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1998 Fiscal Year Final Research Report Summary

Theoretical and Empirical Studies on the Effect of Derivatives Trading on Economy

Research Project

Project/Area Number 08453012
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionYokohama National University

Principal Investigator

KURASWA Motonori  Yokohama National University, Economics, Professor, 経済学部, 教授 (40018057)

Co-Investigator(Kenkyū-buntansha) MORITA Hirosi  Yokohama National University, Business Administration, Associate Professor, 経営学部, 助教授 (70239664)
HONDA Toshiki  Yokohama National University, Economics, Associate Professor, 経済学部, 助教授 (70303063)
AKIYAMA Taro  Yokohama National University, Economics, Professor, 経済学部, 教授 (40167854)
YANO Makoto  Keio University, Economics, Professor, 経済学部, 教授 (30191175)
Project Period (FY) 1996 – 1998
Keywordsvolatility / interest rate futures / asset pricing / portfolio / general equilibrium model of security market / derivatives
Research Abstract

By considering investment strategy duplicating payoff of futures, we derived a theoretical pricing formula of futures. Using this result, we investigated price formation of Euro-Yen Interest rate futures market empirically. We found (1) prices of interest rate futures contains information about forward rates in the future (2) when taking periods of five to seven days , movement of actual and theoretical prices are closely correlated (3) considerable part of discrepancy between actual and theoretical prices is eliminated within a day.
Also, we constructed general equilibrium models of security market with varying investment opportunity and heterogeneous investors. First, we analyzed an economy consisting of myopic investors and long-sighted investors In this model, we assume the utility function of long-sighted investor did not depend on his own wealth, but on total wealth of individuals. This means the long-sighted investor is a institutional investor to which households entrust investment of some of their wealth. We got a result that volatility of short-term interest is necessarily greater in this economy than in an economy consisting of homogeneous investors. Second, we analyzed an economy consisting of log-utility investors and power-utility investors, in which mean return of investment follows a mean reverting process. For the simplest case where only power utility investors exist, we derived analytically the equilibrium. Next, by using numerical analysis, we investigated the equilibrium of the model for a general case. Furthermore, by using numerical analysis, the effect of increase in variety of assets which can be interpreted as introduction of new securities such as derivatives on asset prices was analyzed.

  • Research Products

    (10 results)

All Other

All Publications (10 results)

  • [Publications] 倉澤 資成: "「転換社債の情報伝達機能-日本市場のevent study」" 現代ファイナンス. 第1号. 33-54 (1997)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 倉澤 資成: "「金利変動と先物価格の複製過程:ユーロ円金利先物市場の価格形成」" 金融研究.(日本銀行). 第17巻 第2号. 35-68 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 森田 洋: "「投資ホライゾンが多様な経済の均衡リスクプライス」" 横浜経営研究. 第17巻 第4号. 69-78 (1997)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 森田 洋: "「Cox-Huang Methodについてのノート」" 横浜経営研究. 第18巻 第3号. 65-77 (1997)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 秋山 太郎: "現代マクロ経済動学" 「企業家、イノベーションおよび資本市場:シュンペーター動学」, 350 (1997)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Morita, Hiroshi: ""A Note on Cox-Huang Method" (in Japanese)" Yokohama Keiei Kenkyu. Vol.17, No.4. 69-78

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Morita, Hiroshi: ""Equilibrium Risk Prices in An Economy Consisting of Agents with Various Time Horizons" (in Japanese)" Yokohama Keiei Kenkyu. Vol.18, No.3. 65-77 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kuraswa, Motonari, O.Dan and M.Hirota: ""Information Transmitting Function of Convertible Bonds : An Event Study of Japanese Markets, " (in Japanese)" Gendai Huainansu. No.1. 33-54 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kuraswa, Motonari and E Go: ""Interest Rate Movements and Duplicating Process of Futures Prices, " (in Japanese)" Kinyu Kenkyu. Vol.17, No.2. 35-68 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Akiyama, Taro: ""Entrepreneur, Innovation and Capital Market : a Schumpeterian Dynamics" (in Japanese)" Gendai Makuro Keizai Dogaku, K.Asako and M.Otaki eds.Tokyo University Press. 61-105 (1997)

    • Description
      「研究成果報告書概要(欧文)」より

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Published: 1999-12-08  

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