1 1.1 Merton(1974) Black and Cox (1976) PD Probability of Default LGD Loss Given Default 1 EAD Exposure At Default II Merton (1974) Merton Merton Gesk
|
|
- ひろじ ありの
- 5 years ago
- Views:
Transcription
1 y z II 2 :,,,,. UFJ CRD y ed061001@ srv.cc.hit-u.ac.jp z yamasita@ ism.ac.jp 1
2 1 1.1 Merton(1974) Black and Cox (1976) PD Probability of Default LGD Loss Given Default 1 EAD Exposure At Default II Merton (1974) Merton Merton Geske (1977) Guha and Sbuelz (2002) Guha and Sbuelz (2004) (2007) Merton Black and Cox (1976) Longstaff and Schwartz (1995) Giesecke (2006) First Passage Time Model Zhou (2001) (2007) Jarrow and Turnbull (1995) Madan and Unal (1998) Duf e and Singleton (1999) 1 =1 LGD 2
3 2 Jarrow (2001) (2004) 3 II Asarnow and Edwards (1995) Hurt and Felsovalyi (1998) Asarnow and Edwards (1995) Araten, Jacobs and Varshney (2004) JP 2 3 Frye (2000) (2005) 4 Basel Committee on Banking Supervision (2006) 3
4 Franks, de Servigny and Davydenko (2004) 10 GDP Dermine and de Carvalho (2006) Banco Comercial Portugu es log-log GLM Franks et al. (2004) GDP Asarnow and Edwards (1995) USA yes Hurt and Felsovalyi (1998) LA yes Araten et al. (2004) USA yes Franks et al. (2004) UK yes Franks et al. (2004) FRA yes Franks et al. (2004) GER yes Dermine and Carvalho (2006) POR yes 1: 5 5 Grunert and Weber (2007) table 1 LA POR 6 Araten et al. (2004) Franks et al. (2004) GDP Araten et al. (2004) Moody's All-Corporate 4
5 Franks et al. (2004) Franks et al. (2004) Dermine and Carvalho (2006) Aratenet al. (2004) Dermine and Carvalho (2006) Asarnow and Edwards (1995) Hurt and Felsovalyi (1998) Franks et al. (2004) Dermine and Carvalho (2006) GDP Dermine and Carvalho (2006) Franks et al. (2004) Araten et al. (2004) Dermine and Carvalho (2006) Franks et al. (2004) Aratenet al. (2004) Franks et al. (2004) 2 2: (2005) % 90% % 8 5
6 ) 1: HP = 6
7 2:
8 3.3 3 A B C A B C % 9.49% 8.06% % 81.43% 61.40% ( ) 4,246,182,062 34,208,543,975 7,608,757,883 ( ) 1,048,186,027 8,986,802,033 1,268,310, % 26.27% 16.67% 3: Hurt and Felsovalyi (1998) Dermine and Carvalho (2006) Asarnow and Edwards (1995) Franks et al. (2004) p 8
9 A B C 16.53% 7.97% 12.69% 32.14% 19.76% 27.58% % 20.98% 64.45% 44.66% 29.14% 44.74% % 8.13% 23.65% 43.14% 19.82% 38.32% % 7.25% 13.63% 32.39% 18.12% 27.13% % 64.79% 45.42% 38.87% 38.25% 39.02% % 9.94% 24.84% 37.88% 22.94% 35.26% % 3.35% 9.21% 30.99% 9.19% 22.80% % 18.44% 33.81% 43.52% 32.15% 41.97% % 6.53% 18.74% 39.54% 17.88% 33.80% : 13 3: A 24 9
10 4: B 24 5: C 24 10
11 A B C p : C i t X i;t X i;t =0 X i;t 0 i t MRR i;t % 11
12 6: C : C
13 8: C MRR i;t = X i;t B i B i i 9 10 C i B i >0T CRR i;t CRR i;t = P T t= 1 X i;t B i X i;t 0 CRR i;t 0 17 CRR i;t % 13
14 9: C 10: C 16 14
15 1 0 CRR i;t B i e rt r > 0 T % 100% Hartigan and Hartigan (1985) dip 1% 24 A B C dip : C A B C 15
16 12: C 19 13: A B C
17 4.4 T PRER T PRER T = T N N T : A B C T PRR T PRR T = P N P T i= 1 t= 1 X X i;t N P N i= 1 B = w i CRR i;t i i= 1 B B i i w i = P i N i= 1 B i PRR T T 15 17
18 5 15: A B C 100% 2 2 A A B C
19 2 8 < 0 ifcrr i;24 =0 y i = : 1 otherwise 6 x i ^xi ^xi x i >^xi +3^xi x i <^xi 3^xi x i 2 5% ( )= =( + ) ( + + )= ( )= = ( + )= = = 6: C 8 9 ROC Receiver Operating Characteristic 16 A B B.1 ROC A
20 =1 =0 =1 =0 =1 =0 =1 =0 =1 =0 =1 =0 =1 =0 =1 =0 =1 =0 2 2 =1 =0 =1 =0 =1 =0 =1 =0 =1 =0 =1 =0 7: 3 A B C McFadden % ROC ROC Winkelmann and Boes (2006) Greene (2007) Cameron and Trivedi 20
21 z p LR(8) Log likelihood Prob > LR AIC McFadden's R % McFadden's R 2 adj : C : C 16: C ROC 21
22 (2005) y i = 8 0 ifcrr i;24 =0 >< 1 if0< CRR i;24 <0:5 2 if0:5 CRR i;24 <1 >: 3 ifcrr i; % C 10 A B B.2 C McFadden 0.1 z p cut cut cut LR(7) Log likelihood Prob > LR AIC McFadden's R McFadden's Radj : C 24 22
23 A 2 Winkelmann and Boes (2006) Greene (2007) Cameron and Trivedi (2005) 23
24 A.1 2 y i OLS [0; 1] OLS i 1 i 2 i, Pfy i =1jx i g = = exp f x 1;i + + k x k;i g 1+ expf x 1;i + + k x k;i g exp x > i 1+ exp x > i = x > i (A1) 1 i =Pfy i =0jx i g =1 Pfy i =1jx i g= 1 x > i =( 0 ; 1 ; ; k ) > x i =(1;x 1;i ; ;x k;i ) > X n o lnl ( ;y;x) = ny i ln x > i +(1 y i)ln 1 x > i i= 1 ^ A.2 2 A.2.1 McFadden R 2 2 McFadden R 2 R 2, lnl 0 lnl 1 lnl 0 =1 lnl 1 lnl 0 L 0 L 1 A.2.2 McFadden R 2 adj McFadden R 2 adj R 2 adj, 1 lnl 1 K lnl 0 K 24
25 A p 2 ^p= x > c ^y i 8 < 1 if ^p> c ^y i = : 0 otherwise (c) = 1 P(^p cjy = 1) (c) = P ( ^p cjy = 0) 11 (A1) (1) (0) (1) (1 ) (1 ) (0) (1 )(1 ) 11: 2 (1 )+(1 )(1 ) A.2.4 ROC c 1 ^ ^ g() () 1 ^(c), g ( ^p cjy = 1) ^(c), g ( ^p cjy = 0) ROC 1 ROC (0;0) (0;1) (1;1) 45 ROC area under ROC curve ROC [0:5; 1] 1 25
26 B B.1 A B A B z p LR(5) Log likelihood Prob > LR AIC McFadden's R % McFadden's Radj : A : A 17: A ROC 26
27 z p LR(6) Log likelihood Prob > LR AIC McFadden's R % McFadden's Radj : B : B 18: B ROC 27
28 B.2 A B z p cut cut cut LR(4) Log likelihood Prob > LR AIC McFadden's R McFadden's R 2 adj : A 24 z p cut cut cut LR(7) Log likelihood Prob > LR AIC McFadden's R McFadden's Radj : B 24 28
