Quadratic Gaussian Joint Pricing Model for Stocks and Bonds : Theory and Empirical Analysis

Material type: 文書・図像類

Author: Kikuchi, Kentaro

Publisher: Center for Risk Research (CRR), Shiga University

Publication date: 2015-01

Material Format: Digital

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Note (General)：: type:Technical ReportThis study proposes a joint pricing model for stocks and bonds in ano-arbitrage framework. A stock price representation is obtain...

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Material Type: 文書・図像類
Title: Quadratic Gaussian Joint Pricing Model for Stocks and Bonds : Theory and Empirical Analysis
Author/Editor: Kikuchi, Kentaro
Author Heading: Kikuchi, Kentaro
Publication, Distribution, etc.: Center for Risk Research (CRR), Shiga University
Publication Date: 2015-01
Publication Date (W3CDTF): 2015-01
Periodical title: CRR Discussion Paper, Series B
No. or year of volume/issue: No. B-14
Volume: No. B-14
Pages: 1-22
Text Language Code: eng
Subject Heading: risk premium
quadratic Gaussian term structure model
unscented Kalman filter
algebraic Riccati equation
controllability
portfolio rebalance
Target Audience: 一般
Note (General): 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
Access Restrictions: 限定公開
Data Provider (Database): 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）
https://irdb.nii.ac.jp
Original Data Provider (Database): 滋賀大学 : 滋賀大学学術情報リポジトリ