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Testing the Expectations Hypothesis: Some New Evidence for Japan

Resource Type
Dataset : survey data
  • Thornton, Daniel J. (Federal Reserve Bank of St. Louis)
Other Title
  • Version 1 (Subtitle)
Publication Date
Funding Reference
  • Federal Reserve Bank of St. Louis
Free Keywords
economic conditions; interest rates
  • Abstract

    The deregulation of the Japanese financial markets and the adoption of an interest rate policy instrument by the Bank of Japan prompted a number of empirical investigations of the expectation hypothesis (EH) of the term structures of interest rates in Japan. This paper is a continuation of this research. It deviates from the previous work on the EH in Japan in two respects. First, it tests the EH by estimating a general vector autoregression (VAR) of the long-term and short-term rates and testing the restrictions implied by the EH on the VAR using a Lagrange multiplier test. Second, the issue of stationarity of interest rates is considered. The paper not only considers the possibility that Japanese interest rates are nonstationary, but also analyzes the implications of nonstationarity for the EH.
  • Table of Contents


    • DS1: Dataset
Geographic Coverage
  • Japan
  • Global
Collection Mode
  • (1) Files submitted are the data files 0409dtd.wf1 and 0409dtd.txt and the program file 0409dtp.txt. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.

This study is freely available to the general public via web download.
Alternative Identifiers
  • 1306 (Type: ICPSR Study Number)
  • Thornton, Daniel L.. Testing the Expectations Hypothesis: Some New Evidence for Japan. Federal Reserve Bank of St. Louis Review.86, (5), 21-40.2004.

Update Metadata: 2015-08-05 | Issue Number: 6 | Registration Date: 2015-06-15

Thornton, Daniel J. (2005): Testing the Expectations Hypothesis: Some New Evidence for Japan. Version 1. Version: v1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset.