We argue a source of time-varying premium (TVTP) in Japanese government bond market, and show that it is interest rate smoothing that causes empirical failures of expectation theory of term structure of interest rates. We estimate a regime switching ARCH model where an interest rate smoothing...

In order to make quantitative evaluations on the nature of capital adjustment costs, in the face of technological changes, we estimate capital adjustment cost functions, either convex, non-convex, or irreversible (Cooper and Haltiwanger, 2006). A simulated method of moments is applied to the...

We argue a source of time-varying premium (TVTP) in Japanese government bond market, and show that it is interest rate smoothing that causes empirical failures of expectation theory of term structure of interest rates. We estimate a regime switching ARCH model where an interest rate smoothing...