| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2017: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2016: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2015: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
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| Outline of Final Research Achievements |
This research project proposes an equilibrium model of bonds and equities that incorporates information on expected inflation and estimates the model to elicit expected inflation and uncover its dynamics. The proposed model extends existing models in that preference parameters of a utility function depend on state variables of the economy and asset markets. It exhibits a high descriptive ability about term structures of bonds and equities. However, it obtains unrealistic economic implications such that when the risk aversion is set at 30 (which is acceptable compared with the previous work), the volatility of consumption growth rate exceeds 8% per year, which is too high. The model is extended by incorporating disaster risks into consumption and divided processes with a slight modification of parameter values. It then provides reasonable economic implications about risk aversion and consumption volatility without losing the statistical fit.
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