A study of pricing in the government bonds markets in Japan

日本政府债券市场定价研究

• 批准号: 03630058
• 负责人: KAMAE Hiroshi
• 金额: $ 1.28万
• 依托单位: Hitotsubashi Univ.
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for General Scientific Research (C)
• 财政年份: 1991
• 资助国家: 日本
• 起止时间: 1991 至 1992
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-03630058/
• 关键词: term structure of interest rate; pure expectations hypothesis; spot rate; unbiasedness condition; premia; GARCH-M; 期間構造; 債券先物; APT; 正常の逆鞘; GARCHーM

1. 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. I have tested whether the pure expectations hypothesis holds or not after the futures market of the government bonds have started. I have specified that hypothesis in terms of discount bonds, and estimated it by using data of the spot rates and the corrected OLS method. 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.2. The results shown above suggests that existence of term premia. In the second stage of my research, I estimated ARCH-M and GARCH-M models in order to look for the premia of holding period yields. The estimation results shows constant premia can be found in some cases of almost terms to maturity and time-varying ones are found in cases of the greater part of terms to maturity.

1。在这项研究中，我通过研究利率的术语结构来分析政府债券市场的结构，尤其是日本长期债券的结构。我已经测试了在政府债券的期货市场开始后，纯粹的预期是否存在。我已经在折现债券方面指定了这一假设，并通过使用现货率的数据和校正的OLS方法来估算它。当我假设所有问题的预期价值具有无偏的属性时，估计结果几乎拒绝了几乎所有成熟术语的假设。2。上面显示的结果表明术语premia的存在。在研究的第二阶段，我估计了Arch-M和Garch-M模型，以寻找持有期收益率的首要。估计结果表明，在某些情况下，在成熟度几乎具有术语中可以找到恒定的PREMIA，并且在成熟度的大部分术语中可以找到时间变化。

项目成果

釜江 廣志: "わが国先物市場における価格決定;期間を拡大しての再計測" 一橋論叢. 107. 61-80 (1992)

Hiroshi Kamae：“日本期货市场的价格决定；通过延长期限进行重新计量”一桥论索 (Hitotsubashi Ronso)，107. 61-80 (1992)。

釜江 慶志: "利子率の期間構造におけるプレミアムの存在について" 金融経済研究. 3. 26-34 (1992)

Keishi Kamae：“论利率期限结构中溢价的存在”《金融经济学研究》3. 26-34 (1992)。

H.Kamae: "Time-Varying Risk Premia in the Term Structure" Kin-yu Keizai Kenkyu. Vol. 3. 26-34 (1992)

H.Kamae：“期限结构中的时变风险溢价”Kin-yu Keizai Kenkyu。

釜江 廣志: "わが国国債流通市場構造の計量分析" 生活経済学会会報. 8. (1993)

Hiroshi Kamae：“日本政府债券二级市场结构的计量分析”，生活经济学会通报8。（1993）。

H.Kamae: Yuhikaku,. An Econometric Study of the Government Bonds Markets and the Term Structure of Interest Rates in Japan, (1993)

H.Kamae：雄彦，。