2012 Fiscal Year Final Research Report
Tests of Market Efficiency of the JGB Markets and JGBManagement Policy
| Project/Area Number |
22530319
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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 | Tokyo Keizai University |
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Principal Investigator |
KAMAE Hiroshi 東京経済大学, 経済学部, 教授 (60091542)
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| Co-Investigator(Kenkyū-buntansha) |
AKIMORI Hiroshi 北星学園大学, 経済学部, 教授 (00285511)
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| Project Period (FY) |
2010 – 2012
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| Keywords | 国債市場 / 市場の効率性 / 弱度の効率性 / 準強度の効率性 / 国債管理政策 / イールド・カーブ / 国債先物 / 国債の流動性 |
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| Research Abstract |
We investigated markets of the Japanese Government Bond (JGB), local government bonds and corporate bonds in pre-war period, and tested market efficiency hypothesis. Other aims were to investigate effect of macroeconomic factors and quantity of bonds on yield curves, and also to test relation of liquidity, transaction cost and risk factor in the JGB futures markets.
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Research Products
(8 results)
