2009 Fiscal Year Final Research Report
On the Risk Premium and Exchange Rate Puzzles
| Project/Area Number |
19330070
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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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 | Keio University |
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Principal Investigator |
WADA Kenji Keio University, 商学部, 教授 (30317325)
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| Co-Investigator(Renkei-kenkyūsha) |
BASU Parantap Durham University, Department of Economics and Finance, Professor
BARR David Durham University, Business School, Professor
SEMENOV Andrei York University, Department of Economics, Assistant Professor
KUBOTA Keiichi 中央大学, ビジネススクール, 教授
TOKUNAGA Toshifumi 武蔵大学, 経済学部, 教授
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| Project Period (FY) |
2007 – 2009
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| Keywords | CCAPM / 非完備市場 / 家計調査 / CEX / FES / 個人消費 / ヘッジできないリスク |
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| Research Abstract |
In this paper, I solved a risk premium and an exchange rate puzzle by working with an incomplete model where a cross sectional variance of log consumption level of each individual plays a crucial role. I also conducted empirical analyses on the nature of stock returns in Japan.
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[Remarks] Kubota, Keiichi, Toshifumi Tokunaga and Kenji Wada (2010),“Long-Term Behavior of Weekly Portfolio Returns in Japan: Effects of Non-Synchronous Trading", mimeo
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[Remarks] Barr, David, Parantap Basu and Kenji Wada (2010),“Uninsurable Risk and the Determination of Real Interest Rates: An Investigation using UK Indexed Bonds",投稿中
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[Remarks] Basu, Parantap, Andrei Semenov and Kenji Wada (2009),“Uninsurable Risk and Financial Market Puzzles",投稿中
