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An Equilibrium Model of Term Structures of Bonds and Equities
http://hdl.handle.net/10086/29333
http://hdl.handle.net/10086/29333f7701ad1-f447-46d4-9efc-277fb7820732
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
070hcfrWP_1_019.pdf (1471564 bytes)
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| Item type | デフォルトアイテムタイプ（フル）その２(1) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2018-07-05 | |||||||||
| タイトル | ||||||||||
| タイトル | An Equilibrium Model of Term Structures of Bonds and Equities | |||||||||
| 言語 | en | |||||||||
| 作成者 |
高見澤, 秀幸
× 高見澤, 秀幸
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| 寄与者 | ||||||||||
| 寄与者タイプ | Editor | |||||||||
| 姓名 | Hitotsubashi University Center for Financial Research | |||||||||
| 言語 | en | |||||||||
| アクセス権 | ||||||||||
| アクセス権 | open access | |||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Term structure | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Interest rate | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Dividend strip | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Risk premium | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Sharpe ration | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Recursive utility | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | State-dependent preference | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | First draft: March 15, 2017 This draft: July 1, 2018 | |||||||||
| 言語 | en | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | Financial support from JSPS KAKENHI (Grant Number 15K03538), ISHII Memorial Securities Research Promotion Foundation, and Zengin Foundation for Studies on Economics and Finance | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Abstract | |||||||||
| 内容記述 | This study proposes an equilibrium model of term structures of bonds and equities, which has a similar descriptive ability to a reduced-form model proposed by Lettau and Wachter (LW) (J. Financial Economics, 2011), and yet offers economic implications about preferences and consumption dynamics. The ability is obtained by letting parameters of recursive utility depend on state variables of the economy. The model is calibrated by matching it with the LW model, showing that it can produce the term structure of real interest rates with either a positive or negative slope and the term structure of dividend risk premiums with a negative slope, both of which stand as challenges to any pricing models. It also shows that while an implied behavior of state-dependent time preference is reasonable, modifications of parameter values and cash flow processes are necessary for state-dependent risk aversion to behave reasonably. | |||||||||
| 出版者 | ||||||||||
| 出版者 | Hitotsubashi University Center for Financial Research | |||||||||
| 日付 | ||||||||||
| 日付 | 2018-07-01 | |||||||||
| 日付タイプ | Issued | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||
| 資源タイプ | technical report | |||||||||
| 出版タイプ | ||||||||||
| 出版タイプ | VoR | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||
| 関連情報 | ||||||||||
| 関連タイプ | isPartOf | |||||||||
| 関連名称 | Working Paper Series ; No. G-1-19 | |||||||||
| ページ数 | ||||||||||
| ページ数 | 78 | |||||||||
