Quadratic Gaussian Joint Pricing Model for Stocks and Bonds: Theory and Empirical Analysis
Quadratic Gaussian Joint Pricing Model for Stocks and Bonds: Theory and Empirical Analysis
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股票和债券的二次高斯联合定价模型：理论与实证分析
DOI：
10.1142/9789814730778_0006
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Kentaro Kikuchi
中科院分区：
文献类型：
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作者：
Hiroyasu Ando;Kohta Takehara and Miki Kobayashi;Kohta Takehara;Kohta Takehara;Kohta Takehara;Kohta Takehara;Kohta Takehara;Kohta Takehara;Kohta Takehara;Kohta Takehara;大熊 正哲;梶谷真也;Shinya Kajitani;梶谷真也;梶谷真也;梶谷真也;梶谷真也;Kentaro Kikuchi;Kentaro Kikuchi
本文提出了一个无套利框架下的股票和债券联合定价模型。以与二次高斯期限结构模型一致的方式获得股票价格表示，其中短率是状态变量的二次形式。在这项研究中，使用状态变量的二次型将股利指定为函数，从而得到在状态变量中指数二次的股票价格表示。我们证明了决定股票价格的系数必须满足一些矩阵方程，包括一个代数Riccati方程。此外，我们还给出了矩阵方程有唯一解的充分条件。在我们使用日本数据进行的实证分析中，我们得到的估计与实际数据很好地吻合。此外，我们估计了股票和债券的风险溢价，并分析了日本央行的非常规货币政策是如何影响这些风险溢价的。
This study proposes a joint pricing model for stocks and bonds in a noarbitrage framework. A stock price representation is obtained in a manner consistent with the quadratic Gaussian term structure model, in which the short rate is the quadratic form of the state variables. In this study, specifying the dividend as a function using the quadratic form of the state variables leads to a stock price representation that is exponential-quadratic in the state variables. We prove that the coefficients determining the stock price have to satisfy some matrix equations, including an algebraic Riccati equation. Moreover, we specify the sufficient condition in which the matrix equations do have a unique solution. In our empirical analysis using Japanese data, we obtain estimates with a good fit to the actual data. Furthermore, we estimate the risk premiums for stocks and bonds and analyze how the BOJ’s unconventional monetary policy has affected these risk premiums.