イヌイ　コウジ   Inui Kouji   乾　孝治    所属   明治大学  総合数理学部    職種   専任教授
発表年月日	2015/08/04
発表テーマ	Improving Nelson-Siegel term structure model under zero/super-low interest rate policy
会議名	World Risk and Insurance Economics Congress
主催者	APRIA
学会区分	国際学会
発表形式	口頭（一般）
単独共同区分	単独
開催地名	Munich, Germany
概要	In this paper, we explored improvement on Nelson-Siegel model under zero / super-low interest rate policy. We tried to understand economical meanings of the model by assuming a stochastic process that NS model be derived. And we naturally extended the model in order to capture the full term structure regulated its short-end (spot rate) to be zero. Furthermore, we explored the expressive ability of NS model by considering coupon rate effect and JGB future effect. As the results, unnatural irregularity and negative value observed in short-term range have reduced and explanatory power of extended NS model has improved.