2015 Fiscal Year Final Research Report
An empirical study on the Japanese bond risk premium
| Project/Area Number |
25380394
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Osaka University |
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Principal Investigator |
FUKUTA Yuichi 大阪大学, 経済学研究科(研究院), 教授 (00243147)
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Keywords | 債券リスクプレミアム |
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| Outline of Final Research Achievements |
This study investigates whether or not the model, which is effective to the US bond risk premium, has the explanatory power for the Japanese bond risk premium. Empirical results show that the model is also effective to the Japanese bond risk premium. The evidence implies that, whereas the investors on the Japanese government bond and the US government bond are different, the risk premia of these bonds are determined by the similar model.
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| Free Research Field |
金融・ファイナンス
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