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The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates

Nowman, K. Ben (2002) The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates. International Review of Financial Analysis, 11 (1). pp. 29-38. ISSN 1057-5219

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Official URL: http://dx.doi.org/10.1016/S1057-5219(01)00071-0

Abstract

In this paper, we apply the recently introduced Gaussian estimation methodology in the estimation of a range of one factor short-term interest rate models on Japanese Certificate of Deposit (CD) and Gensaki interest rates. For Japan, the relationship between the volatility of rates and the level of rates is smaller than that reported by Chan, Karolyi, Longstaff, and Sanders (CKLS) [J. Finance 47 (1992) 1209.] for the US. We find, generally, that the CEV model performs well for these rates in terms of data fit.

Item Type:Article
Uncontrolled Keywords:CKLS, Term structure, Japanese interest rates
Research Community:University of Westminster > Westminster Business School
ID Code:750
Deposited On:13 Jul 2006
Last Modified:13 Oct 2009 16:06

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