タイトル(掲載誌)CRR Discussion Paper, Series B
一般注記type:Technical Report
This study proposes a joint pricing model for stocks and bonds in ano-arbitrage framework. A stock price representation is obtained in a mannerconsistent with the quadratic Gaussian term structure model, in whichthe short rate is the quadratic form of the state variables. In this study,specifying the dividend as a function using the quadratic form of the statevariables leads to a stock price representation that is exponential-quadraticin the state variables. We prove that the coefficients determining the stockprice have to satisfy some matrix equations, including an algebraic Riccatiequation. Moreover, we specify the sufficient condition in which the matrixequations do have a unique solution. In our empirical analysis usingJapanese data, we obtain estimates with a good fit to the actual data. Furthermore,we estimate the risk premiums for stocks and bonds and analyzehow the BOJ’s unconventional monetary policy has affected these risk premiums.
identifier:CRR Discussion Paper, Series B, No. B-14, pp. 1-22
一次資料へのリンクURLhttps://shiga-u.repo.nii.ac.jp/?action=repository_action_common_download&item_id=9869&item_no=1&attribute_id=19&file_no=1
連携機関・データベース国立情報学研究所 : 学術機関リポジトリデータベース(IRDB)(機関リポジトリ)