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Theoretical and Empirical Analyses on Sovereign Yields

Research Project

Project/Area Number 16H03637
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Public economy
Research InstitutionKwansei Gakuin University

Principal Investigator

Kameda Keigo  関西学院大学, 総合政策学部, 教授 (80286608)

Co-Investigator(Kenkyū-buntansha) 宮崎 智視  神戸大学, 経済学研究科, 准教授 (20410673)
国枝 繁樹  中央大学, 法学部, 教授 (40304000)
Project Period (FY) 2016-04-01 – 2020-03-31
Project Status Completed (Fiscal Year 2021)
Budget Amount *help
¥15,990,000 (Direct Cost: ¥12,300,000、Indirect Cost: ¥3,690,000)
Fiscal Year 2019: ¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2018: ¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Fiscal Year 2017: ¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000)
Fiscal Year 2016: ¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Keywords国債金利・長期金利 / 公的債務 / 財政赤字 / テキスト解析 / 高頻度データ / 財政赤字・公的債務 / ホームバイアス / 希少性プレミアム / 自然災害リスク / 長期金利 / 国債金利 / 政府債務 / テキストデータ / DSGE / テキストマイニング
Outline of Final Research Achievements

In this study, we conducted an empirical analysis of the relationship between Japan's public finances and long-term interest rates, overcoming methodological problems that remain in previous studies. Specifically, we constructed a daily "fiscal sentiment index" using natural language processing technology on textual information and regressed it on Japan's government bond interest rate. As a result, we confirmed that an increase in fiscal sentiment index significantly raises the JGB interest rate. In addition, we examined the impact of huge risks such as natural disasters and the existence of home bias on the JGB market. Moreover, as related research, we conducted (1) research on procyclical fiscal policies and (2) research on the productivity of social capital and public investment.

Academic Significance and Societal Importance of the Research Achievements

財政状況と国債金利の関係は80年代より欧米諸国を中心として実証分析がなされてきたが、その分析手法にはかなり多くの問題が残されており、特に、金利の動きがマイクロ秒単位であるのにもかかわらず、財政データに合わせ4半期頻度のデータを用いた分析をしてきた点は、その分析結果の信憑性を疑うに足る重大な欠点であった。本研究は自然言語処理技術を応用することにより、このデータ頻度の問題の克服を試みており、学術的に有意義な研究と考えられる。また、当分野の日本での研究は数が少なく、その深刻な財政状況に鑑みれば、社会的な意義の大きい研究であると思われる。

Report

(5 results)
  • 2021 Final Research Report ( PDF )
  • 2019 Annual Research Report
  • 2018 Annual Research Report
  • 2017 Annual Research Report
  • 2016 Annual Research Report
  • Research Products

    (56 results)

All 2022 2021 2020 2019 2018 2017 2016

All Journal Article (19 results) (of which Int'l Joint Research: 1 results,  Peer Reviewed: 6 results,  Open Access: 6 results,  Acknowledgement Compliant: 2 results) Presentation (35 results) (of which Int'l Joint Research: 26 results,  Invited: 1 results) Book (2 results)

  • [Journal Article] Comparison of the productivity of public capital by project type: Central-government, subsidized-local, and unsubsidized-local projects in Japan2022

    • Author(s)
      Kameda K., Lu Z., Fukui M.
    • Journal Title

      Japan and the World Economy

      Volume: 61 Pages: 101119-101119

    • DOI

      10.1016/j.japwor.2022.101119

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Property tax and farmland use in urban areas: Evidence from the reform in the early 1990s in Japan2022

    • Author(s)
      Miyazaki, T., Sato, M.
    • Journal Title

      Journal of the Japanese and International Economies

      Volume: 63 Pages: 1-13

    • DOI

      10.1016/j.jjie.2021.101185

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 2010年代前半の所得格差の動向:『国民生活基礎調査』の個票データを用いた分析2022

    • Author(s)
      髙橋樹生, 宮崎智視
    • Journal Title

      国民経済雑誌

      Volume: 225(1) Pages: 31-45

    • Related Report
      2019 Annual Research Report
  • [Journal Article] Effects of reconstruction works on private employment after a natural disaster: A case in the stricken area of the Great East Japan Earthquake2021

    • Author(s)
      Kameda Keigo、Miwa Hiroyoshi、Nagamine Jun-ichi
    • Journal Title

      International Journal of Disaster Risk Reduction

      Volume: 52 Pages: 101968-101968

    • DOI

      10.1016/j.ijdrr.2020.101968

    • NAID

      120007191098

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] MMT(現代貨幣理論)はどこが間違っているのか?2021

