{"created":"2023-05-15T16:31:52.996725+00:00","id":3485,"links":{},"metadata":{"_buckets":{"deposit":"71f14275-736b-4774-97bf-4103307ebfba"},"_deposit":{"created_by":2,"id":"3485","owners":[2],"pid":{"revision_id":0,"type":"depid","value":"3485"},"status":"published"},"_oai":{"id":"oai:nagasaki-u.repo.nii.ac.jp:00003485","sets":["82:87:125:243"]},"author_link":["14794","14795","14796"],"item_3_biblio_info_6":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2016-06-30","bibliographicIssueDateType":"Issued"},"bibliographicPageEnd":"69","bibliographicPageStart":"57","bibliographicVolumeNumber":"32","bibliographic_titles":[{"bibliographic_title":"長崎大学経済学部研究年報"},{"bibliographic_title":"Annual review of economics","bibliographic_titleLang":"en"}]}]},"item_3_description_4":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"In this paper, we generalize the cross-sectional fixed-coupon bond pricing model of Kariya et. al．(2012) to a dynamic one. The bond prices are modeled as the present values of the future cash-flows where the discount functions are stochastic and may depend on the bond attributes. In our framework, the cross-sectional and time-series covariance structure among the stochastic discount functions depends on the difference of the time-to-maturity of the bonds. We also propose a bond price forecast method using our model. The empirical result and the forecast performance on the Japanese government bonds are presented.","subitem_description_type":"Abstract"}]},"item_3_description_64":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"長崎大学経済学部研究年報, 32, pp.57-69; 2016","subitem_description_type":"Other"}]},"item_3_publisher_33":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"長崎大学経済学部"}]},"item_3_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN10030515","subitem_source_identifier_type":"NCID"}]},"item_3_source_id_7":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"09108602","subitem_source_identifier_type":"ISSN"}]},"item_3_text_62":{"attribute_name":"sortkey","attribute_value_mlt":[{"subitem_text_value":"3"}]},"item_3_text_63":{"attribute_name":"出版者別言語","attribute_value_mlt":[{"subitem_text_value":"Faculty of Economics, Nagasaki University"}]},"item_3_version_type_16":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Kamizono, Kenji"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"Kariya, Takeaki"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"Yamamura, Yoshiro"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2020-12-21"}],"displaytype":"detail","filename":"keinen32_57.pdf","filesize":[{"value":"420.3 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"keinen32_57.pdf","url":"https://nagasaki-u.repo.nii.ac.jp/record/3485/files/keinen32_57.pdf"},"version_id":"84cd1922-85c8-4b8c-81dd-891ca2d81513"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Fixed-coupon bond pricing model","subitem_subject_scheme":"Other"},{"subitem_subject":"Japanese government bonds","subitem_subject_scheme":"Other"},{"subitem_subject":"Generalized least squares","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":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"A Dynamic Bond Pricing Model with Application to the Japanese Government Bonds","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"A Dynamic Bond Pricing Model with Application to the Japanese Government Bonds"}]},"item_type_id":"3","owner":"2","path":["243"],"pubdate":{"attribute_name":"公開日","attribute_value":"2016-07-11"},"publish_date":"2016-07-11","publish_status":"0","recid":"3485","relation_version_is_last":true,"title":["A Dynamic Bond Pricing Model with Application to the Japanese Government Bonds"],"weko_creator_id":"2","weko_shared_id":-1},"updated":"2023-05-16T03:32:43.016331+00:00"}