NDLI: Decomposition of Japanese Yen Interest Rate Data Through Local Regression

Content Provider	Springer Nature Link
Author	SHIBATA, RITEI MIURA, RYOZO
Copyright Year	1997
Abstract	Seven different Japanese Yen interest rates recorded on a daily basis for the period from 1986 to 1992 are simultaneously analyzed. By introducing a new concept of ‘short term trend’, we decompose each interest rate series into three components, ‘long termtrend’, ‘short term trend’ and ‘irregular’. It is obtained by a two step lowess smoothing technique. After that, a multivariate autoregressive model (MAR) is fitted to the vector valued time series obtained by combining those seven irregular components. The decomposition and MAR model fitting were quite satisfactory. It enables us to understand well various aspects of interest rate series from the trends, the MAR (2) coefficients and its residuals. The result is compared with the decomposition through sabl and the advantages of our procedure will be demonstrated in relations to other parametric model fitting like ARCH or GARCH. Based on the decomposition we can have better daily prediction and more stable long term forecasting.
Starting Page	125
Ending Page	146
Page Count	22
File Format	PDF
ISSN	13802011
Journal	Asia-Pacific Financial Markets
Volume Number	4
Issue Number	2
e-ISSN	15736946
Language	English
Publisher	Kluwer Academic Publishers
Publisher Date	1997-01-01
Publisher Place	Dordrecht
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Econometrics Economic Theory International Economics Financial Economics Finance /Banking
Content Type	Text
Resource Type	Article
Subject	Economics, Econometrics and Finance

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