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EFFICIENCY OF THE GOVERNMENT BOND MARKETS IN JAPAN

Research Project

Project/Area Number 05630056
Research Category

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

Allocation TypeSingle-year Grants
Research Field Public finance/Monetary economics
Research InstitutionHITOTSUBASHI UNIVERSITY

Principal Investigator

KAMAE Hiroshi  HITOTSUBASHI UNIV.COMMERCE,PROF., 商学部, 教授 (60091542)

Project Period (FY) 1993 – 1994
Project Status Completed (Fiscal Year 1994)
Budget Amount *help
¥1,500,000 (Direct Cost: ¥1,500,000)
Fiscal Year 1994: ¥700,000 (Direct Cost: ¥700,000)
Fiscal Year 1993: ¥800,000 (Direct Cost: ¥800,000)
KeywordsGovernment bond markets / Pure expectation hypothesis / Fisher hypothesis / Cointegration approach / Darby hypothesis / カルマン・フィルター / Darby仮説 / 国債流通市場 / VAR / 共和分
Research Abstract

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 and the Fisher hypothesis. The sample period is enlarged to include 1977 to 1993. I have tested whether the pure expectations hypothesis holds or not, and the Fisher hypothesis holds or not. I have specified that hypotheses in terms of discount bonds by using VAR (vector autoregressive) method, and estimated it by the Johansen and Juselius (1990)' cointegration approach. 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.
I estimated unobservable expected inflation rates by using the Kalman filter. The Fisher hypothesis was rejected, and my tentative tests showed that the Darby and Feldstein hypothesis was supported. They show that the interest rates change larger the the change in expected inflation rate.

Report

(3 results)
  • 1994 Annual Research Report   Final Research Report Summary
  • 1993 Annual Research Report
  • Research Products

    (6 results)

All Other

All Publications (6 results)

  • [Publications] 釜江廣志: "利子率の期間構造の共和分分析" 一橋論叢. 111. 840-856 (1994)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1994 Final Research Report Summary
  • [Publications] 釜江廣志: "国債利回りとインフレーションの関係の共和分分析:予備的計測" 一橋論叢. 113. (1195)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1994 Final Research Report Summary
  • [Publications] Hiroshi KAMAE: "A Cointegration Analysis of the Term Structure of Interest Rates in Japan" The Hitotsubashi Review. 111. 56-840 (1994)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1994 Final Research Report Summary
  • [Publications] Hiroshi KAMAE: "A Cointegration Analysis of the Relation between the Term Structure and Inflation in Japan" The Hitotsubashi Review. 113, (forthcoming). (1995)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1994 Final Research Report Summary
  • [Publications] 釜江 廣志: "国債利回りとインフレーションの関係の共和分分析:予備的計測" 一橋論叢. 113. (1995)

    • Related Report
      1994 Annual Research Report
  • [Publications] 釜江廣志: "利子率の期間構造の共和分分析" 一橋論叢. (1994)

    • Related Report
      1993 Annual Research Report

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Published: 1993-04-01   Modified: 2016-04-21  

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