29 Araten, Michel, Michael Jr. Jacobs, and Peeyush Varshney (2004) Measuring LGD on Commercial Loans: An 18-Year Internal Study, The RMAJournal, Vol. 86, No. 8, pp Asarnow, E. and D. Edwards (1995) Measuring Loss on Defaulted Bank Loans: A 24-Year Study, The JournalofCommercialLending,Vol.77,No.7,pp BaselCommitteeonBankingSupervision(2006) BaselII:InternationalConvergenceofCapitalMeasurement and Capital Standards: A Revised Framework - Comprehensive Version. Black, Fischer and John C. Cox (1976) Valuing corporate securities: Some effects in bond indenture provisions, JournalofFinance,Vol.31,No.2,pp Cameron, A. Colin and Pravin K. Trivedi (2005) Microeconometrics : methods and applications: Cambridge. Dermine, Jean and Cristina Neto de Carvalho (2006) Bank loan losses-given-default: A case study, Journal of Banking & Finance, Vol. 30, pp Duf e, Darrell and Kenneth J. Singleton (1999) Modeling term structures of defaultable bonds, Review of Financial Studies, Vol. 12, No. 4, pp Franks, Julian, Arnaud de Servigny, and Sergei Davydenko (2004) A Comparative Analysis of the Recovery Process and Recovery Rates forprivate Companies inthe UK, France and Germany, Technical report, STANDARD & POORS RISK SOLUTIONS REPORT. Frye, Jon (2000) Depressing Recoveries, Risk, pp , November. Geske, Robert (1977) The Valuation of Corporate Liabilities as Compound Options, The Journal of Financial and Quantitative Analysis, Vol. 12, No. 4, pp Giesecke, Kay (2006) Defaultand information, Journal of Economic Dynamics & Contro, Vol. 30, No. 11, pp Greene, WilliamH. (2007) Econometric Analysis: Prentice Hall, 6th edition. Grunert, Jens and Martin Weber (2007) Recovery Rates of Commercial Lending: Empirical Evidence for German Companies, Working Paper, SSRN. Guha, Rajiv and Alessandro Sbuelz (2002) Recovery of face value at default: Theory and empirical evidence, Working Paper, LBS. (2004) Structural RFV: Recovery Form and Defaultable Debt Analysis, in Proceedings of C.R.E.D.I.T. 2004, Workshop on Validation of Credit RiskModels, GRETA. 29
30 Hartigan, P. M. (1985) Algorithm AS 217: Computation of the Dip Statistic to Test for Unimodality, Applied Statistics, Vol. 34, No. 3, pp Hartigan, J. A. and P. M. Hartigan (1985) The Dip Test of Unimodality, The Annals of Statistics, Vol. 13, No. 1, pp Hurt, Lew and Akos Felsovalyi (1998) Measuring Loss on Latin American Defaulted Bank Loans: A 27-Year Study of 27 Countries, Journal of Lending & Credit Risk Management, Vol. 81, No. 2, pp Jarrow, Robert A. (2001) Default Parameter Estimation Using Market Prices, Financial Analysts Journal, Vol. 57, No. 5, pp Jarrow, Robert A. and S. Turnbull (1995) Pricing Derivatives on Financial Securities Subject to Credit Risk, JournalofFinance,Vol.50,No.1,pp Long, J. Scott and Jeremy Freese (2003) Regression models for categorical dependent variables using Stata: Stata Press, 1st edition. Longstaff, Francis A. and Eduardo S. Schwartz (1995) A Simple Approach to Valuing Risky Fixed and Floating Rate Debt, Journal of Finance, Vol. 50, No. 3, pp Madan, Dilip B. and Haluk Unal (1998) Pricing the Risks of Default, Reviewof Derivatives Research, Vol. 2, No. 2-3, pp Merton, RobertC. (1974) Onthe Pricing of Corporate Debt: the risk structure of interest rates, Journal of Finance, Vol. 29, No. 2, pp Winkelmann, Rainer and Stefan Boes (2006) Analysis of microdata: Springer. Zhou, Chunsheng (2001) The term structure of credit spreads with jump risk, Journal of Banking and Finance, Vol. 25, No. 11, pp (2005) Vol. 18 (2005) (2007) (2004) Reduced Form PD LGD ISM Research Memorandum No.911 (2007) EL UL
1 1.1 Merton (1974) Black and Cox (1976) PD Probability of Default LGD Loss Given Default 1 EAD Exposure At Default II Merton (1974) Merton Merton Ges
II 2 :,,,,. CRD ed061001@srv.cc.hit-u.ac.jp yamasita@ism.ac.jp 1 1 1.1 Merton (1974) Black and Cox (1976) PD Probability of Default LGD Loss Given Default 1 EAD Exposure At Default II Merton (1974) Merton
More informationIMES DISCUSSION PAPER SERIES Discussion Paper No. 99-J- 9 -J-19 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN
IMES DISCUSSION PAPER SERIES Discussion Paper No. 99-J- 9 -J-19 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN 100-8630 03 IMES Discussion Paper Series 99-J- 9 -J-19 1999 6 * * [1999] *(E-mail:
More informationわが国企業による資金調達方法の選択問題
* takeshi.shimatani@boj.or.jp ** kawai@ml.me.titech.ac.jp *** naohiko.baba@boj.or.jp No.05-J-3 2005 3 103-8660 30 No.05-J-3 2005 3 1990 * E-mailtakeshi.shimatani@boj.or.jp ** E-mailkawai@ml.me.titech.ac.jp
More informationBIS CDO CDO CDO CDO Cifuentes and O Connor[1] Finger[6] Li[8] Duffie and Garleânu[4] CDO Merton[9] CDO 1 CDO CDO CDS CDO three jump model Longstaff an
CDO 2010 5 18 CDO(Collateralized Debt Obligation) Duffie and Garleânu[4] CDO CDS(Credit Default Swap) Duffie and Garleânu[4] 4 CDO CDS CDO CDS CDO 2007 CDO CDO CDS 1 1.1 2007 2008 9 15 ( ) CDO CDO 80 E-mail:taiji.ohka@gmail.com
More informationtext.dvi
Abstract JP Morgan CreditMetrics (1) () (3) (4) 1 3 3 4 4 5 10 6 16 1 1 BIS 1 3 1 BIS 1 BIS 1 3 ALM (1) Value at Risk () (3) RAROC (Risk Ajusted Return On Capital) (4) 3 5 6 31 99% (= p ) ~x X Prf~x Xg
More information大規模データベースを用いた信用リスク計測の問題点と対策(変数選択とデータ量の関係)
( ) CRD 450,000 86 2, CRD,, CRD 1 1 4 2 5 2.1........................................ 5 2.2............................... 6 3 2 7 3.1 2.................................... 7 3.2.............................
