{"created":"2023-05-15T15:30:27.359720+00:00","id":9869,"links":{},"metadata":{"_buckets":{"deposit":"2bf0eefe-fea2-4d21-a708-e0cf70b42fb8"},"_deposit":{"created_by":1,"id":"9869","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"9869"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00009869","sets":["1159:1162:1164"]},"author_link":["36146","36147","36145"],"item_7_biblio_info_8":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2015-01","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"No. B-14","bibliographicPageEnd":"22","bibliographicPageStart":"1","bibliographic_titles":[{"bibliographic_title":"CRR Discussion Paper, Series B"}]}]},"item_7_description_43":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"subitem_description":"Technical Report","subitem_description_type":"Other"}]},"item_7_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"This study proposes a joint pricing model for stocks and bonds in a\nno-arbitrage framework. A stock price representation is obtained in a manner\nconsistent with the quadratic Gaussian term structure model, in which\nthe short rate is the quadratic form of the state variables. In this study,\nspecifying the dividend as a function using the quadratic form of the state\nvariables leads to a stock price representation that is exponential-quadratic\nin the state variables. We prove that the coefficients determining the stock\nprice have to satisfy some matrix equations, including an algebraic Riccati\nequation. Moreover, we specify the sufficient condition in which the matrix\nequations do have a unique solution. In our empirical analysis using\nJapanese data, we obtain estimates with a good fit to the actual data. Furthermore,\nwe estimate the risk premiums for stocks and bonds and analyze\nhow the BOJ’s unconventional monetary policy has affected these risk premiums.","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Discussion Paper, Series B, No. B-14, pp. 1-22","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":"菊池, 健太郎"}]}]},"item_7_publisher_35":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Center for Risk Research (CRR), Shiga University"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Kikuchi, Kentaro"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2018-09-14"}],"displaytype":"detail","filename":"DPB14_p.1-22 菊池健太郎.pdf","filesize":[{"value":"343.0 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPB14_p.1-22 菊池健太郎.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/9869/files/DPB14_p.1-22 菊池健太郎.pdf"},"version_id":"4c150dd9-f6b3-4be3-a5f5-b997fd67067e"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"risk premium","subitem_subject_scheme":"Other"},{"subitem_subject":"quadratic Gaussian term structure model","subitem_subject_scheme":"Other"},{"subitem_subject":"unscented Kalman filter","subitem_subject_scheme":"Other"},{"subitem_subject":"algebraic Riccati equation","subitem_subject_scheme":"Other"},{"subitem_subject":"controllability","subitem_subject_scheme":"Other"},{"subitem_subject":"portfolio rebalance","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"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":"Quadratic Gaussian Joint Pricing Model for Stocks and Bonds : Theory and Empirical Analysis","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Quadratic Gaussian Joint Pricing Model for Stocks and Bonds : Theory and Empirical Analysis"}]},"item_type_id":"7","owner":"1","path":["1164"],"pubdate":{"attribute_name":"公開日","attribute_value":"2015-01-07"},"publish_date":"2015-01-07","publish_status":"0","recid":"9869","relation_version_is_last":true,"title":["Quadratic Gaussian Joint Pricing Model for Stocks and Bonds : Theory and Empirical Analysis"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-05-15T19:21:27.363584+00:00"}