An examination of the evolving relationship between interest rates of different maturities in Japan, and test of the expectations hypothesis of the term structure to ascertain the feasibility of using asymmetric dynamics in yield spreads

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2000-01-01
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Kuo, Shew-Huei
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Walter Enders
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Economics

The Department of Economic Science was founded in 1898 to teach economic theory as a truth of industrial life, and was very much concerned with applying economics to business and industry, particularly agriculture. Between 1910 and 1967 it showed the growing influence of other social studies, such as sociology, history, and political science. Today it encompasses the majors of Agricultural Business (preparing for agricultural finance and management), Business Economics, and Economics (for advanced studies in business or economics or for careers in financing, management, insurance, etc).

History
The Department of Economic Science was founded in 1898 under the Division of Industrial Science (later College of Liberal Arts and Sciences); it became co-directed by the Division of Agriculture in 1919. In 1910 it became the Department of Economics and Political Science. In 1913 it became the Department of Applied Economics and Social Science; in 1924 it became the Department of Economics, History, and Sociology; in 1931 it became the Department of Economics and Sociology. In 1967 it became the Department of Economics, and in 2007 it became co-directed by the Colleges of Agriculture and Life Sciences, Liberal Arts and Sciences, and Business.

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1898–present

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  • Department of Economic Science (1898–1910)
  • Department of Economics and Political Science (1910-1913)
  • Department of Applied Economics and Social Science (1913–1924)
  • Department of Economics, History and Sociology (1924–1931)
  • Department of Economics and Sociology (1931–1967)

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The purpose of the study was to examine the evolving relationship between interest rates of different maturities in Japan, allowing for possible asymmetrical movements toward a long-run equilibrium rather than use of the traditional analysis of symmetrical movements. The relationship among interest rates of different maturities has been extensively studied with mixed results. This research provides empirical evidence concerning the properties of interest rate term structure using Japan's data from 1980 to 1998. The study employed the testing methodologies which permit asymmetry in the adjustment toward equilibrium in the threshold autoregressive and the momentum-threshold autoregressive specifications. The test results support the expectations hypothesis of the term structure of interest rate. It was shown that the error correction toward the long-run equilibrium relationship is best estimated as an asymmetric process.

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Sat Jan 01 00:00:00 UTC 2000