• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to project page

2015 Fiscal Year Final Research Report

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

Research Project

  • PDF
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
Keywords債券価格 / CDS / 学習効果
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.

Free Research Field

ファイナンス

URL: 

Published: 2017-05-10  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi