1996 Fiscal Year Final Research Report Summary
INFLATION AND THE GOVERNMENT BOND MARKETS IN JAPAN
| Project/Area Number |
07630081
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
Public finance/Monetary economics
|
|---|
| Research Institution | HITOTSUBASHI UNIVERSITY |
|---|
Principal Investigator |
KAMAE Hiroshi HITOTSUBASHI UNIV.COMMERCE,PROF., 商学部, 教授 (60091542)
|
|---|
| Project Period (FY) |
1995 – 1996
|
| Keywords | Government bond markets / estimation of yield curve / Fisher hypothesis / bench-mark issues / Darby hypothesis / 指標銘柄 / 共和分 / イールド・カーブ |
|---|
| Research Abstract |
In this research, I have analyzed structure of the government bonds markets, especially those of the long-term bonds in Japan, by studying the term structure of the interest rates and the Fisher hypothesis. The sample period is from 1977 to 1993. I have tested whether the Fisher hypothesis holds or not. I have estimated them by the Johansen cointegration approach.
I estimated unobservable expected inflation rates by using the Kalman filter. The Fisher hypothesis, that is lambda=1, and alpha=constant in the equation i=alpha+lambda. E_t(pi_t)+v_t was rejected, and my tests showed that the Darby and Feldstein hypothesis was supported. They show that the interest rates change larger the change in expected inflation rate.
I also analyzed estimation of the yield curves. I used the weighted least squares method in order to take account of the bench-mark issues, which are actively traded in our bond markets.
I found that the samples including them is not appropriate because they have not formed smooth yield curves.
|
