This paper investigates the two questions on the pricing of interest rate swap in the Japanese market by applying a time varying coefficient regression model: (i) Do the risk factors which determine the spread in the US market also hold in the Japanese market? (ii) How does the degree of...

This paper investigates whether the upturns and downturns of the U.S. market exert asymmetric influence on the conditional mean and volatility of the Japanese market using the daily returns on stock price indices. Using both the EGARCH and SV models, which simultaneously allow two kinds of...

This paper provides an econometric theory for examining the predictions of the public-policy endogenous growth models of Barro (1990) and others that suggest that unlike distortionary taxation and productive expenditures, nondistortionary taxation and nonproductive expenditures have no direct...

This study examines the role of macroeconomic and stock market variables in the dynamic Nelson-Siegel framework with the purpose of fitting and forecasting the term structure of interest rate. We find that incorporating the macroeconomic indicators in yield curve model leads to a better...

The paper examines the possibility of financial cooperation by investigating the business cycle synchronization among the eight core East Asian countries(China, Japan, Korea, Indonesia, Malaysia, the Philippines, Singapore, and Thailand) using the logarithm of per capita real GDP data from...