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
|標題||Empirically Effective Bond Pricing Model and Analysis
on Term Structures of Implied Interest Rates
in Financial Crisis
|掲載誌名||Asia-Pacific Financial Markets|
|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.