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.在本研究中，通过研究利率的期限结构，分析了日本国债市场的结构，特别是长期国债市场的结构。在国债期货市场启动后，检验了纯预期假说是否成立。我已经详细说明了贴现债券的假设，并通过使用即期利率数据和修正的OLS方法对其进行了估计。当假设所有问题的期望值都具有无偏性时，估计结果几乎否定了所有到期项的假设.上述结果表明，存在期限溢价。在第二阶段的研究中，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，在接近到期期限的情况下，债券的溢价为常数，而在大部分到期期限的情况下，债券的溢价为时变的。

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)。

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 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)。

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: "An Econometric Analysis of the Government Bonds Markets in Japan" Journal of the Japan society of Household Economics. Vol. 8. (1993)

H.Kamae：“日本政府债券市场的计量分析”，日本家庭经济学会杂志。