    • Author(s)
      國枝繁樹
    • Journal Title

      租税研究

      Volume: 861 Pages: 108-124

    • NAID

      40022617834

    • Related Report
      2019 Annual Research Report
  • [Journal Article] MMT(現代貨幣理論)はどこが間違っているのか?2021

    • Author(s)
      國枝繁樹
    • Journal Title

      証券レビュー

      Volume: 61(4) Pages: 7-40

    • NAID

      40022617834

    • Related Report
      2019 Annual Research Report
    • Open Access
  • [Journal Article] 独立財政機関と国債市場:国際比較と日本への政策的含意2021

    • Author(s)
      宮崎智視
    • Journal Title

      ゆうちょ資産研究:研究助成論文集

      Volume: 28 Pages: 31-49

    • NAID

      40022741569

    • Related Report
      2019 Annual Research Report
  • [Journal Article] パンデミックと財政の役割2021

    • Author(s)
      宮崎智視
    • Journal Title

      国民経済雑誌

      Volume: 223(4) Pages: 45-63

    • NAID

      40022566057

    • Related Report
      2019 Annual Research Report
  • [Journal Article] 「消費税の増税および財政再建に関する意識調査」を踏まえたtaxpayer paradoxの考察2020

    • Author(s)
      富田愛優, 大野裕之, 亀田啓悟, 川瀬晃弘, 玉岡雅之, 中澤克佳, 宮崎智視, 横山直子.
    • Journal Title

      公共選択

      Volume: 73 Pages: 143-160

    • Related Report
      2019 Annual Research Report
  • [Journal Article] 固定資産税と土地利用:1990年代前半の制度改正に着目した実証分析2020

    • Author(s)
      宮崎智視
    • Journal Title

      住宅土地経済

      Volume: 116 Pages: 10-17

    • NAID

      40022201841

    • Related Report
      2019 Annual Research Report
  • [Journal Article] 英語での政策論文の書き方2020

    • Author(s)
      宮崎智視
    • Journal Title

      国民経済雑誌

      Volume: 221(1) Pages: 43-50

    • Related Report
      2019 Annual Research Report
  • [Journal Article] 都市農業と土地税制に関する論点整理2020

    • Author(s)
      宮崎智視
    • Journal Title

      不動産学会誌

      Volume: 34(1) Pages: 21-26

    • NAID

      130008058519

    • Related Report
      2019 Annual Research Report
  • [Journal Article] Property Tax Reform and Land Use: Evidence from the 1990s reforms in Japan2020

    • Author(s)
      Tomomi Miyazaki and Motohiro Sato
    • Journal Title

      Discussion Paper, Trade and Industry Research Institute of Economy (RIETI)

      Volume: 18-E-072 Pages: 1-48

    • Related Report
      2018 Annual Research Report
    • Open Access
  • [Journal Article] 財政再建と納税意識に関する意識調査:序説2019

    • Author(s)
      宮崎智視
    • Journal Title

      国民経済雑誌

      Volume: 220(2) Pages: 99-107

    • Related Report
      2019 Annual Research Report
  • [Journal Article] The Sustainability of Japan’s Government Debt: A Review2017

    • Author(s)
      Tomomi Miyazaki, Kazuki Onji
    • Journal Title

      Theoretical Economics Letters

      Volume: 6(6) Issue: 06 Pages: 1632-1645

    • DOI

      10.4236/tel.2017.76110

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Is fiscal expansion more effective in a financial crisis?2017

    • Author(s)
      Ashihara, Ayato & Keigo Kameda
    • Journal Title

      Applied Economics Letters

      Volume: 印刷中 Issue: 2 Pages: 111-114

    • DOI

      10.1080/13504851.2017.1299098

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Distributional Preference in Japan2017

    • Author(s)
      Kameda, Keigo & Sato,Miho.
    • Journal Title

      The Japanese Economic Review

      Volume: 印刷中 Issue: 3 Pages: 394-408

    • DOI

      10.1111/jere.12112

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] 1990年代以降の裁量的財政政策と財政赤字2016

    • Author(s)
      宮崎智視
    • Journal Title

      租税研究

      Volume: 801 Pages: 278-286

    • NAID

      40020874983

    • Related Report
      2016 Annual Research Report
    • Acknowledgement Compliant
  • [Journal Article] The Effects of Immigration on Social Expenditure in Host Countries2016

    • Author(s)
      Miyazaki, Tomomi & Matsuyama, Takuya
    • Journal Title

      Kobe University Discussion Paper

      Volume: 1708 Pages: 1-52

    • Related Report
      2016 Annual Research Report
    • Open Access / Acknowledgement Compliant
  • [Presentation] The productivity of public capital in Japan.2021

