零下限和正常环境下的债券供给与超额收益:来自日本的证据

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2016-11-03 DOI:10.1111/jere.12117

Junko Koeda

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引用次数: 8

摘要

我们估计了Vayanos和Vila(2009)首选栖息地模型的离散时间版本，使用日本政府债券收益率数据。估计结果表明，除非套利者愿意承担更多风险，否则在没有下限约束的情况下，债券超额收益对债券供应更加敏感。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan

We estimate a discrete-time version of the Vayanos and Vila (2009) preferred-habitat model, using Japanese government bond yield data. The estimated results indicate that bond excess returns become more sensitive to bond supply in the absence of a zero lower bound constraint unless arbitrageurs become willing to take on more risk.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.