Modeling and estimating the dynamics of expected inflation
Project/Area Number |
15K03538
|
Research Category |
Grant-in-Aid for Scientific Research (C)
|
Allocation Type | Multi-year Fund |
Section | 一般 |
Research Field |
Money/ Finance
|
Research Institution | Hitotsubashi University |
Principal Investigator |
|
Project Period (FY) |
2015-04-01 – 2018-03-31
|
Project Status |
Completed (Fiscal Year 2017)
|
Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2017: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2016: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2015: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
|
Keywords | インフレ / 期待 / リスクプレミアム / 均衡モデル / 資産価格モデル / 金利期間構造 / 配当期間構造 / サーベイ / 資産価格 / 期間構造 / サーベイデータ / 資産価格データ |
Outline of Final Research Achievements |
This research project proposes an equilibrium model of bonds and equities that incorporates information on expected inflation and estimates the model to elicit expected inflation and uncover its dynamics. The proposed model extends existing models in that preference parameters of a utility function depend on state variables of the economy and asset markets. It exhibits a high descriptive ability about term structures of bonds and equities. However, it obtains unrealistic economic implications such that when the risk aversion is set at 30 (which is acceptable compared with the previous work), the volatility of consumption growth rate exceeds 8% per year, which is too high. The model is extended by incorporating disaster risks into consumption and divided processes with a slight modification of parameter values. It then provides reasonable economic implications about risk aversion and consumption volatility without losing the statistical fit.
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Report
(4 results)
Research Products
(13 results)