The Comovement of Japanese Long Term Interest Rates

This paper investigates the linkage of Japanese long term interest rates - Japanese Government Bond, Japanese Interest Rate Swap and Debenture issued by Tokyo Electric Power Company. In Sample A (from July 12, 1995 through February 12, 1999), Japanese Government Bond and Japanese Interest Rate Swap comoved. Three interest rates influenced each other with exception of Japanese Interest Rate Swap and Debenture issued by Tokyo Electric Power Company. On the other hand, in Sample B (February 15, 1999 through January 31, 2005), Japanese Interest Rate Swap and Debenture issued by Tokyo Electric Power Company comoved. The influence from Debenture issued by Tokyo Electric Power Company on Japanese Governmend Bond was only observed