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 2016/03
形態種別 学術雑誌
査読 査読有り
標題 Empirically Effective Bond Pricing Model for USGBs 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 Communications in Statistics - Theory and Methods,
掲載区分国外
出版社・発行元 Taylor & Francis
巻・号・頁 45(6),pp.1580-1606
著者・共著者 Takekaki Kariya, Zhu Wang
概要 This paper makes a comprehensive empirical analysis on US Government bond (USGB) prices for a period of 60 months, including the financial crisis in 2008. The model is a cross-sectional model with stochastic discount function that takes into account bond attributes of coupon rate and maturity and that simultaneously values individual fixed-coupon bonds. First, we briefly clarify the theoretical relation between our stochastic discount function approach and the interest rate approach in mathematical finance. Then we propose two specific and effective models. Third, the derived yields are compared to swap rates to see the validity of the models.
DOI 10.1080/03610926.2014.901377
ISSN 0361-0926