A study of pricing in the government bonds markets in Japan

1.在本研究中，通过对利率期限结构的研究，分析了日本国债市场的结构，特别是日本长期国债市场的结构。在国债期货市场启动后，笔者对纯预期假设是否成立进行了检验。我已经用贴现债券的形式明确了这一假设，并使用现货汇率数据和修正的OLS方法进行了估计。当我假设所有问题的期望值都具有无偏性质时，估计结果拒绝了几乎所有条件成熟的假设。上述结果表明，长期溢价的存在。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溢价。估计结果表明，在基本期限到到期日的某些情况下存在恒定溢价，而在大部分期限到到期日的情况下存在时变溢价。

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.