| Project/Area Number |
08453012
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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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 | Yokohama National University |
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Principal Investigator |
KURASWA Motonori Yokohama National University, Economics, Professor, 経済学部, 教授 (40018057)
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| Co-Investigator(Kenkyū-buntansha) |
MORITA Hirosi Yokohama National University, Business Administration, Associate Professor, 経営学部, 助教授 (70239664)
HONDA Toshiki Yokohama National University, Economics, Associate Professor, 経済学部, 助教授 (70303063)
AKIYAMA Taro Yokohama National University, Economics, Professor, 経済学部, 教授 (40167854)
YANO Makoto Keio University, Economics, Professor, 経済学部, 教授 (30191175)
村瀬 英彰 横浜国立大学, 経済学部, 助教授 (40239520)
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| Project Period (FY) |
1996 – 1998
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| Project Status |
Completed (Fiscal Year 1998)
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| Budget Amount *help |
¥5,500,000 (Direct Cost: ¥5,500,000)
Fiscal Year 1998: ¥700,000 (Direct Cost: ¥700,000)
Fiscal Year 1997: ¥2,000,000 (Direct Cost: ¥2,000,000)
Fiscal Year 1996: ¥2,800,000 (Direct Cost: ¥2,800,000)
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| Keywords | volatility / interest rate futures / asset pricing / portfolio / general equilibrium model of security market / derivatives / 金利先物 / 資産価格 / 資産市場の一般均衡モデル / 効率的市場 / 転換社債 / オプション / dynamic Optimigation / 市場効率性 |
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| Research Abstract |
By considering investment strategy duplicating payoff of futures, we derived a theoretical pricing formula of futures. Using this result, we investigated price formation of Euro-Yen Interest rate futures market empirically. We found (1) prices of interest rate futures contains information about forward rates in the future (2) when taking periods of five to seven days , movement of actual and theoretical prices are closely correlated (3) considerable part of discrepancy between actual and theoretical prices is eliminated within a day.
Also, we constructed general equilibrium models of security market with varying investment opportunity and heterogeneous investors. First, we analyzed an economy consisting of myopic investors and long-sighted investors In this model, we assume the utility function of long-sighted investor did not depend on his own wealth, but on total wealth of individuals. This means the long-sighted investor is a institutional investor to which households entrust investment of some of their wealth. We got a result that volatility of short-term interest is necessarily greater in this economy than in an economy consisting of homogeneous investors. Second, we analyzed an economy consisting of log-utility investors and power-utility investors, in which mean return of investment follows a mean reverting process. For the simplest case where only power utility investors exist, we derived analytically the equilibrium. Next, by using numerical analysis, we investigated the equilibrium of the model for a general case. Furthermore, by using numerical analysis, the effect of increase in variety of assets which can be interpreted as introduction of new securities such as derivatives on asset prices was analyzed.
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