A study of puzzle of the term premium in the term structure of interest rates

Research Project

Project/Area Number	21730269
Research Category	Grant-in-Aid for Young Scientists (B)
Allocation Type	Single-year Grants
Research Field	Public finance/Monetary economics
Research Institution	Kyoto Bunkyo University
Principal Investigator	NAKAOTA Hiroshi 京都文教大学, 総合社会学部, 講師 (50454989)
Project Period (FY)	2009 – 2011
Project Status	Completed (Fiscal Year 2011)
Budget Amount *help	¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000) Fiscal Year 2011: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000) Fiscal Year 2010: ¥520,000 (Direct Cost: ¥400,000、Indirect Cost: ¥120,000) Fiscal Year 2009: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Keywords	金融論 / アセット・プライシング
Research Abstract	We carried out investigations into solving a puzzle of the term premium in the term structure of interest rates. We identified Japanese macroeconomics shocks using a structural vector autoregression model with consideration for structural changes. Next, we examined whether the relation between the term spread and the future economic activity is related to the monetary policy or not. We examined whether the Japanese macroeconomics shocks explain the term premium or not. Our results suggest that the relation between macroeconomic shocks and the term premium might change after structural change.

Report

(4 results)