2014 Fiscal Year Final Research Report
Economics of creating new financial products and of providing their transaction opportunities
| Project/Area Number |
24653076
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| Research Category |
Grant-in-Aid for Challenging Exploratory Research
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| Allocation Type | Multi-year Fund |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Waseda University |
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Principal Investigator |
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Keywords | デリバティブ / 金利スワップ / BSオプションモデル / OTCデリバティブ / 種類株式 |
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| Outline of Final Research Achievements |
We propose to see creation of financial new products and provision of their trading opportunities as economic activities themselves by private economic entities based on economic profit motives, and see whether there is a market failure there, which brings vulnerability in the financial system. For derivatives traded on an exchange, the Nikkei 225 options, we find the debt value inherent in the options is 16.6 times of the option value outstanding. Although the ratio is large, its absolute value is not if compared it with the balances of Japanese Government Bonds and of Japanese corporate bonds. We also confirm that general financial institutions have incentives to carry out the interest rate swap on over-the-counter bases. What are factors that affect the degree of heterogeneity between the economic entities, the main cause of the creating and providing activities, remains to be explored in the future.
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| Free Research Field |
ファイナンス
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