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A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy
http://hdl.handle.net/10441/00016055
http://hdl.handle.net/10441/0001605515100709-4612-4e8e-8efc-7e9fbb68acd9
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DPB19.pp1-15 Kikuchi (536.8 kB)
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| Item type | テクニカルレポート / Technical Report(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2020-03-27 | |||||||
| タイトル | ||||||||
| タイトル | A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy | |||||||
| タイトル | ||||||||
| タイトル | A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy | |||||||
| 言語 | en | |||||||
| 言語 | ||||||||
| 言語 | jpn | |||||||
| キーワード | ||||||||
| 言語 | en | |||||||
| 主題Scheme | Other | |||||||
| 主題 | 「Yield curve」「 No arbitrage condition」「Quadratic Gaussian term structure model」「Brownian bridge」「 Negative interest rate policy」 | |||||||
| 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 | |||||||
| 著者 |
菊池, 健太郎
× 菊池, 健太郎
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| 著者(ヨミ) | ||||||||
| 姓名 | キクチ, ケンタロウ | |||||||
| 著者別名 | ||||||||
| 姓名 | Kikuchi, Kentaro | |||||||
| 著者所属 | ||||||||
| 滋賀大学経済学部 | ||||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | In the government bond markets in Japan and a number of European countries, negative interest rates have been observed in recent years. Incorporating a negative lower bound for interest rates into a term structure model makes it possible for the model to replicate yield curves that include negative rates. In this study, we propose a new term structure model with a stochastic lower bound where the short rate is defined as the sum of the quadratic form of the Gaussian process and a negative lower bound for interest rates. The lower bound is characterized by a Brownian bridge with the random interval pinned at zero at the starting time and the end time of a negative interest rate policy (NIRP). Under this setting, we derive a zero coupon bond price formula by imposing the no arbitrage condition. We calibrate our proposed model using Japanese yield curve data and estimate the implied posterior distribution of the time to exit from the NIRP. | |||||||
| 引用 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | CRR Discussion Paper, Series B, No. B-17, pp.1-15 | |||||||
| 書誌情報 |
CRR Discussion Paper, Series B 号 No. B-17, p. 1-15, 発行日 2020-03 |
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| 出版者 | ||||||||
| 出版者 | Center for Risk Research (CRR), Shiga University | |||||||
