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A study of pricing in the government bonds markets in Japan

Research Project

Project/Area Number 03630058
Research Category

Grant-in-Aid for General Scientific Research (C)

Allocation TypeSingle-year Grants
Research Field Public finance/Monetary economics
Research InstitutionHitotsubashi Univ.

Principal Investigator

KAMAE Hiroshi  Hitotsubashi Univ. Commerce, Professor, 商学部, 教授 (60091542)

Project Period (FY) 1991 – 1992
Project Status Completed (Fiscal Year 1992)
Budget Amount *help
¥2,000,000 (Direct Cost: ¥2,000,000)
Fiscal Year 1992: ¥800,000 (Direct Cost: ¥800,000)
Fiscal Year 1991: ¥1,200,000 (Direct Cost: ¥1,200,000)
Keywordsterm structure of interest rate / pure expectations hypothesis / spot rate / unbiasedness condition / premia / GARCH-M / 期間構造 / 債券先物 / APT / 正常の逆鞘 / GARCHーM
Research Abstract

1. In this research, I have analyzed structure of the government bonds markets, especially those of the long-term bonds in Japan, by studying the term structure of the interest rates. I have tested whether the pure expectations hypothesis holds or not after the futures market of the government bonds have started. I have specified that hypothesis in terms of discount bonds, and estimated it by using data of the spot rates and the corrected OLS method. When I have assumed that the expected value of all of the issues have unbiasedness property, then the estimation results rejected the hypothesis about almost all terms to maturity.
2. The results shown above suggests that existence of term premia. In the second stage of my research, I estimated ARCH-M and GARCH-M models in order to look for the premia of holding period yields. The estimation results shows constant premia can be found in some cases of almost terms to maturity and time-varying ones are found in cases of the greater part of terms to maturity.

Report

(3 results)
  • 1992 Annual Research Report   Final Research Report Summary
  • 1991 Annual Research Report
  • Research Products

    (11 results)

All Other

All Publications (11 results)

  • [Publications] 釜江 廣志: "利子率の期間構造におけるプレミアムの存在について" 金融経済研究. 3. 26-34 (1992)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1992 Final Research Report Summary
  • [Publications] 釜江 廣志: "わが国国債流通市場構造の計量分析" 生活経済学会会報. 8. (1993)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1992 Final Research Report Summary
  • [Publications] 釜江 廣志: "日本の国債流通市場" 有斐閣, (1993)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1992 Final Research Report Summary
  • [Publications] H.Kamae: "Time-Varying Risk Premia in the Term Structure" Kin-yu Keizai Kenkyu. Vol. 3. 26-34 (1992)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1992 Final Research Report Summary
  • [Publications] H.Kamae: "An Econometric Analysis of the Government Bonds Markets in Japan" Journal of the Japan society of Household Economics. Vol. 8. (1993)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1992 Final Research Report Summary
  • [Publications] H.Kamae: Yuhikaku,. An Econometric Study of the Government Bonds Markets and the Term Structure of Interest Rates in Japan, (1993)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1992 Final Research Report Summary
  • [Publications] 釜江 慶志: "利子率の期間構造におけるプレミアムの存在について" 金融経済研究. 3. 26-34 (1992)

    • Related Report
      1992 Annual Research Report
  • [Publications] 釜江 廣志: "わが国国債流通市場構造の計量分析" 生活経済学会会報. 8. (1993)

    • Related Report
      1992 Annual Research Report
  • [Publications] 釜江 廣志: "日本の国債流通市場" 有斐閣, (1993)

    • Related Report
      1992 Annual Research Report
  • [Publications] 釜江 廣志: "わが国先物市場における価格決定;期間を拡大しての再計測" 一橋論叢. 107. 61-80 (1992)

    • Related Report
      1991 Annual Research Report
  • [Publications] 釜江 廣志: "利子率の期間構造におけるプレミアムの存在について" 金融経済研究. (1992)

    • Related Report
      1991 Annual Research Report

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Published: 1991-04-01   Modified: 2016-04-21  

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