2011 Fiscal Year Final Research Report
A study of puzzle of the term premium in the term structure of interest rates
| Project/Area Number |
21730269
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Kyoto Bunkyo University |
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Principal Investigator |
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| Project Period (FY) |
2009 – 2011
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| Keywords | 金融論 / アセット・プライシング |
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| Research Abstract |
We carried out investigations into solving a puzzle of the term premium in the term structure of interest rates. We identified Japanese macroeconomics shocks using a structural vector autoregression model with consideration for structural changes. Next, we examined whether the relation between the term spread and the future economic activity is related to the monetary policy or not. We examined whether the Japanese macroeconomics shocks explain the term premium or not. Our results suggest that the relation between macroeconomic shocks and the term premium might change after structural change.
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