More information202 2 9 Vol. 9 yasuhisa.toyosawa@mizuho-cb.co.jp 3 3 Altman968 Z Kaplan and Urwitz 979 Merton974 Support Vector Machine SVM 20 20 2 SVM i s i x b si t = b x i i r i R * R r (R,R, L,R ), R < R < L < R
More information2 1,2, , 2 ( ) (1) (2) (3) (4) Cameron and Trivedi(1998) , (1987) (1982) Agresti(2003)
3 1 1 1 2 1 2 1,2,3 1 0 50 3000, 2 ( ) 1 3 1 0 4 3 (1) (2) (3) (4) 1 1 1 2 3 Cameron and Trivedi(1998) 4 1974, (1987) (1982) Agresti(2003) 3 (1)-(4) AAA, AA+,A (1) (2) (3) (4) (5) (1)-(5) 1 2 5 3 5 (DI)
More informationCDOのプライシング・モデルとそれを用いたCDOの特性等の考察: CDOの商品性、国内市場の概説とともに
CDO CDO CDO CDO CDO CDO E-mail: kiyotaka_komiya@btm.co.jp CDOcollateralized debt obligation CDO CDO CDO CDO CDOCDO CDO CDO CDO CDOCDO CDO CDO CDO CDO CDO CDOABSasset backed securities CBOcollateralized
More information相互取引に伴う債権債務の依存構造を考慮した金融機関の与信評価について
IMES DISCUSSION PAPER SERIES 相互取引に伴う債権債務の依存構造を考慮した金融 機関の与信評価について にしでかつまさ 西出勝正 Discussion Paper No. 2015-J-6 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN 日本銀行金融研究所 103-8660 東京都中央区日本橋本石町 2-1-1
More information2 Recovery Theorem Spears [2013]Audrino et al. [2015]Backwell [2015] Spears [2013] Ross [2015] Audrino et al. [2015] Recovery Theorem Tikhonov (Tikhon
Recovery Theorem Forward Looking Recovery Theorem Ross [2015] forward looking Audrino et al. [2015] Tikhonov Tikhonov 1. Tikhonov 2. Tikhonov 3. 3 1 forward looking *1 Recovery Theorem Ross [2015] forward
More informationカルマンフィルターによるベータ推定( )
β TOPIX 1 22 β β smoothness priors (the Capital Asset Pricing Model, CAPM) CAPM 1 β β β β smoothness priors :,,. E-mail: koiti@ism.ac.jp., 104 1 TOPIX β Z i = β i Z m + α i (1) Z i Z m α i α i β i (the
More informationuntitled
2007 2 * (i) (ii) 2006 7 1999 2 2000 8 1 (2003) Oda and Ueda (2005) 2005 Kimura and Small(2006) Iwamura, Shiratsuka and Watanabe (2006) (2006) 3 (i) (ii) (iii) 2 2 3 4 2.1 (2003) (2005) 1) (i) (ii) (i)
More information082_rev2_utf8.pdf
3 1. 2. 3. 4. 5. 1 3 3 3 2008 3 2008 2008 3 2008 2008, 1 5 Lo and MacKinlay (1990a) de Jong and Nijman (1997) Cohen et al. (1983) Lo and MacKinlay (1990a b) Cohen et al. (1983) de Jong and Nijman (1997)
More informationAn Empirical Study of the Securities Firms' Dilemma on Financial Innovation through Diffusion of Internet Deals Yasugi Satoshi Bower, J. L., 1999, Disruptive technologies: Catching the wave,
More informationGDPギャップと潜在成長率
2003 output gap 80 1 20 90 20 70 2 1 2 output gap potential output 1 2 (2001) 3 potential rate of growth 2000 Meyer (2000) European Central Bank: (1999b) 2002 10 4 3 (2000) 4 4 () 5 5 5 6 () () 7 Total
More information本邦国債価格データを用いたゼロ・クーポン・イールド・カーブ推定手法の比較分析
Steeley [1991]... JAFEE 35 TMU NEEDS E-mail: kentarou.kikuchi@boj.or.jp / /212.7 35 1 1 1 1 2 McCulloch [1971, 1975] Steeley [1991] Tanggaard [1997] Schaefer [1981] Nelson and Siegel [1987] Svensson [1995]...
