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1999 Fiscal Year Final Research Report Summary

Empirical analysis on household portfolio behaior

Research Project

Project/Area Number 09630028
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionKeio University

Principal Investigator

MAKI Atsushi  Keio University, Faculty of Business and Commerce, Professor, 商学部, 教授 (20051906)

Co-Investigator(Kenkyū-buntansha) YOSHINO Naoyuki  Keio University, Faculty of Economics, Professor, 経済学部, 教授 (50128584)
Project Period (FY) 1997 – 1999
Keywordsequity premium puzzle / risk-free rate puzzles / trading costs / Big Bang / postal saving system / Japan's financial system
Research Abstract

In a series of analyses, we made an analysis on the equity premium and risk-free rate puzzles using Japanese data. The Hansen and Singleton model fails to explain the equity premium puzzle, while the trading costs model can satisfactory explain the equity premium and risk-free rate puzzles. After 1996 Big Bang, household portfolio behavior has gradually changed. Japan needs to achieve a modern financial system consistent with the goals of the Big Bang.

  • Research Products

    (8 results)

All Other

All Publications (8 results)

  • [Publications] Aiyoshi E: "An Application of the Continuous Time Replicator Dynamic to Economic"Mathematics and Computers in Simulation. (近刊).

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 吉野直行: "信託の経済分析"ジュリスト. 38-43 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Rhodes J.: "Window Guidance by the Bank of Japan"Gontenyway Economic Policy. 17・2. 166-176 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 吉野直行: "公共投資の経済効果"日本評論社. (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Aiyoshi, E., K Horie and A. Maki: "An application of the continuous time replicator dynamic to economics"Mathematics and Computers in Simulation. (forthcoming).

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Naoyuki Yoshino: "Analysis of trust"Jurisuto. 38-43 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Rodes, J and N. Yoshino: "Window Guidance by the Bank of Japan"Contemporary Economic Policy. 166-176 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Naoyuki Yoshino: "Economic Analysis of Public Investment"Nippyou. (1999)

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

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Published: 2001-10-23  

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