Yield Spread and Economic Policy Uncertainty: Evidence from Japan
In this paper, we adopt the nonlinear autoregressive distributed lags (NARDL) model extended by Shin et al. (2014) to investigate the relationship between the treasury yield spread and economic policy uncertainty (EPU) in Japan. This model helps us to explore the short- and long-run asymmetric react...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-05-01
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| Series: | Sustainability |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2071-1050/12/10/4302 |