More information上場変更と株価:株主分散と流動性変化のインパクト
Merton Amihud and Mendelson NASDAQ JASDAQ JASDAQ JASDAQ QUICK E-mailjuno@waseda.jp E-mailshibata-mai@c.metro-u.ac.jp E-mailtakeshi.shimatani@boj.or.jp E-mailtokiko.shimizu@boj.or.jp JASDAQ JASDAQ Merton
More information○松本委員
CIRJE-J-100 2003 11 CIRJE hp://www.e.u-okyo.ac.jp/cirje/research/03research02dp_j.hml Credi Risk Modeling Approaches 2003 11 17 Absrac This aricle originaes from a speech given by he auhor in he seminar
More informationStepwise Chow Test * Chow Test Chow Test Stepwise Chow Test Stepwise Chow Test Stepwise Chow Test Riddell Riddell first step second step sub-step Step
Stepwise Chow Test * Chow Test Chow Test Stepwise Chow Test Stepwise Chow Test Stepwise Chow Test Riddell Riddell first step second step sub-step Stepwise Chow Test a Stepwise Chow Test Takeuchi 1991Nomura
More informationVol. 3 No (Mar. 2010) An Option Valuation Model Based on an Asset Pricing Model Incorporating Investors Beliefs Kentaro Tanaka, 1 Koich
Vol. 3 No. 2 51 64 (Mar. 2010 1 1 1 An Option Valuation Model Based on an Asset Pricing Model Incorporating Investors Beliefs Kentaro Tanaka, 1 Koichi Miyazaki 1 and Koji Nishiki 1 Preceding researches
More information1 Nelson-Siegel Nelson and Siegel(1987) 3 Nelson-Siegel 3 Nelson-Siegel 2 3 Nelson-Siegel 2 Nelson-Siegel Litterman and Scheinkman(199
Nelson-Siegel Nelson-Siegel 1992 2007 15 1 Nelson and Siegel(1987) 2 FF VAR 1996 FF B) 1 Nelson-Siegel 15 90 1 Nelson and Siegel(1987) 3 Nelson-Siegel 3 Nelson-Siegel 2 3 Nelson-Siegel 2 Nelson-Siegel
More information時間割引:双曲割引と弱加法性
Discussion aper No. 666 June 2006 The Institute of Social and Economic Research Osaka University 6-1 Mihogaoka, Ibaraki, Osaka 567-0047, Japan Time Discounting: Declining Impatience and Interval Effect
More informationHi-Stat Discussion Paper Series No.248 東京圏における 1990 年代以降の住み替え行動 住宅需要実態調査 を用いた Mixed Logit 分析 小林庸平行武憲史 March 2008 Hitotsubashi University Research Unit
Hi-Stat Discussion Paper Series No.248 東京圏における 1990 年代以降の住み替え行動 住宅需要実態調査 を用いた Logit 分析 小林庸平行武憲史 March 2008 Hitotsubashi University Research Unit for Statistical Analysis in Social Sciences A 21st-Century
More informationPFI
PFI 23 3 3 PFI PFI 1 1 2 3 2.1................................. 3 2.2..................... 4 2.3.......................... 5 3 7 3.1................................ 7 3.2.................................
More information43 2 PD DR Sommar and Shahnazarianka [19] Simons and Rolwes [17] GDP Figlewski, Frydman and Liang [7] GDP Bonfim [2] 3 Bhattacharjee et al. [1] 2002 [
Transactions of the Operations Research Society of Japan Vol. 55, 2012, pp. 42 65 c ( 2011 10 25 ; 2012 3 1 ) ( PD) ( DR) 2007 DR PD 54 PD DR 0.72% PD :,,,,, 1. 1 ( PD: Probability of Default) 10 ( DR:
More information商品流動性リスクの計量化に関する一考察(その2)―内生的流動性リスクを考慮したストレス・テスト―
E-mail: shigeru_yoshifuji@btm.co.jp E-mail: fuminobu_otake@btm.co.jp Bangia et al. G Bangia et al. exogenous liquidity risk endogenous liquidity risk et al LTCMLong Term Capital Management Fed G G T
More information戦間期日本企業の資金調達、資本コスト、資本構成:最適資本構成理論からみた1930年代における企業財務
1930 Modigliani and Miller [1958] 170 1930 2008 7 16 I E-mail: takashi.nanjou@boj.or.jp E-mail: cc00881@srv.cc.hit-u.ac.jp //2009.7 81 1. 1 2 M&A 3 4 1965 1969 1995 1995 1993 1 2008 2008 1985 2006 10 ROA
More information9 1 (1) (2) (3) (4) (5) (1)-(5) (i) (i + 1) 4 (1) (2) (3) (4) (5) (1)-(2) (1)-(5) (5) 1
9 1 (1) (2) (3) (4) (5) (1)-(5) (i) (i + 1) 4 (1) (2) (3) (4) (5) (1)-(2) (1)-(5) (5) 1 2 2 y i = 1, 2, 3,...J (1 < 2 < 3
More information1 Jensen et al.[6] GRT S&P500 GRT RT GRT Kiriu and Hibiki[8] Jensen et al.[6] GRT 3 GRT Generalized Recovery Theorem (Jensen et al.[6])
Generalized Recovery Theorem Ross[11] Recovery Theorem(RT) RT forward looking Kiriu and Hibiki[8] Generalized Recovery Theorem(GRT) Jensen et al.[6] GRT RT Kiriu and Hibiki[8] 1 backward looking forward
More information2 Tobin (1958) 2 limited dependent variables: LDV 2 corner solution 2 truncated censored x top coding censor from above censor from below 2 Heck
10 2 1 2007 4 6 25-44 57% 2017 71% 2 Heckit 6 1 2 Tobin (1958) 2 limited dependent variables: LDV 2 corner solution 2 truncated 50 50 censored x top coding censor from above censor from below 2 Heckit
More informationデフォルト相関係数のインプライド推計( )
,,,.,.,.,,.,,.,,.,,. :,, OU, SUR,.,.,,.,.., 62 1, BIS,.,.,,,,.,,.,.,, [33],,,.,,.,,,,.,,.,,,.. 2,. 3,. 4,,. 5. 2,,.,. 2.1,.,,.,. Giesecke [10] dependen defaul.,,,, GDP,.,,.,...,,,.,.,.,,.,,. Giesecke [10],
More informationアジアの資本移動の変化に関するクラスター分析 アジア域内の証券投資活性化に向けて
* ** 199 1 1996-97 relation * ** Seoul conference China and Emerging Asia: Reorganizing the Global Economy? held by KIEP and Seoul National University 26 5 11-12 Hugh Patrick Yung-Chul Park 26 9 9-1 East
More informationMicrosoft Word - Šv”|.DOC
ª ª * E-mail : shinobu.nakagawa@boj.or.jp ** E-mail : tomoko.katagiri@boj.or.jp i ii iii 1-1 70 6 2 90 1 1 1-2 90 2 3 90 1-1 70 3 1 2 93 97 98 98 98 98/4 3 1 1-2 35 1 80 90 25060 510 4 4 90 5 6 or 7 1
More informationLA-VAR Toda- Yamamoto(1995) VAR (Lag Augmented vector autoregressive model LA-VAR ) 2 2 Nordhaus(1975) 3 1 (D2)
LA-VAR 1 1 1973 4 2000 4 Toda- Yamamoto(1995) VAR (Lag Augmented vector autoregressive model LA-VAR ) 2 2 Nordhaus(1975) 3 1 (D2) E-mail b1215@yamaguchi-u.ac.jp 2 Toda, Hiro Y. and Yamamoto,T.(1995) 3
More informationJ. JILA 64 (5), 2001
Comparison of the Value of Outdoor Recreation: A Case Study Applying Travel Cost Method and Contingent Valuation Method Yasushi SHOJI J. JILA 64 (5), 2001 J. JILA 64 (5), 2001 2) Trice, A. H. and Wood,
More informationY-...W
259 21 1 1 2003 2 1 2 1 15 22 260 56 3 2 2. 1 2. 2 2. 3 2. 4 3 3. 1 3. 2 4 2 2. 1 1965 1999 2 Brick, Frierman, and Kim 1998 Choate 1997Fischer, Heinkel, and Zechner 1989 Gilson 1997 Mauer and Triantis
More information1 Stata SEM LightStone 3 2 SEM. 2., 2,. Alan C. Acock, Discovering Structural Equation Modeling Using Stata, Revised Edition, Stata Press.
