INFLATION AND THE GOVERNMENT BOND MARKETS IN JAPAN

日本的通货膨胀和政府债券市场

• 批准号: 07630081
• 负责人: KAMAE Hiroshi
• 金额: $ 1.22万
• 依托单位: HITOTSUBASHI UNIVERSITY
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1995
• 资助国家: 日本
• 起止时间: 1995 至 1996
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-07630081/
• 关键词: Government bond markets; estimation of yield curve; Fisher hypothesis; bench-mark issues; Darby hypothesis; 指標銘柄; 共和分; イールド・カーブ; 国債利回り; 期間構造; インフレ予想; 共和分法; 単位根; Mundell-Tobin仮説; Darby-Feldstein仮説

In this research, I have analyzed structure of the government bonds markets, especially those of the long-term bonds in Japan, by studying the term structure of the interest rates and the Fisher hypothesis. The sample period is from 1977 to 1993. I have tested whether the Fisher hypothesis holds or not. I have estimated them by the Johansen cointegration approach.I estimated unobservable expected inflation rates by using the Kalman filter. The Fisher hypothesis, that is lambda=1, and alpha=constant in the equation i=alpha+lambda. E_t(pi_t)+v_t was rejected, and my tests showed that the Darby and Feldstein hypothesis was supported. They show that the interest rates change larger the change in expected inflation rate.I also analyzed estimation of the yield curves. I used the weighted least squares method in order to take account of the bench-mark issues, which are actively traded in our bond markets.I found that the samples including them is not appropriate because they have not formed smooth yield curves.

在本研究中，我通过研究利率期限结构和费雪假说，分析了政府债券市场的结构，特别是日本长期债券的结构。样本期为1977年至1993年。我检验了费舍尔假设是否成立。我通过约翰森协整方法估计了它们。我通过使用卡尔曼滤波器估计了不可观察的预期通货膨胀率。 Fisher假设，即方程i=alpha+lambda中lambda=1，alpha=常数。 E_t(pi_t)+v_t 被拒绝，我的测试表明达比和费尔德斯坦假设得到支持。他们表明，利率变化大于预期通胀率的变化。我还分析了收益率曲线的估计。我使用加权最小二乘法来考虑我们债券市场上交易活跃的基准问题。我发现包括它们在内的样本并不合适，因为它们没有形成平滑的收益率曲线。

项目成果

釜江廣志: "加重最小2重法によるスポット・レートの推計" 一橋論叢. 117. 664-677 (1997)

Hiroshi Kamae：“使用加权最小双倍法估算即期汇率” Hitotsubashi Ronso 117. 664-677 (1997)。

釜江廣志: "国債利回りと期待インフレ率の関係の実証分析" 一橋論叢. 116. 848-865 (1996)

Hiroshi Kamae：“政府债券收益率与预期通胀率之间关系的实证分析”一桥论索 116. 848-865 (1996)。