JGB market, debt management and market policy

2016 Fiscal Year Final Research Report

• Project/Area Number: 26512013
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: 公共政策
• Research Institution: Tokyo Keizai University
• Principal Investigator: KAMAE Hiroshi 東京経済大学, 経済学部, 教授 (60091542)
• Project Period (FY): 2014-04-01 – 2017-03-31
• Keywords: 国債管理政策 / 非市場性債券 / 市場効率性 / 債券需給 / 証券市場政策 / 流動性 / 取引コスト / ボラティリティ

Outline of Final Research Achievements

The aims of this project are (1) to explain Japanese government bonds (JGBs') underwriting process, (2) to estimate demand and supply of JGBs, and to analyze market efficiency, (3) to propose new method of efficiency of the market, (4) to analyze market microstructure of the JGBs.
We describe making of JGBs’ underwriting syndicates in 1910 and 1960 . In 1960,the syndicate was made following Government guaranteed bonds. Next, we estimate demand and supply functions of JGBs, and found the markets are not always in equilibrium. Also, the markets were not efficient, especially in intervened periods. So, we proposed issuing unmarketable bonds to make the markets more efficient. Finally, we found some structural changes in the liquidity of the JGB futures market, and some changes in market system made the futures market more efficient.

Free Research Field

金融論・証券論（証券史）