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Yamamura Yoshiro
Department Professional Graduate School , Graduate School of Global Business Position Professor |
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| Language | English |
| Publication Date | 2016/06 |
| Type | Bulletin of Universities and Institutes |
| Title | A Dynamic Bond Pricing Model with Application to the Japanese Government Bonds |
| Contribution Type | Co-authored (other than first author) |
| Journal | Annual review of economics |
| Journal Type | Japan |
| Publisher | Faculty of Economics, Nagasaki University |
| Volume, Issue, Page | 32,pp.57-69 |
| Author and coauthor | Kamizono, Kenji; Kariya, Takeaki |
| Details | 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 |