| Project/Area Number |
07630081
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | HITOTSUBASHI UNIVERSITY |
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Principal Investigator |
KAMAE Hiroshi HITOTSUBASHI UNIV.COMMERCE,PROF., 商学部, 教授 (60091542)
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| Project Period (FY) |
1995 – 1996
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| Project Status |
Completed (Fiscal Year 1996)
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| Budget Amount *help |
¥1,900,000 (Direct Cost: ¥1,900,000)
Fiscal Year 1996: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 1995: ¥1,300,000 (Direct Cost: ¥1,300,000)
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| Keywords | Government bond markets / estimation of yield curve / Fisher hypothesis / bench-mark issues / Darby hypothesis / 指標銘柄 / 共和分 / イールド・カーブ / 国債利回り / 期間構造 / インフレ予想 / 共和分法 / 単位根 / Mundell-Tobin仮説 / Darby-Feldstein仮説 |
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| 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 from 1977 to 1993. I have tested whether the Fisher hypothesis holds or not. I have estimated them by the Johansen cointegration approach.
I estimated unobservable expected inflation rates by using the Kalman filter. The Fisher hypothesis, that is lambda=1, and alpha=constant in the equation i=alpha+lambda. E_t(pi_t)+v_t was rejected, and my tests showed that the Darby and Feldstein hypothesis was supported. They show that the interest rates change larger the change in expected inflation rate.
I also analyzed estimation of the yield curves. I used the weighted least squares method in order to take account of the bench-mark issues, which are actively traded in our bond markets.
I found that the samples including them is not appropriate because they have not formed smooth yield curves.
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