INFLATION AND THE GOVERNMENT BOND MARKETS IN JAPAN

在本研究中，我通过研究利率的期限结构和费雪假设，分析了日本政府债券市场的结构，特别是长期债券市场的结构。样本周期为1977 - 1993年。我检验了费雪假设是否成立。我用约翰森协整法估计了它们。我用卡尔曼滤波估计了不可观测的预期通货膨胀率。费雪假设，即=1，等式i= +中的常数。E_t(pi_t)+v_t被拒绝，我的测试表明Darby和Feldstein的假设是支持的。他们表明利率的变化比预期通货膨胀率的变化更大。我还分析了收益率曲线的估计。我使用加权最小二乘法是为了考虑在我们的债券市场上交易活跃的基准发行。我发现包含它们的样品是不合适的，因为它们没有形成光滑的yield曲线。

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 from 1977 to 1993. I have tested whether the Fisher hypothesis holds or not. I have estimated them by the Johansen cointegration approach.I estimated unobservable expected inflation rates by using the Kalman filter. The Fisher hypothesis, that is lambda=1, and alpha=constant in the equation i=alpha+lambda. E_t(pi_t)+v_t was rejected, and my tests showed that the Darby and Feldstein hypothesis was supported. They show that the interest rates change larger the change in expected inflation rate.I also analyzed estimation of the yield curves. I used the weighted least squares method in order to take account of the bench-mark issues, which are actively traded in our bond markets.I found that the samples including them is not appropriate because they have not formed smooth yield curves.