EFFICIENCY OF THE GOVERNMENT BOND MARKETS IN JAPAN

日本政府债券市场的效率

• 批准号: 05630056
• 负责人: KAMAE Hiroshi
• 金额: $ 0.96万
• 依托单位: HITOTSUBASHI UNIVERSITY
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for General Scientific Research (C)
• 财政年份: 1993
• 资助国家: 日本
• 起止时间: 1993 至 1994
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-05630056/
• 关键词: Government bond markets; Pure expectation hypothesis; Fisher hypothesis; Cointegration approach; Darby hypothesis; カルマン・フィルター; Darby仮説; 国債流通市場; VAR; 共和分

In this research, I have analyzed structure of the government bonds markets, especially those of the long-term bonds in Japan, by studying the term structure of the interest rates and the Fisher hypothesis. The sample period is enlarged to include 1977 to 1993. I have tested whether the pure expectations hypothesis holds or not, and the Fisher hypothesis holds or not. I have specified that hypotheses in terms of discount bonds by using VAR (vector autoregressive) method, and estimated it by the Johansen and Juselius (1990)' cointegration approach. When I have assumed that the expected value of all of the issues have unbiasedness property, then the estimation results rejected the hypothesis about almost all terms to maturity.I estimated unobservable expected inflation rates by using the Kalman filter. The Fisher hypothesis was rejected, and my tentative tests showed that the Darby and Feldstein hypothesis was supported. They show that the interest rates change larger the the change in expected inflation rate.

在本研究中，通过研究利率期限结构和费雪假说，分析了日本国债市场的结构，特别是长期国债市场的结构。样本期扩大到包括1977年至1993年。我已经检验了纯预期假说是否成立，以及费雪假说是否成立。本文利用向量自回归方法对贴现债券的假设进行了具体化，并利用Johansen和Juselius（1990）的协整方法进行了估计。当假设所有的债券的预期值都具有无偏性时，估计结果拒绝了几乎所有的到期期限的假设，并利用卡尔曼滤波估计了不可观测的预期通货膨胀率。费雪假说被否定了，我的试验性检验表明，达比和费尔德斯坦假说得到了支持。它们表明，利率的变化越大，预期通货膨胀率的变化就越大。

项目成果

Hiroshi KAMAE: "A Cointegration Analysis of the Relation between the Term Structure and Inflation in Japan" The Hitotsubashi Review. 113, (forthcoming). (1995)

Hiroshi KAMAE：“日本期限结构与通货膨胀关系的协整分析”一桥评论。

釜江廣志: "利子率の期間構造の共和分分析" 一橋論叢. 111. 840-856 (1994)

Hiroshi Kamae：“利率期限结构的协整分析” Hitotsubashi Ronso 111. 840-856 (1994)。

釜江廣志: "利子率の期間構造の共和分分析" 一橋論叢. (1994)

Hiroshi Kamae：“利率期限结构的协整分析”一桥论索（1994）。

釜江廣志: "国債利回りとインフレーションの関係の共和分分析:予備的計測" 一橋論叢. 113. (1195)

Hiroshi Kamae：“政府债券收益率与通货膨胀之间关系的协整分析：初步测量”一桥论生113。（1195）

Hiroshi KAMAE: "A Cointegration Analysis of the Term Structure of Interest Rates in Japan" The Hitotsubashi Review. 111. 56-840 (1994)

Hiroshi KAMAE：“日本利率期限结构的协整分析”一桥评论。