Yamamura Yoshiro    Department   Professional Graduate School  , Graduate School of Global Business    Position   Professor
Language	English
Publication Date	2012
Type	Academic Journal
Peer Review	Peer reviewed
Title	Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis
Contribution Type	Co-authored (other than first author)
Journal	Asia-Pacific Financial Markets
Publisher	Springer Japan
Volume, Issue, Page	19(3),pp.259-292
Author and coauthor	Takeaki Kariya, Jingsui Wang, Zhu Wang, Eiichi Doi
Details	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