1 Stata SEM LightStone 3 2 SEM. 2., 2,. Alan C. Acock, 2013. Discovering Structural Equation Modeling Using Stata, Revised Edition, Stata Press. 2 3 2 Conservative Depress. 3.1 2. SEM. 1. x SEM. Depress.
More informationM&A の経済分析:M&A はなぜ増加したのか
RIETI Discussion Paper Series 06-J-034 RIETI Discussion Paper Series 06-J-034 M&A の経済分析 :M&A はなぜ増加したのか 蟻川靖浩 宮島英昭 ( 早稲田大学 RIETI) 2006 年 4 月 要旨 1990 年代以降の M&A の急増の主要な要因は 産業や企業の成長性や収益性へのショックである とりわけ M&A を活発に行っている産業あるいは企業の特性としては
More information物価変動の決定要因について ― 需給ギャップと物価変動の関係の国際比較を中心に―
NAIRU NAIRU NAIRU GDPGDP NAIRUNon- Accelerating Inflation Rate of Unemployment GDP GDP NAIRU Lown and RichFisher, Mahadeva and Whitley raw materials G NAIRUTurnerFai WatanabeNAIRU Watanabe nested NAIRU
More information1 CAPM: I-,,, I- ( ) 1 I- I- I- ( CAPM) I- CAPM I- 1 I- Jensen Fama-French 3 I- Fama-French 3 I- Fama-MacBeth I- SMB-FL, HML-FL Fama-MacBeth 1 Fama-Fr
1 CAPM: I-,,, I- ( ) 1 I- I- I- ( CAPM) I- CAPM I- 1 I- Jensen Fama-French 3 I- Fama-French 3 I- Fama-MacBeth I- SMB-FL, HML-FL Fama-MacBeth 1 Fama-French (FF) 3 [5] (Capital Asset Pricing Model; CAPM
More information国際流動性に関する財政的側面について
IMF SDR IMF 2011 6 1 2 2011 E-mail: obstfeld@econ.berkeley.edu / /2011.10 35 1. 2007 2009 2 Goodhart [1999] 2010 11 2. 4 1970 IMF 1960 36 /2011.10 international reserve 1 D 35 1 D 35 1960 Eichengreen [2011]
More information,.,.,,. [15],.,.,,., 2003 3 2006 2 3. 2003 3 2004 2 2004 3 2005 2, 1., 2005 3 2006 2, 1., 1,., 1,,., 1. i
200520866 ( ) 19 1 ,.,.,,. [15],.,.,,., 2003 3 2006 2 3. 2003 3 2004 2 2004 3 2005 2, 1., 2005 3 2006 2, 1., 1,., 1,,., 1. i 1 1 1.1..................................... 1 1.2...................................
More informationスプレッド・オプション評価公式を用いた裁定取引の可能性―電力市場のケース― 藤原 浩一,新関 三希代
403 81 1 Black and Scholes 1973 Email:kfujiwar@mail.doshisha.ac.jp 82 404 58 3 1 2 Deng, Johnson and Sogomonian 1999 Margrabe 1978 2 Deng, Johnson and Sogomonian 1999 Margrabe 1978 Black and Scholes 1973
More information物価指数の計測誤差と品質調整手法:わが国CPIからの教訓
CPICPI CPI CPI CPI CPI Economic Perspective Shiratsukaa Consumer Price IndexCPI CPI CPI CPI CPI Advisory Commission to Study the Consumer Price Index 1996Shiratsuka 1999bHoffmann 1998Cunningham 1996 Crawford
More information149 (Newell [5]) Newell [5], [1], [1], [11] Li,Ryu, and Song [2], [11] Li,Ryu, and Song [2], [1] 1) 2) ( ) ( ) 3) T : 2 a : 3 a 1 :
Transactions of the Operations Research Society of Japan Vol. 58, 215, pp. 148 165 c ( 215 1 2 ; 215 9 3 ) 1) 2) :,,,,, 1. [9] 3 12 Darroch,Newell, and Morris [1] Mcneil [3] Miller [4] Newell [5, 6], [1]
More informationyasi10.dvi
2002 50 2 259 278 c 2002 1 2 2002 2 14 2002 6 17 73 PML 1. 1997 1998 Swiss Re 2001 Canabarro et al. 1998 2001 1 : 651 0073 1 5 1 IHD 3 2 110 0015 3 3 3 260 50 2 2002, 2. 1 1 2 10 1 1. 261 1. 3. 3.1 2 1
More information高齢化とマクロ投資比率―国際パネルデータを用いた分析―
196 2017 * ** ** ** ** 160 2 2 JEL Classification Codes E21, E22, J11 Keywords * ESRI 28 ESRI 29 3 17 ESRI ** 115 196 Population Aging and Domestic Investment An Analysis Using International Panel Data
More informationヒストリカル法によるバリュー・アット・リスクの計測:市場価格変動の非定常性への実務的対応
VaR VaR VaR VaR GARCH E-mail : yoshitaka.andou@boj.or.jp VaR VaR LTCM VaR VaR VaR VaR VaR VaR VaR VaR t P(t) P(= P() P(t)) Pr[ P X] =, X t100 (1 )VaR VaR P100 P X X (1 ) VaR VaR VaR VaR VaR VaR VaR VaR
More informationuntitled
18 1 2,000,000 2,000,000 2007 2 2 2008 3 31 (1) 6 JCOSSAR 2007pp.57-642007.6. LCC (1) (2) 2 10mm 1020 14 12 10 8 6 4 40,50,60 2 0 1998 27.5 1995 1960 40 1) 2) 3) LCC LCC LCC 1 1) Vol.42No.5pp.29-322004.5.
