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 2016/06
形態種別 大学・研究所紀要
標題 A Dynamic Bond Pricing Model with Application to the Japanese Government Bonds
執筆形態 共著(筆頭者以外)
掲載誌名 Annual review of economics
掲載区分国内
出版社・発行元 Faculty of Economics, Nagasaki University
巻・号・頁 32,pp.57-69
著者・共著者 Kamizono, Kenji; Kariya, Takeaki
概要 In this paper, we generalize the cross-sectional fixed-coupon bond pricing model of Kariya et. al.(2012) to a dynamic one. The bond prices are modeled as the present values of the future cash-flows where the discount functions are stochastic and may depend on the bond attributes. In our framework, the cross-sectional and time-series covariance structure among the stochastic discount functions depends on the difference of the time-to-maturity of the bonds. We also propose a bond price forecast method using our model. The empirical result and the forecast performance on the Japanese government bonds are presented.
ISSN 0910-8602
arXiv ID http://hdl.handle.net/10069/36650