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A Dynamic Bond Pricing Model with Application to the Japanese Government Bonds

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タイトル: A Dynamic Bond Pricing Model with Application to the Japanese Government Bonds
著者: Kamizono, Kenji / Kariya, Takeaki / Yamamura, Yoshiro
発行日: 2016年 6月30日
出版者: 長崎大学経済学部 / Faculty of Economics, Nagasaki University
引用: 長崎大学経済学部研究年報, 32, pp.57-69; 2016
抄録: 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.
キーワード: Fixed-coupon bond pricing model / Japanese government bonds / Generalized least squares
URI: http://hdl.handle.net/10069/36650
ISSN: 09108602
資料タイプ: Departmental Bulletin Paper
原稿種類: publisher

引用URI : http://hdl.handle.net/10069/36650



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