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The Reactions of Yield Curves at the Monetary Policy Change
The Effects of Monetary Policy from Long Term
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12 month 12.97 The Johansen ADF Test analyze Bank of Japan chapter coefficient of determination cointegration relationship cointegration vector credit risk critical values data series Economics empirical analysis Engle/Granger entire term structure FF rate Fisher hypothesis future inflation Government Bond yield Granger causality test hypothesis as unit indicates significance information of future Interest Rate Swap Japanese Government Bond Japanese Yen Interest Johansen cointegration test KPSS test LIBOR long term interest month interest rates Niigata University nominal interest rates non-stationary null hypothesis number of cointegration number of common overnight call rate policy change principal component analysis quantitative easing Rate swap rate results are shown Sample A Variable single common trend spurious regression stationary Structure of Interest sub period TED spread term interest rates test is conducted Test Statistics Trend With Trend uncollateralized overnight call Unit Root Test values are 2.86(Without Variable Without Trend variance decomposition Yen Interest Rate yield curve