More information山形大学紀要
x t IID t = b b x t t x t t = b t- AR ARMA IID AR ARMAMA TAR ARCHGARCH TARThreshold Auto Regressive Model TARTongTongLim y y X t y Self Exciting Threshold Auto Regressive, SETAR SETARTAR TsayGewekeTerui
More informationデフレ不況下の金融政策をめぐる政治過程
1991 2003 GDP....................................... http://www.stat.go.jp/ http://www.boj.or.jp/ GDP http://www.esri.cao.go.jp/ GDP - - - inflation targeting Krugman a IS-LM liquidity trap Krugman b Krugman
More informationデフレの定義(最新版).PDF
DP/01-1 Director General for Economic Assessment and Policy Analysis CABINET OFFICE E-mail : naoki.okamoto@mfs.cao.go.jp 1 2 3 i (ii) 4 5 Deflation defined as at least two consecutive years of price decreases.
More informationp *2 DSGEDynamic Stochastic General Equilibrium New Keynesian *2 2
2013 1 nabe@ier.hit-u.ac.jp 2013 4 11 Jorgenson Tobin q : Hayashi s Theorem : Jordan : 1 investment 1 2 3 4 5 6 7 8 *1 *1 93SNA 1 p.180 1936 100 1970 *2 DSGEDynamic Stochastic General Equilibrium New Keynesian
More information小塚匡文.indd
流通科学大学論集 - 経済 情報 政策編 - 第 22 巻第 2 号,19-32(2014) Lending Behavior for Small-Medium Business by Shinkin Bank and Other Domestic Bank in Japan: Evidences from Time Series Data Masafumi Kozuka I. 2006 99.7
More informationuntitled
Trade and Trade Finance in the 200809 Financial Crisis, IMF Working Paper WP/11/16., Understanding the Great Trade Collapse of 200809 and the Subsequent Trade Recovery, Economic Perspectives, 2Q/2011.
More information長岡慎介 45‐78/45‐78
HSBC http://news.bbc.co.uk/2/hi/business/5074068.stm HSBC HSBC Amanah Saadiq [CIBAFI 2005: 10; CIBAFI, 2009: 4; TheCityUK, 2013: 4; IFSB, 2013: 10; IFSB, 2014: 12] [TheCityUK 2013: 1] [UK Trade & Investment
More information........,.,.,..,.,.,.,.,.,.,.,., International Capital Market Litan et al a b c d M&A a a b E- e- Litan et al. : Table Levine World Bank Levine Greenwald et al. B R F R r R R r B R r B R r B R R Stiglitz
More information野村資本市場研究所|ベイルインの導入に向けた検討-破綻時に債権の損失吸収を図る新たな措置-(PDF)
1. SIFI 2. EU 1 FDIC G20 FSB 3. 4. FSB 2012 8 G20 88 2012 6 EU EU bail-in 1 ICB 2 write-down SIFI SIFI SIFI bail-out SIFI G20 too big to fail 2010 6 G20 SIFI 1 3 2011 11 FSBG20 1 2 3 2012 ICB PLAC 2011
More information2
fukui@econ.tohoku.ac.jp http://www.econ.tohoku.ac.jp/~fukui/site.htm 200 7 Cookbook-style . (Inference) (Population) (Sample) f(x = θ = θ ) (up to parameter values) (estimation) 2 3 (multicolinearity)
More information第13回:交差項を含む回帰・弾力性の推定
13 2018 7 27 1 / 31 1. 2. 2 / 31 y i = β 0 + β X x i + β Z z i + β XZ x i z i + u i, E(u i x i, z i ) = 0, E(u i u j x i, z i ) = 0 (i j), V(u i x i, z i ) = σ 2, i = 1, 2,, n x i z i 1 3 / 31 y i = β
More information財政のサステナビリティと長期金利の動向
* nakaza-t@hoffman.cc.sophia.ac.jp ** yutaka.soejima@boj.or.jp ()*** **** munehisa.kasuya@boj.or.jp No.03-J-7 2003 10 103-8660 30 * **()******* * ** () *** **** 2003 10 (i) (ii) Keywords: government bonds,
More information取引銀行の破綻が企業経営に及ぼす影響について-阪和銀行破綻の事例分析-
2 JEL Classification: G21, G14 Key words: e-mail y-murakami@aria.ocn.ne.jp 1 The Effect of Bank Failure on Client Firms A Study on the Hanwa Bank s Failure By Yoshiko Murakami Abstract The financial theories
More information公的機関が関与した企業再生支援
14 56 2004.10 corporate control right debt overhang 4, 1998, p.253., p.263., 2000, p.44. 2004.10 57 DES DDS DES DDS 10 11 Hold out, 2000, pp.215-226, p.44. N 1265, 2004.4.1, pp.25-26. Coase theorem Ronald
More informationfiúŁÄ”s‘ê‡ÌŁª”U…−…X…N…v…„…~…A…•‡Ì ”s‘ê™´›ß…−…^†[…fiŠ‚ª›Âfl’«
2016/3/11 Realized Volatility RV 1 RV 1 Implied Volatility IV Volatility Risk Premium VRP 1 (Fama and French(1988) Campbell and Shiller(1988)) (Hodrick(1992)) (Lettau and Ludvigson (2001)) VRP (Bollerslev
More informationワークショップ「国際財務報告基準(IFRS)と企業行動:IFRSアドプションのインパクト」の模様
IMES DISCUSSION PAPER SERIES IFRS IFRS Discussion Paper No. 2010-J-25 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN 103-8660 2-1-1 http://www.imes.boj.or.jp IMES Discussion Paper Series 2010-J-25
More information1 Stata SEM LightStone 4 SEM 4.. Alan C. Acock, Discovering Structural Equation Modeling Using Stata, Revised Edition, Stata Press 3.
