2016 Fiscal Year Final Research Report
Simultaneous estimates of stock and bond risk premiums based on a no-arbitrage pricing model
| Project/Area Number |
15K17090
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Money/ Finance
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| Research Institution | Shiga University |
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Principal Investigator |
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| Project Period (FY) |
2015-04-01 – 2017-03-31
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| Keywords | 無裁定価格理論 / 金利期間構造モデル / 配当割引モデル / リスクプレミアム / 量的緩和政策 |
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| Outline of Final Research Achievements |
In estimating bond and stock risk premiums simultaneously, it is desirable to use a pricing model which allows to take into account developments in financial markets. However, models proposed in the previous studies do not ensure the non-negativity of nominal interest rates and dividend yield. This means that it is difficult for these models to capture the low-interest rate environment since 2008. In this study, we constructed a joint pricing model of stocks and bonds which ensures the non-negativity of nominal interest rates and dividend yield and has the time-varying price volatility. Furthermore, we gave some interpretations of the bond and stock risk premium estimates in an empirical analysis of our proposed model using U.S. stock index and government bond interest rates.
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| Free Research Field |
経済統計学
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