| Project/Area Number |
26512013
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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 |
公共政策
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| Research Institution | Tokyo Keizai University |
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Principal Investigator |
KAMAE Hiroshi 東京経済大学, 経済学部, 教授 (60091542)
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| Co-Investigator(Kenkyū-buntansha) |
皆木 健男 青山学院大学, 社会情報学部, 准教授 (70438349)
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2016: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2014: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
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| Keywords | 国債管理政策 / 非市場性債券 / 市場効率性 / 債券需給 / 証券市場政策 / 流動性 / 取引コスト / ボラティリティ / 非市場性国債 / 市場の効率性 / 債券の需要と供給 / 市場政策 / 国債市場 / 国債引受シンジケート / 高橋財政 / 債券需要と供給 / 市場均衡 |
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| Outline of Final Research Achievements |
The aims of this project are (1) to explain Japanese government bonds (JGBs') underwriting process, (2) to estimate demand and supply of JGBs, and to analyze market efficiency, (3) to propose new method of efficiency of the market, (4) to analyze market microstructure of the JGBs.
We describe making of JGBs’ underwriting syndicates in 1910 and 1960 . In 1960,the syndicate was made following Government guaranteed bonds. Next, we estimate demand and supply functions of JGBs, and found the markets are not always in equilibrium. Also, the markets were not efficient, especially in intervened periods. So, we proposed issuing unmarketable bonds to make the markets more efficient. Finally, we found some structural changes in the liquidity of the JGB futures market, and some changes in market system made the futures market more efficient.
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