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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.

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