1 Stata SEM LightStone 4 SEM 4.. Alan C. Acock, 2013. Discovering Structural Equation Modeling Using Stata, Revised Edition, Stata Press 3. 2 4, 2. 1 2 2 Depress Conservative. 3., 3,. SES66 Alien67 Alien71,
More informationguideline_1_0.dvi
Version 1.0 ( 22 5 ) cflkanta Matsuura Laboratory 2010, all rights reserved. I 3 1 3 2 3 3 4 II 8 4 8 5 9 5.1......................... 9 5.2......................... 10 5.3......................... 10
More information() ( ) ( ) (1996) (1997) (1997) EaR (Earning at Risk) VaR ( ) ( ) Memmel (214) () 2 (214) 2
1 (Basel Committee on Banking Supervision, BCBS) (BCBS(24), BCBS(215) ) *1 ( ) ( (1997) (213a,b) ) 2 *1 (214) 1 () ( ) ( ) (1996) (1997) (1997) EaR (Earning at Risk) VaR 2 1 1 ( ) ( ) Memmel (214) () 2
More informationPreliminary Version Manning et al. (1986) Rand Health Insurance Experiment Manning et al. (1986) 3 Medicare Me
Preliminary Version. 600 * 14530029 12-1- Preliminary Version. 1 70 1 1997 9 1020 70 1 3 2 70 1 Manning et al. (1986) Rand Health Insurance Experiment 25 50 Manning et al. (1986) 3 Medicare Medicare Medicare
More information「スウェーデン企業におけるワーク・ライフ・バランス調査 」報告書
1 2004 12 2005 4 5 100 25 3 1 76 2 Demoskop 2 2004 11 24 30 7 2 10 1 2005 1 31 2 4 5 2 3-1-1 3-1-1 Micromediabanken 2005 1 507 1000 55.0 2 77 50 50 /CEO 36.3 37.4 18.1 3-2-1 43.0 34.4 / 17.6 3-2-2 78 79.4
More information, 3, 1999, 4,,
1, 1992 2005,,, 10 2,, 1992 1998 1,,, 1998 2002 2,, 3,,, 2002, 2002 3 1 2 1 , 3, 1999, 4,, 3 14 11 2 I, 10,, 1992 2005, 2,, 3, 4,, II,, 1992 1998 1,, 1998 2002 2 2002 3 II-1: 1 1993 1998 90,, 1995 6850,,
More informationわが国のレポ市場について―理論的整理と実証分析―
GCGC SC GCSC SC SC E-mail: yasunari.inamura@boj.or.jp E-mail: naohiko.baba@boj.or.jp GC general collateralscspecial collateral Griffiths and Winters GCFF Jordan and JordanDuffie matched book GC GC SC DuffieKrishnamurthy
More information1. 背景と目的 LGD は PD とともに信用リスクを構成する要素であり 正確な推定を必要とされている そのため LGD の推計モデルについてはこれまでいくつかの提案がなされている 例えば マーケットデータを用い解析的に推計する構造モデルや リスクプレミアムデータを用い た誘導モデルでは デフォル
金融庁金融研究センター FSAリサーチレビュー 第 7 号 2013 年 3 月発行 回収実績データに基づく LGD の要因分析と 多段階モデルによる LGD および EL 推計 川田章広 山下智志 概要 LGD(Loss Given Default) は PD(Probability of Default) とともに信用リスクの構成要素であり 正確な推定を必要とされている これまで 市場データやリスク
More informationc:/ando/latex/デフォルト確率損実率同時推定/fsa-ando-yamashita.dvi
1 2, BIC,, 1, E-mail: andoh@hc.cc.keio.ac.jp 2,, CRD E-mail: yamasita@ism.ac.jp,,.. 1 1 1 2 2 2.1 : : : : : : : : : : : 2 2.2 : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 3 3 5 3.1
More information株式保有構成と企業価値 ─コーポレート・ガバナンスに関する一考察─
q E-mail: kenji.nishizaki@boj.or.jp E-mail: kurasawa@ynu.ac.jp OECD Vives Tirole Shleifer and Vishny q %% %% % % Allen and Gale %% % Admati, Pfreiderer and Zechner Burkart, Gromb and Panunzi Cremer 1995Pagno
More informationTitle 最適年金の理論 Author(s) 藤井, 隆雄 ; 林, 史明 ; 入谷, 純 ; 小黒, 一正 Citation Issue Date Type Technical Report Text Version publisher URL
Title 最適年金の理論 Author(s) 藤井, 隆雄 ; 林, 史明 ; 入谷, 純 ; 小黒, 一正 Citation Issue 2012-06 Date Type Technical Report Text Version publisher URL http://hdl.handle.net/10086/23085 Right Hitotsubashi University Repository
More information03.Œk’ì
HRS KG NG-HRS NG-KG AIC Fama 1965 Mandelbrot Blattberg Gonedes t t Kariya, et. al. Nagahara ARCH EngleGARCH Bollerslev EGARCH Nelson GARCH Heynen, et. al. r n r n =σ n w n logσ n =α +βlogσ n 1 + v n w
More information第11回:線形回帰モデルのOLS推定
11 OLS 2018 7 13 1 / 45 1. 2. 3. 2 / 45 n 2 ((y 1, x 1 ), (y 2, x 2 ),, (y n, x n )) linear regression model y i = β 0 + β 1 x i + u i, E(u i x i ) = 0, E(u i u j x i ) = 0 (i j), V(u i x i ) = σ 2, i
More informationMicrosoft Word - Šv”|“Å‘I.DOC
90 ª ª * E-mailshinobu.nakagawa@boj.or.jp i ii iii iv SNA 1 70 80 2 80 90 80 80 90 1 80 90 98 6 1 1 SNA 2 1 SNA 80 1SNA 1 19931998 1 2-190 1,2 2 2-2 2-3,4 3 2-5 4 2030 2-3 3 2-15 97 20 90 2-15 9198 1.