    • Author(s)
      Fukui, M., Kameda, K., Lu, Z.
    • Organizer
      The 20th International Conference of the Japan Economic Policy Association
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] On Donation Motivation for the Hometown Taxation: A Conjoint Analysis on the Returned Gifts.2021

    • Author(s)
      Ishimaru, T., Kameda, K., Lu, Z.
    • Organizer
      The 20th International Conference of the Japan Economic Policy Association
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Vacancy Duration and Recruiting Behavior.2021

    • Author(s)
      Lu, Z., Kameda, K., Fukui, M., Miwa, H.
    • Organizer
      The 20th International Conference of the Japan Economic Policy Association
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Property Tax Reform and Land Use: Evidence Japan.2021

    • Author(s)
      Miyazaki, T.
    • Organizer
      The 15th North American Meeting of the Urban Economic Association
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 納税意識と租税抵抗:『消費税の増税および財政再建に関する意識調査』を踏まえて2021

    • Author(s)
      富田愛優,大野裕之,亀田啓悟,川瀬晃弘,玉岡雅之,中澤克佳,宮崎智視,横山直子
    • Organizer
      日本財政学会第78回大会(オンライン)企画セッション「納税意識と租税抵抗」
    • Related Report
      2019 Annual Research Report
  • [Presentation] Fiscal Sentiment and Long-Term Interest Rates2020

    • Author(s)
      Kameda, K.
    • Organizer
      2020 Spring Meeting of the Japanese Economic Association
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Modern Monetary Theory as the Ricardian Equivalence with Seigniorage in a Liquidity Trap2020

    • Author(s)
      Kunieda, S.
    • Organizer
      第77回日本財政学会(オンライン)
    • Related Report
      2019 Annual Research Report
  • [Presentation] Modern Monetary Theory as the Ricardian Equivalence with Seigniorage in a Liquidity Trap2020

    • Author(s)
      Kunieda, S.
    • Organizer
      日本経済学会秋季大会(オンライン)
    • Related Report
      2019 Annual Research Report
  • [Presentation] Tax Morale and Tax Resistance: Evidence from a Representative Japanese Population Survey2020

    • Author(s)
      Tamaoka, M., Tomita, A., Kameda, K., Kawase, A., Nakazawa, K., Ono, H., Yokoyama, N.
    • Organizer
      The 19th International Conference of the Japan Economic Policy Association
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Stock Market Response to Public Investment under the Zero Lower Bound: Cross-Industry Evidence from Japan.2020

    • Author(s)
      Miyazaki, T.
    • Organizer
      The 113th Annual Conference on Taxation
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Fiscal Sentiment and Long-Term Interest Rates2019

    • Author(s)
      Kameda, K.
    • Organizer
      The 76th Annual Congress of the International Institute of Public Finance
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Speculative Bubbles and Tax Policy2019

    • Author(s)
      Kunieda, S.
    • Organizer
      75th Annual Congress of the International Institute of Public Finance (IIPF 2019)
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] GDP-linked Bonds in Japan and Their Implications on Public Pension Policy2019

    • Author(s)
      Kunieda, S.
    • Organizer
      75th Annual Congress of the International Institute of Public Finance (IIPF 2019)
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Interactions between Monetary and Fiscal Stimulus and Regional Employment: Evidence from Japan.2019

    • Author(s)
      Miyazaki, T.
    • Organizer
      The Fifteenth Annual Conference on Asia-Pacific Economic Association
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Interactions between Monetary and Fiscal Stimulus and Regional Employment: Evidence from Japan.2019

    • Author(s)
      Miyazaki, T.
    • Organizer
      The Singapore Economic Review Conference 2019
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Fiscal Sentiment and Long-Term Interest Rates2018

    • Author(s)
      Kameda, Keigo
    • Organizer
      The 93th Annual Conference of the Western Economic Association International
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Fiscal Sentiment and Long-Term Interest Rates2018

    • Author(s)
      亀田啓悟
    • Organizer
      第22回公共選択学会全国大会
    • Related Report
      2018 Annual Research Report
  • [Presentation] GDP-linked Bonds in Japan and Their Implications on Public Pension Policy2018

    • Author(s)
      Kunieda, Shigeki
    • Organizer
      International Conference on Public Economic Theory (PET2018)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Property Tax and Land Use: Evidence from the reforms in the 1990s in Japan2018

    • Author(s)
      Miyazaki, Tomomi
    • Organizer
      The Fourteenth Annual Conference on Asia-Pacific Economic Association
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 『機動的な財政政策』に関する論点整理2018

