| Budget Amount *help |
¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2021: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2020: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2019: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2018: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
|
|---|
| Outline of Final Research Achievements |
This research project proposes an equilibrium model of the term structures of interest rates and stock dividends, which has an equal descriptive power to reduced-form models that can be specified more flexibly than equilibrium models. A novel feature of the proposed model is that the preference parameters of a representative investor's utility function depend on state variables of the economy and financial markets, which is the key to generating various shapes of the term structures. While the risk aversion implied in the initial calibration is too large and volatile, it becomes reasonable by slightly reducing a model-producing slope of the dividend term structure.
|
