1998 Fiscal Year Final Research Report Summary
EFFICIENCNCY OF THE GOVERNMENT BOND MARKETS AND FOREIGN EXCHANGE MARKETS IN JAPAN
| Project/Area Number |
09630090
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | HITOTSUBASHI UNIVERSITY |
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Principal Investigator |
KAMAE Hiroshi HITOTSUBASHI UNIV., COMMERCE,PROF., 商学部, 教授 (60091542)
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| Project Period (FY) |
1997 – 1998
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| Keywords | Government bond markets / spot-equivalent futures price / Efficient market hypothesis / unbiasedness hypothesis / VECM |
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| Research Abstract |
In this research, I have analyzed structure of the government bonds markets and foreign exchange markets, by studying the efficient market hypothesis. The sample period is from 1977 to 1995.
I have tested whether the hypothesis of the foreign exchange markets holds or not. I have estimated the long-run unbiasedness hypothesis by the cointegration approach and found that the hypothesis not rejected. Then using VECM framework, I got the result that the short-run efficiency hypothesis did not hold.
I tested equality between the spot-equivalent futures price and price in order to examine the efficient market hypothesis through the cointegration approach. Then I estimated and tested cointegration parameters by the dynamic OLS.I found that the samples have cointegration relation, but the value of the parameter does not mean the equality, so I could not find the efficient market hypothesis true.
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