COMPARISON OF THE SHORT-TERM AND THE LONG-TERM CHARACTERISTICS OF THE JAPANESE AND THE U.S. SPOT INTEREST RATE

I will investigate the short-term and the long-term characteristics of Japanese daily overnight call rate between 1985 and 1999 and compare it with the U.S. federal funds rate during the same period. Such long-term data for the former has not been utilized in the previous studies. When we compare the short-term characteristics of these two rates with the corresponding long-term ones, those are found to be different. When we compare these two rates in the short-term as well as in the long-term, the long-term characteristics are found to be different, even though the short-term characteristics are similar in some sub-sample periods.