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Theoretical and empirical investigation of rational and irrational leraning effects on bond prices and CDS

Research Project

Project/Area Number 24530351
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Public finance/Monetary economics
Research InstitutionHiroshima University

Principal Investigator

Ono Sadayuki  広島大学, 社会(科)学研究科, 准教授 (80602002)

Project Period (FY) 2012-04-01 – 2016-03-31
Project Status Completed (Fiscal Year 2015)
Budget Amount *help
¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000)
Fiscal Year 2014: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2013: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2012: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
Keywords債券価格 / CDS / 学習効果 / 信用スプレッド / CDSスプレッド / 実証研究 / 国債価格 / クレジィト・デフォルト・スワップ
Outline of Final Research Achievements

This study conducts theoretical and empirical investigation on bond prices and Credit Dafault Swap(CDS) spreads, taking into account of learning effects. The expected growth rates of economic fundamentals cannot be accurately observed due to the incomplete information. As a result, the investor needs to learn or evaluate them. Two learning methods are applied to the model. One is the rational Bayesian learning, and the other is irrational such as conservative, representative, optimistic, and pessimistic learnings.

The model shows that mean reversion of the return volatility of defautable bonds, which is observed by data, can be explained by the time variation of the learning effects. Moreover, credit spreads obtained from the model with a reasonable value of relative risk aversion are close to values observed in the US credit market. However, the model-implied CDS spreads show somewhat smaller values compared to the data.

Report

(5 results)
  • 2015 Annual Research Report   Final Research Report ( PDF )
  • 2014 Research-status Report
  • 2013 Research-status Report
  • 2012 Research-status Report
  • Research Products

    (5 results)

All 2014 2012

All Presentation (5 results) (of which Invited: 1 results)

  • [Presentation] Term Structure Dynamics in a Monetary Economy with Learning2014

    • Author(s)
      Sadayuki Ono
    • Organizer
      Eastern Finance Association
    • Place of Presentation
      米国ピッツバーグ市
    • Year and Date
      2014-04-11
    • Related Report
      2014 Research-status Report
  • [Presentation] Term Structure Dynamics in a Monetary Economy with Leranning2014

    • Author(s)
      小野貞幸
    • Organizer
      Midwest Finance Association
    • Place of Presentation
      米国 オーランド市
    • Related Report
      2013 Research-status Report
  • [Presentation] Term Structure Dynamics in a Monetary Economy with Leranning2014

    • Author(s)
      小野貞幸
    • Organizer
      Eastern Finance Association
    • Place of Presentation
      米国 ピッツバーグ市
    • Related Report
      2013 Research-status Report
  • [Presentation] Term Structure Dynamics in a Monetary Economy with Learning2012

    • Author(s)
      小野貞幸
    • Organizer
      日本ファイナンス学会第20回
    • Place of Presentation
      一橋大学大学院ICS
    • Related Report
      2012 Research-status Report
  • [Presentation] Term Structure Dynamics in a Monetary Economy with Learning2012

    • Author(s)
      小野貞幸
    • Organizer
      近経研究会
    • Place of Presentation
      横浜国立大学経済学部
    • Related Report
      2012 Research-status Report
    • Invited

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Published: 2013-05-31   Modified: 2019-07-29  

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