An inquiry concerning Japanese yen interest rate swap yields

Arbeitspapier

This paper econometrically models Japanese yen (JPY)-denominated interest rate swap yields. It examines whether the short-term interest rate exerts an influence on the long-term JPY swap yield after controlling for several key macroeconomic variables, such as core inflation, the growth of industrial production, the percentage change in the equity price index, and the percentage change in the exchange rate. It also tests whether there are structural breaks in the dynamics of Japanese swap yields and related variables. The estimated econometric models show that the short-term interest rate exerts an important influence on the long-term swap yield in some periods but not in other periods in which core inflation exerts a marked influence on the swap yield. The findings from the econometric models reveal a discernable relationship between the call rate and the swap yield of different maturity tenors clearly held prior to April 2014 but did not in the subsequent period. These findings highlight the limits and scope of John Maynard Keynes's contention that the central bank's policy rate commands a decisive influence over the long-term market rate through the short-term interest rate. The policy implications of the estimated models' results are discussed.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 1019

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Interest Rates: Determination, Term Structure, and Effects ; Monetary Policy, Central Banking, and the Supply of Money and Credit: General ; Central Banks and Their Policies ; Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General ; General Financial Markets: General (includes Measurement and Data) ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: Interest Rate Swaps ; Swap Yields ; Call Rate ; Inflation ; Bank of Japan (BOJ) ; Japan

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Akram, Tanweer ; al Mamun, Khawaja Abdullah
• Ereignis: Veröffentlichung
• (wer): Levy Economics Institute of Bard College
• (wo): Annandale-on-Hudson, NY
• (wann): 2023

Weitere Informationen

• Handle: http://hdl.handle.net/10419/283210
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