More informationJorgenson F, L : L: Inada lim F =, lim F L = k L lim F =, lim F L = 2 L F >, F L > 3 F <, F LL < 4 λ >, λf, L = F λ, λl 5 Y = Const a L a < α < CES? C
27 nabe@ier.hit-u.ac.jp 27 4 3 Jorgenson Tobin q : Hayashi s Theorem Jordan Saddle Path. GDP % GDP 2. 3. 4.. Tobin q 2 2. Jorgenson F, L : L: Inada lim F =, lim F L = k L lim F =, lim F L = 2 L F >, F
More informationIshi
Ishi HPhttp: // www.mof.go.jp / jouhou / syuzei / siryou /.htm.. or ERTA, TRA ERTA Economic Recovery Tax Act TRA Tax Reform Act Mroz Triest Lindsey Burtless Navrati Lindsey Burtless Navrati CPS Current
More informationBB 報告書完成版_修正版)040415.doc
3 4 5 8 KW Q = AK α W β q = a + α k + βw q = log Q, k = log K, w = logw i P ij v ij P ij = exp( vij ), J exp( v ) k= 1 ik v i j = X β αp + γnu j j j j X j j p j j NU j j NU j (
More information60 Vol. 44 No. 1 2 準市場 化の制度的枠組み: 英国 教育改革法 1988 の例 Education Reform Act a School Performance Tables LEA 4 LEA LEA 3
Summer 08 59 I はじめに quasi market II III IV V 1 II 教育サービスにおける 準市場 1 教育サービスにおける 準市場 の意義 Education Reform Act 1988 1980 Local Education Authorities LEA Le Grand 1991 Glennerster 1991 3 1 2 3 2 60 Vol. 44
More information会社法制上の資本制度の変容と企業会計上の資本概念について
IMES DISCUSSION PAPER SERIES Discussion Paper No. 2006-J-1 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN 103-8660 30 http://www.imes.boj.or.jp IMES Discussion Paper Series 2006-J-1 2006 1
More informationEvaluation of a SATOYAMA Forest Using a Voluntary Labor Supply Curve Version: c 2003 Taku Terawaki, Akio Muranaka URL: http
14 9 27 2003 Evaluation of a SATOYAMA Forest Using a Voluntary Labor Supply Curve 1 1 2 Version: 15 10 1 c 2003 Taku Terawaki, Akio Muranaka URL: http://www.taku-t.com/ 1 [14] 3 [10] 3 2 Andreoni[1] Duncan[7]
More information中田真佐男 323‐352/323‐352
IT FinTech Finance Technology e SNS (AI) (2013) (2015) ATM IC EMV VISA MasterJCB VISA Master (Union Pay) VISA Master JCB J-Debit J-Debit VISA IC Alipay QR POS nanaco WAON EdyJR Suica PASMO au Master au
More informationPDFŠpŒ{Ł¶
Shinkin Central Bank Monthly Review 2003.12 hinkin Central Bank Monthly Review 200312 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 Community Banker 24 25 26 27 28 29 30 31 32 33 34 35 36
More informationuntitled
Discussion Paper Series No. J98 2008 9 2008 9 1919 1 1938 12 1928 1 1936 4 1 10 1931 1932 2008 19530274 1. 2 1930 5 1 1931 6 12 1936 11 2 1 1919 1 1938 12 1963 1927 1 1936 4 1 2 3 4 7 10 1927 1 1936 4
More information住宅ローンのリスク管理
NSSOL & CPC 2008 (p.23) Credit Pricing Corp. @ Now Printing PD i 1 i 2 t = 1 α t Now Printing T i i i 1 1 2 2 n n T exp( βx ) βx = β x + β x + Lβ x x i DTI x i Now Printing Now Printing Now Printing
More informationy i OLS [0, 1] OLS x i = (1, x 1,i,, x k,i ) β = (β 0, β 1,, β k ) G ( x i β) 1 G i 1 π i π i P {y i = 1 x i } = G (
7 2 2008 7 10 1 2 2 1.1 2............................................. 2 1.2 2.......................................... 2 1.3 2........................................ 3 1.4................................................
More informationTomorrow Next th draft version MEW SWET
Research Center for Price Dynamics A Research Project Concerning Prices and Household Behaviors Based on Micro Transaction Data Working Paper Series No.7 Tomorrow Next を用いた金融政策の分析 青野幸平 June 14, 2012 4th
More informationJORSJ05-61_2_pdf.dvi
Transactions of the Operations Research Society of Japan 2007 50 42-67 2 ( 2005 9 26 ; 2006 10 9 ) 2 :,,,, 1. 2 1 Gordy & Heitfield [11] 1 2 2 1 42 43 2 3 4 5 6 5 7 2. Merton [18] Structural Zhou [27]
More informationOECD Benartzi and Thaler Brown et al. Mottla and Utkus Rooiji et al. Atkinson et al. MacFarland et al. Elton et al. Tang et al. Benartzi and Thaler Br
IFRS. OECD Benartzi and Thaler Brown et al. Mottla and Utkus Rooiji et al. Atkinson et al. MacFarland et al. Elton et al. Tang et al. Benartzi and Thaler Brown et al. /n Benartzi and Thaler n /n Benartzi
More informationSEJulyMs更新V7
1 2 ( ) Quantitative Characteristics of Software Process (Is There any Myth, Mystery or Anomaly? No Silver Bullet?) Zenya Koono and Hui Chen A process creates a product. This paper reviews various samples
More information(1) (Karlan, 2004) (1) (1973) (1978) (1991) (1991) 1
2004 1 8 2005 12 17 1 (1) (Karlan, 2004) 2 3 4 5 E-mail: aa37065@mail.ecc.u-tokyo.ac.jp (1) (1973) (1978) (1991) (1991) 1 2 2 2.1 (, 1978, 7 ) (2) (1988) 38 2 (3) (4) (2) (1986) 91 (1996) 2 1 (1993) 1
More information第3章.DOC
000 Ben-Akiva and Lerman, 1985 1996 1996 4 1997 Banister, 1978; Verplanken et al., 1998 1 5 1996 3 () (I n ) 1 18 I n n P n (1) P n ( 1) = exp exp ( Vn 1 ) I n 1 ( V ) + exp µ ln exp ( V ) n1 + i= ni (3.1)
More information04_田平正典.indd
8 61832015 1 61 GKS Becker and Fuest2003 GKS 1 1 1 1 1 3 10 25 NEEDS Financial QUEST 1 2014882013 0.25510.2070.0756 0.3564 10.0756 62 1 Feldstein and Summers1979 Devereux and Griffith2003 Gordon, Kalambokidis
More informationI- Fama-French 3, Idiosyncratic (I- ) I- ( ) 1 I- I- I- 1 I- I- Jensen Fama-French 3 SMB-FL, HML-FL I- Fama-French 3 I- Fama-MacBeth Fama-MacBeth I- S
I- Fama-French 3, Idiosyncratic (I- ) I- ( ) 1 I- I- I- 1 I- I- Jensen Fama-French 3 SMB-FL, HML-FL I- Fama-French 3 I- Fama-MacBeth Fama-MacBeth I- SMB-FL, HML-FL Fama-MacBeth 2, 3, 5 I- HML-FL 1 Fama-French
More information