "AN00250468"}]}, "item_1617186941041": {"attribute_name": "Source Title", "attribute_value_mlt": [{"subitem_1522650068558": "ja", "subitem_1522650091861": "琉球大学経済研究"}]}, "item_1617187056579": {"attribute_name": "Bibliographic Information", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2008-09", "bibliographicIssueDateType": "Issued"}, "bibliographicIssueNumber": "76", "bibliographicPageEnd": "50", "bibliographicPageStart": "35"}]}, "item_1617258105262": {"attribute_name": "Resource Type", "attribute_value_mlt": [{"resourcetype": "departmental bulletin paper", "resourceuri": "http://purl.org/coar/resource_type/c_6501"}]}, "item_1617265215918": {"attribute_name": "Version Type", "attribute_value_mlt": [{"subitem_1522305645492": "VoR", "subitem_1600292170262": "http://purl.org/coar/version/c_970fb48d4fbd8a85"}]}, "item_1617605131499": {"attribute_name": "File", "attribute_type": "file", "attribute_value_mlt": [{"accessrole": "open_access", "download_preview_message": "", "file_order": 0, "filename": "No76p35.pdf", "future_date_message": "", "is_thumbnail": false, "mimetype": "", "size": 0, "url": {"objectType": "fulltext", "url": "https://u-ryukyu.repo.nii.ac.jp/record/2004134/files/No76p35.pdf"}, "version_id": "8c67bf3e-92a3-4ec5-bd02-b23be1f454c1"}]}, "item_title": "Bayesian Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates with Multiple Structural Breaks", "item_type_id": "15", "owner": "1", "path": ["1642837843440", "1642838405494"], "permalink_uri": "https://doi.org/10.24564/0002004134", "pubdate": {"attribute_name": "PubDate", "attribute_value": "2008-10-16"}, "publish_date": "2008-10-16", "publish_status": "0", "recid": "2004134", "relation": {}, "relation_version_is_last": true, "title": ["Bayesian Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates with Multiple Structural Breaks"], "weko_shared_id": -1}
Bayesian Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates with Multiple Structural Breaks
https://doi.org/10.24564/0002004134
https://doi.org/10.24564/00020041344a39b9e7-e40c-4881-9c50-ee4ef3b895e1
名前 / ファイル | ライセンス | アクション |
---|---|---|
No76p35.pdf
|
|
Item type | デフォルトアイテムタイプ(フル)(1) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
公開日 | 2008-10-16 | |||||||||
タイトル | ||||||||||
タイトル | Bayesian Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates with Multiple Structural Breaks | |||||||||
言語 | en | |||||||||
作成者 |
杉田, 勝弘
× 杉田, 勝弘
× Sugita, Katsuhiro
|
|||||||||
アクセス権 | ||||||||||
アクセス権 | open access | |||||||||
アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||
主題 | ||||||||||
言語 | en | |||||||||
主題Scheme | Other | |||||||||
主題 | Term structure | |||||||||
主題 | ||||||||||
言語 | en | |||||||||
主題Scheme | Other | |||||||||
主題 | Structural break | |||||||||
主題 | ||||||||||
言語 | en | |||||||||
主題Scheme | Other | |||||||||
主題 | Cointegration | |||||||||
主題 | ||||||||||
言語 | en | |||||||||
主題Scheme | Other | |||||||||
主題 | Bayesian inference | |||||||||
主題 | ||||||||||
言語 | en | |||||||||
主題Scheme | Other | |||||||||
主題 | Gibbs sampling | |||||||||
主題 | ||||||||||
言語 | en | |||||||||
主題Scheme | Other | |||||||||
主題 | Bayes factor | |||||||||
内容記述 | ||||||||||
内容記述タイプ | Other | |||||||||
内容記述 | This paper investigates the expectations hypothesis for the Japanese term structure of interest rates using vector error correction models with multiple structural breaks, focusing on how the breaks affect volatility, risk premium and speed of the adjustment toward the equilibrium. Using 1985-2005 data, we find strong evidence of three structural changes. After the second break point, the term structure relationship is found to be weakened with nearly zero percent short-term interest rate. This finding is consistent with the expectations hypothesis since with very low short-term interest rate the risk premium is dominant in determining long rates. | |||||||||
内容記述 | ||||||||||
内容記述タイプ | Other | |||||||||
内容記述 | 紀要論文 | |||||||||
出版者 | ||||||||||
言語 | ja | |||||||||
出版者 | 琉球大学法文学部 | |||||||||
言語 | ||||||||||
言語 | jpn | |||||||||
資源タイプ | ||||||||||
資源タイプ | departmental bulletin paper | |||||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||||
出版タイプ | ||||||||||
出版タイプ | VoR | |||||||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||
識別子 | ||||||||||
識別子 | http://hdl.handle.net/20.500.12000/7487 | |||||||||
識別子タイプ | HDL | |||||||||
ID登録 | ||||||||||
ID登録 | 10.24564/0002004134 | |||||||||
ID登録タイプ | JaLC | |||||||||
収録物識別子 | ||||||||||
収録物識別子タイプ | ISSN | |||||||||
収録物識別子 | 0557-580X | |||||||||
収録物識別子 | ||||||||||
収録物識別子タイプ | NCID | |||||||||
収録物識別子 | AN00250468 | |||||||||
収録物名 | ||||||||||
言語 | ja | |||||||||
収録物名 | 琉球大学経済研究 | |||||||||
書誌情報 |
号 76, p. 35-50, 発行日 2008-09 |