{"created":"2023-05-15T15:33:00.116994+00:00","id":13334,"links":{},"metadata":{"_buckets":{"deposit":"b1b55ca9-ef45-4fa9-adaa-1a565b27d427"},"_deposit":{"created_by":10,"id":"13334","owners":[10],"pid":{"revision_id":0,"type":"depid","value":"13334"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00013334","sets":["1159:1162:1165"]},"author_link":["47558","47559","47560"],"item_7_biblio_info_8":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2019-05","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"No. J-71","bibliographicPageEnd":"29","bibliographicPageStart":"1","bibliographic_titles":[{"bibliographic_title":"CRR Discussion Paper, Series J"}]}]},"item_7_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"国債のゼロクーポン金利は, 金融実務や学術研究で幅広く利用されるものであるが, 金融市場で直接観察されないものであり, 利付国債の市場価格を用いた推定が必要となる. ゼロクーポン金利の推定に係る多くの先行研究において, スプライン回帰法に基づく推定は, 市場価格と高い適合度を持つとの結果が得られている. しかし, 近年の日本国債市場のような超低金利環境におけるゼロクーポン金利の推定について, スプライン回帰法の精度検証が十\n分に行われているとは言いがたい.そこで, 本研究では, 最近までの約10 年間の日本国債の市場価格データを用いて, スプライン回帰法に基づくゼロクーポン金利の推定を行い, 推定精度を検証する. さらに, 本研究では, スプライン回帰法でしばしば問題となる過剰適合を回避する有力な手法である平滑化スプライン法に基づき, ゼロクーポン金利の推定も行う.その際, 推定されるゼロクーポンカーブや瞬間フォワードカーブの凹凸の抑制度合いの観点から, 複数の平滑化パラメータ選択規準間の比較を行う. また, 同一の推定手法から得られる推定値を持続的に利用するという実用上の観点を踏まえ, ゼロクーポンカーブや瞬間フォワードレートカーブの時間方向でみた安定性についての比較・検証も行う\n","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Discussion Paper, Series J, No. J-71, pp.1-29","subitem_description_type":"Other"}]},"item_7_full_name_2":{"attribute_name":"著者(ヨミ)","attribute_value_mlt":[{"nameIdentifiers":[{}],"names":[{"name":"キクチ, ケンタロウ"}]}]},"item_7_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{}],"names":[{"name":"Kikuchi, Kentaro"}]}]},"item_7_publisher_35":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Center for Risk Research (CRR), Shiga University "}]},"item_7_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"滋賀大学 経済学部"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"菊池, 健太郎"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2019-05-15"}],"displaytype":"detail","filename":"DPJ71_p.1-29菊池.pdf","filesize":[{"value":"3.6 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPJ71_p.1-29菊池","url":"https://shiga-u.repo.nii.ac.jp/record/13334/files/DPJ71_p.1-29菊池.pdf"},"version_id":"d76af882-2ddd-4a0c-8785-2b4d44f8ff84"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"「ゼロクーポン金利」「利付国債」「スプライン関数」「マイナス金利」「平滑化スプライン」「JEL 分類番号: C14、E43、G12」","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"超低金利環境における日本国債のゼロクーポン金利推定","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"超低金利環境における日本国債のゼロクーポン金利推定"}]},"item_type_id":"7","owner":"10","path":["1165"],"pubdate":{"attribute_name":"公開日","attribute_value":"2019-05-15"},"publish_date":"2019-05-15","publish_status":"0","recid":"13334","relation_version_is_last":true,"title":["超低金利環境における日本国債のゼロクーポン金利推定"],"weko_creator_id":"10","weko_shared_id":-1},"updated":"2023-05-15T16:58:22.634419+00:00"}