Statistical Analysis and Modeling of the Characteristics of the Term Structure and Interest Rates.
| Project/Area Number |
17530239
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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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 | Yokohama National University |
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Principal Investigator |
KURASAWA Motonari Yokohama National University, International Graduate School of Social Sciences, professor (40018057)
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| Co-Investigator(Kenkyū-buntansha) |
KOBAYASHI Masahito Yokohama National University, Fuculty of Economics, professor (60170354)
MORITA Hiroshi Yokohama National University, Fuculty of Business Adoministration, professor (70239664)
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| Project Period (FY) |
2005 – 2007
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| Project Status |
Completed (Fiscal Year 2007)
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| Budget Amount *help |
¥3,570,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥270,000)
Fiscal Year 2007: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2006: ¥900,000 (Direct Cost: ¥900,000)
Fiscal Year 2005: ¥1,500,000 (Direct Cost: ¥1,500,000)
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| Keywords | Interest rates / behavioral finance / GARCH / Portfolio / dynamic factor model / 債券価格 / カルマンフィルター / ジャンプ / Stochastic Volatility / EGARCH |
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| Research Abstract |
In Kurasawa's research the price of securities is analyzed from the view point of behavioral finance, since it is closely related to interest rates. In actual markets, institutional restrictions to be neglected in theoretical analysis can affect the behavior of the market participants and the interest rates and security prices. In Kobayashi's research stochastic volatility models and GARCH models are considered and obtained a Lagrange multiplier test for the latter against the former, noting that the former model nests the latter model in it. He also obtained a test for the presence of jumps by including jumps in GARCH and Stochastic models. He also considered a test for single factor model for interest rates.
Morita considered the pension portfolio problem when the interest rates vary stochastically. He also considered the optimal portfolio under some mathematical assumptions. This research was published in Modern Finance after revewing. He also considered the modeling of interest rates in the presence of latent variables and checked the consistency between the theoretical characteristics and the s actual behavior of interest rates.
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Report
(4 results)
Research Products
(20 results)
