2013 Fiscal Year Annual Research Report
金融緩和政策がおよぼす日本国債市場へのインパクトのモデル分析
| Project/Area Number |
13F03309
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| Research Institution | Tohoku University |
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Principal Investigator |
松田 安昌 東北大学, 経済学研究科, 教授
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| Co-Investigator(Kenkyū-buntansha) |
WALI Ullah 東北大学, 経済学研究科, 外国人特別研究員
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| Keywords | Nelson-Siegel model / interest rate / term structure / volatility / Garch effect / ZIRP |
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| Research Abstract |
In this study, we consider the generalized version of the Nelson-Siegel model with two slopes and curvatures, termed as generalized dynamic Nelson-Siegel (GDNS) model, which corresponds to a modern five-factor term structure model. The inclusion of second slope and curvature is helpful to fit the very short maturities, by restricting the role of the newly added slope and curvature factors to the short end of the curve. We argue that in addition to second curvature as in Svensson (1995), the second slope improves the model performance in terms of in-sample fit as well as out-of-sample forecasts. Finally, we show that introducing the common volatility component also improves the in-sample fit of the model. Moreover, the volatility in bond market is found to be asymmetrically affected by the positive and negative shock and recent shocks play more prominent role in explaining the current volatility rather than the lag volatility.
Regarding the out-of-sample forecasts, the results indicate that the model with two slopes and curvatures (GDNS) model outperforms its counterpart standard Nelson-Siegel model (DNS) model for all forecasts horizons. Allowing for time-varying volatility in the model (GDNS-EGARCH) enables it to better capture dynamics in the most volatile yields and produce relatively more accurate forecast at 6- and 12-month ahead horizons. However, the GDNS and even the simple DNS model outperform the GDNS-EGARCH at the short one-month forecast horizon. It seems that the GDNS model has higher forecasting capability for the short forecast horizons, i. e., one month, while the GDNS-EGARCH model has excellent performance for the medium and longer forecast horizons.
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| Current Status of Research Progress |
Current Status of Research Progress
2: Research has progressed on the whole more than it was originally planned.
Reason
The results discussed in previous section are the pre-request to implement the original plan applied to JSPS. It was decided to carry out the original plan in two stages. In the first stage, we have to develop an appropriate yield curve model that can grasp the characteristics of the term structure during the zero interest rate period (ZIRP). In the second stage, the model will be applied to figure out the transmission mechanism of monetary policy, considering the Japanese experience of non-conventional monetary policy during ZIRP.
The first stage is almost completed and satisfactory results have been obtained as discussed in the previous section.
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| Strategy for Future Research Activity |
We are heading to carry out the research, planned for the second stage of our plan. The main focus here is to analyze the "term structure of interest rates and monetary policy rules".
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