ヤマムラ ヨシロウ   Yamamura Yoshiro
  山村 能郎
   所属   専門職大学院  グローバル・ビジネス研究科
   職種   専任教授
言語種別 英語
発行・発表の年月 2012
形態種別 学術雑誌
査読 査読有り
標題 Empirically Effective Bond Pricing Model and Analysis
on Term Structures of Implied Interest Rates
in Financial Crisis
執筆形態 共著(筆頭者以外)
掲載誌名 Asia-Pacific Financial Markets
出版社・発行元 Springer Japan
巻・号・頁 19(3),pp.259-292
著者・共著者 Takeaki Kariya, Jingsui Wang, Zhu Wang, Eiichi Doi
概要 In his book (1993) Kariya proposed a government bond (GB) pricing model that simultaneously values individual fixed-coupon (non-defaultable) bonds of different coupon rates and maturities via a discount function approach, and Kariya and Tsuda (Financ Eng Japanese Mark 1:1-20, 1994) verified its empirical effectiveness of the model as a pricing model for Japanese Government bonds (JGBs) though the empirical setting was limited to a simple case. In this paper we first clarify the theoretical relation between our stochastic discount function approach and the spot rate or forward rate approach in mathematical finance. Then we make a comprehensive empirical study on the capacity of the model in view of its pricing capability for individual GBs with different attributes and in view of its capacity of describing the movements of term structures of interest rates that JGBs imply as yield curves. Based on various tests of validity in a GLS (Generalized Least Squares) framework
we propose a specific formulation with a polynomial of order 6 for the mean discount funciton.
DOI 10.1007/s10690-011-9149-1
ISSN 1387-2834