What drives the term and risk structure of Japanese bonds?

Francis In*, Jonathan Batten, Sangbae Kim

*Corresponding author for this work

Research output: Contribution to journalReview articlepeer-review

9 Citations (Scopus)

Abstract

This paper investigates the long-run equilibrium implications of the Expectations Hypothesis of the term structure on different maturities of high-grade yen Eurobonds and Japanese Government Bonds (JGBs) using the Canonical Cointegrating Regression (CCR) technique developed by [Econometrica 60 (1992) 119]. Consistent with the Expectations Hypothesis, there is some evidence of long-run equilibrium relationship between JGBs and high-grade yen Eurobonds. Furthermore, the most liquid, long-term JGBs tend to drive the yen Eurobond term structure, with short-term yields adjusting to movements in the long-term yields.

Original languageEnglish
Pages (from-to)518-541
Number of pages24
JournalQuarterly Review of Economics and Finance
Volume43
Issue number3
DOIs
Publication statusPublished - Sep 2003

Keywords

  • Canonical cointegrating regression
  • Expectations hypothesis
  • GARCH
  • Japanese yen Eurobonds
  • Long-run relationship

Fingerprint

Dive into the research topics of 'What drives the term and risk structure of Japanese bonds?'. Together they form a unique fingerprint.

Cite this