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Theoretical and Empirical Studies on the Effect of Derivatives Trading on Economy

衍生品交易对经济影响的理论与实证研究

基本信息

批准号：
08453012
负责人：
KURASWA Motonori
金额：
$ 3.52万
依托单位：
Yokohama National University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (B)
财政年份：
1996
资助国家：
日本
起止时间：
1996 至 1998
项目状态：
已结题

项目摘要

By considering investment strategy duplicating payoff of futures, we derived a theoretical pricing formula of futures. Using this result, we investigated price formation of Euro-Yen Interest rate futures market empirically. We found (1) prices of interest rate futures contains information about forward rates in the future (2) when taking periods of five to seven days , movement of actual and theoretical prices are closely correlated (3) considerable part of discrepancy between actual and theoretical prices is eliminated within a day.Also, we constructed general equilibrium models of security market with varying investment opportunity and heterogeneous investors. First, we analyzed an economy consisting of myopic investors and long-sighted investors In this model, we assume the utility function of long-sighted investor did not depend on his own wealth, but on total wealth of individuals. This means the long-sighted investor is a institutional investor to which households entrust investment of some of their wealth. We got a result that volatility of short-term interest is necessarily greater in this economy than in an economy consisting of homogeneous investors. Second, we analyzed an economy consisting of log-utility investors and power-utility investors, in which mean return of investment follows a mean reverting process. For the simplest case where only power utility investors exist, we derived analytically the equilibrium. Next, by using numerical analysis, we investigated the equilibrium of the model for a general case. Furthermore, by using numerical analysis, the effect of increase in variety of assets which can be interpreted as introduction of new securities such as derivatives on asset prices was analyzed.

通过考虑期货重复收益的投资策略，我们推导出了期货的理论定价公式。利用这一结果，我们对欧元日元利率期货市场的价格形成进行了实证研究。我们发现：（1）利率期货的价格包含了未来远期利率的信息（2）当周期为5到7天时，实际价格和理论价格的变动密切相关（3）实际价格和理论价格之间的很大一部分差异在一天之内就被消除了。此外，我们还构建了投资机会不同、投资者异质的证券市场一般均衡模型。首先，我们分析了一个由短视投资者和长视投资者组成的经济体。在这个模型中，我们假设长视投资者的效用函数并不取决于他自己的财富，而是取决于个人的总财富。这意味着有远见的投资者是家庭委托其部分财富进行投资的机构投资者。我们得出的结果是，在这种经济体中，短期利率的波动性必然比在由同质投资者组成的经济体中更大。其次，我们分析了由对数公用事业投资者和电力公用事业投资者组成的经济体，其中投资的平均回报遵循均值回归过程。对于仅存在电力公用事业投资者的最简单情况，我们分析得出了均衡。接下来，通过数值分析，我们研究了一般情况下模型的平衡。此外，通过数值分析，分析了资产品种的增加（可以解释为衍生品等新证券的引入）对资产价格的影响。