EFFICIENCY OF 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舍尔假说来分析政府债券市场的结构，特别是日本的长期债券市场。样本期扩大到包括1977至1993年。我已经检验了纯预期假说是否成立，以及费舍尔假说是否成立。本文用向量自回归(VAR)方法对贴现债券的假设进行了具体化，并用Johansen和Juselius(1990)的协整方法进行了估计。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到期条件的假设。我使用卡尔曼滤波估计了不可观测的预期通货膨胀率。费舍尔假说被拒绝了，我的试探性测试表明，达比和费尔德斯坦假说得到了支持。它们表明，利率的变化大于预期通货膨胀率的变化。

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 enlarged to include 1977 to 1993. I have tested whether the pure expectations hypothesis holds or not, and the Fisher hypothesis holds or not. I have specified that hypotheses in terms of discount bonds by using VAR (vector autoregressive) method, and estimated it by the Johansen and Juselius (1990)' cointegration approach. 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.I estimated unobservable expected inflation rates by using the Kalman filter. The Fisher hypothesis was rejected, and my tentative tests showed that the Darby and Feldstein hypothesis was supported. They show that the interest rates change larger the the change in expected inflation rate.