    • Author(s)
      宮崎智視
    • Organizer
      日本経済政策学会第75回大会 共通論題2「財政政策」
    • Related Report
      2018 Annual Research Report
    • Invited
  • [Presentation] Property Tax and Land Use: Evidence from the Japan's reform in the 1990s2018

    • Author(s)
      Miyazaki, Tomomi
    • Organizer
      The 2018 annual meeting of the Public Choice Society
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Crowding out Effects of Public Works on Private Employment: A Case in the Stricken Area of the Great East Japan Earthquake.2017

    • Author(s)
      Kameda, Keigo
    • Organizer
      The 18th international Conference of the Association for Public Economic Theory
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Reconsidering the Non-Keynesian Effects: A Microdata Analysis.2017

    • Author(s)
      亀田啓悟
    • Organizer
      第74回日本財政学会
    • Related Report
      2017 Annual Research Report
  • [Presentation] Crowding out Effects of Public Works on Private Employment: A Case in the Stricken Area of the Great East Japan Earthquake.2017

    • Author(s)
      亀田啓悟
    • Organizer
      2017年度日本経済学会秋季大会
    • Related Report
      2017 Annual Research Report
  • [Presentation] Crowding out Effects of Public Works on Private Employment: A Case in the Stricken Area of the Great East Japan Earthquake.2017

    • Author(s)
      Kameda, Keigo
    • Organizer
      Japanese Economic Policy Association 2017
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 非市場性GDP連動債としてのみなし確定拠出年金(NDC)とその政策的含意2017

    • Author(s)
      國枝繁樹
    • Organizer
      第74回日本財政学会
    • Related Report
      2017 Annual Research Report
  • [Presentation] Public Investment and Stock Prices: The case of Japan2017

    • Author(s)
      Miyazaki, Tomomi
    • Organizer
      Western Economic Association 92nd Annual Conference
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Public Investment and Stock Prices: The case of Japan2017

    • Author(s)
      Miyazaki, Tomomi
    • Organizer
      73rd Annual Congress of the International Institute of Public Finance
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Property Tax and Land Use in Japan2017

    • Author(s)
      Miyazaki, Tomomi
    • Organizer
      73rd Annual Congress of the International Institute of Public Finance
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Flexibility of Deficit Ceiling and Income Fluctuation in a Political Economy2016

    • Author(s)
      Ihori, Toshihiro & Kameda, Keigo
    • Organizer
      第20回公共選択学会全国大会
    • Place of Presentation
      拓殖大学(東京、文京区)
    • Year and Date
      2016-12-17
    • Related Report
      2016 Annual Research Report
  • [Presentation] Reconsideration for Non-Keynesian Effects in Japan2016

    • Author(s)
      Kameda, Keigo
    • Organizer
      the 15th International Conference of the Japan Economic Policy Association
    • Place of Presentation
      大沼国際セミナーハウス(北海道、函館市)
    • Year and Date
      2016-10-29
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Reconsideration for Non-Keynesian Effects in Japan2016

    • Author(s)
      Kameda, Keigo
    • Organizer
      Japanese Public Economics Workshop
    • Place of Presentation
      Exeter (UK)
    • Year and Date
      2016-09-16
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Flexibility of Deficit Ceiling and Income Fluctuation in a Political Economy2016

    • Author(s)
      Ihori, Toshihiro & Kameda, Keigo
    • Organizer
      The 72th annual congress of the International Institute of Public Finance
    • Place of Presentation
      Reno (US)
    • Year and Date
      2016-08-09
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Magical Economic Theory: A Explanation of Fiscal Fatigue2016

    • Author(s)
      Kunieda, Shigeki
    • Organizer
      The 72th annual congress of the International Institute of Public Finance
    • Place of Presentation
      Reno (US)
    • Year and Date
      2016-08-09
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Crowding out Effects of Public Works on Private Employment: A Case in the Stricken Area of the Great East Japan Earthquake2016

    • Author(s)
      Kameda, Keigo & Miwa, Hiroyoshi & Nagamine, Jun-ichi
    • Organizer
      the 91th Annual Conference of Western Economic Association international
    • Place of Presentation
      Portland (US)
    • Year and Date
      2016-06-29
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Book] Procyclical Fiscal Policy2018

    • Author(s)
      Toshihiro Ihori and Keigo Kameda
    • Total Pages
      69
    • Publisher
      Springer
    • ISBN
      9789811329944
    • Related Report
      2018 Annual Research Report
  • [Book] 神戸大学経済経営学会編『ハンドブック経済学 改訂版』2016

    • Author(s)
      宮崎智視
    • Publisher
      ミネルヴァ書房
    • Related Report
      2016 Annual Research Report

URL: 

Published: 2016-04-21   Modified: 2023-01-30  

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