The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period /

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 intere...

詳細記述

書誌詳細
第一著者: Nagayasu, Jun
フォーマット: 雑誌
言語:English
出版事項: Washington, D.C. : International Monetary Fund, 2003.
シリーズ:IMF Working Papers; Working Paper ; No. 2003/208
オンライン・アクセス:Full text available on IMF
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100 1 |a Nagayasu, Jun. 
245 1 4 |a The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period /  |c Jun Nagayasu. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 2003. 
300 |a 1 online resource (31 pages) 
490 1 |a IMF Working Papers 
500 |a <strong>Off-Campus Access:</strong> No User ID or Password Required 
500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |a 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. 
538 |a Mode of access: Internet 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2003/208 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/2003/208/001.2003.issue-208-en.xml  |z IMF e-Library