Construction and application of an interest rate term structure model suitable for a negative yield curve environment
| Project/Area Number |
17K03802
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Shiga University |
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Principal Investigator |
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| Project Period (FY) |
2017-04-01 – 2020-03-31
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| Project Status |
Completed (Fiscal Year 2019)
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| Budget Amount *help |
¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Fiscal Year 2019: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2018: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2017: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
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| Keywords | 金利期間構造モデル / マイナス金利 / 正金利モデル / 下限金利 / ブラウン橋過程 / ゼロクーポン金利 / 非伝統的金融政策 / 量的緩和政策 / リスクプレミアム / 金融工学 / 金融政策 |
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| Outline of Final Research Achievements |
We constructed a term structure model that captures a yield curve taking negative values for the medium and long term interest rates. Introducing the stochastic lower bound of interest rates approaching zero towards the end of the unconventional monetary policy brought us a realistic model in which interest rates at negative values return to positive rates at the end of the policy. The results of model estimation using Japanese government bond interest rate data showed that the expected value of the duration until the end of the unconventional monetary policy is about seven years in the fall of 2015; on the other hand, it is beyond 10 years after February in 2016.
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| Academic Significance and Societal Importance of the Research Achievements |
イールドカーブには、景気・物価・金融政策に対する市場参加者の見通しが織り込まれており、これをデータからモデルに基づき抽出することは金融実務において有意義である。本研究で構築した金利期間構造モデルは、日欧の国債市場で近年みられる負の金利を含むイールドカーブへの当てはまりが良いことに加え、非伝統的金融政策の終了時期に関する市場の見通しを適切に抽出できる。非伝統的金融政策の終了が市場で強く意識される局面で、特に有用なモデルとなるだろう。
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Report
(4 results)
Research Products
(12 results)
