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3 Saring and Warga(1989), Amihud and Mendelson(1991), Warga(1992), Daves and Ehrhardt(1993), Kamara(1994), Elton and Green(1998), Fleming(2003), Strebulaev(2002), Fleming(2002), Goldreich et al.(2003), Kirshnamurthy(2002) Boudoukh and Whitelaw(1991,1993, ), Kempf and Uhring-Homburg (2000,), Jankowitsch et al.(2002,emu),,,,(2003) Cornell(1992, high yield mutual fund), Gehr and Martell(1992, investment grade bonds), Shulman,Bayless and Price(1993, high yield bonds), Crabbe and Turner(1995,new issues), Frison and Jonsson(1995, high yield indices), Chakravarty and Sarkar(1999,corporate municipal and Treasury bonds), Alexander,Edwards and Ferri(2000,high yield bonds), Hong and Warga(2000), Collin-Dufresne,Goldstein and Martin(2001,corporate bonds), Ericsson and Renault(2002, zero-coupon bond), Elton Gruger,Agrawal and Mann(2001, 2002, corporate bonds), Mullineaux and Roten(2002, corporate bonds), Delianedis and Geske(2001, corporate bonds) Annaert and De Ceuster (1999, euro-denominated ) Diaz and Navarro(2002, ), Perraudin and Taylor(2003, )Patrick.H, Albert.M and Ton.V (2003) 3
4 Jone, Mason and Rosenfeld(1984) Anderson and Sundaresan(2000), Lyland and Saraniti(2000), Eom, Helwege,and Haung(2002) Eom, Helwege and Huang(2002) Merton(1974)Geske(1977)Leland and Toft(1996)Logstaff and Schwartz(1995) Collin-Defresne and Goldstein(2001) Leland and Toft, Logstaff and Schwartz, Collin-Defresne and Goldstein Leland and Toft Logstaff and Schwartz Collin-Defresne and Goldstein Elton Gruger,Agrawal and Mann(2001) 2/385 Huang and Huang(2003) 2030%AAA,AA A 20%BBB 30 Jarrow, Lando and Yu(2001) Duffie and Lando(2001) Yu(2003) 4
5 Collin-Dufresne,Goldstein and Martin(2001) OLS 25 75% 30 on the run-off the run BBB 10 OLS on the run-off the run % Delianedis and Geske(2001) AAA Campbell and Taksler(2002) 30 Perraudin and Taylor(2003) Elton Gruger,Agrawal and Mann(2001) AAAA 1028bps Ericsson and Renault(2002) 5
6 Alexander,Edwards and Ferri(2000) Elton Gruger,Agrawal and Mann(2002)Ericsson and Renault(2001)Hong and Warga(2000) Patrick.H, Albert.M and Ton.V (2003) 9 24bps (1999)(2001) Saito (2001,2002) Holmstrom and Tirole(2001) 9798 Saito and Shiratsuka(2001) 6
7 Saito,et.al(2002) Holmstrom and Tirole(2001) Holmstrom and Tirole(2001) flight to liquidity 97 7
8 8
9 2 2.1 Black and Scholes(1973) Merton(1974)Black and Cox(1976)Longstaff and Schwartz(1995) Jarrow and Turnbull(1995)Duffie and Singleton(1999) Duffie and Singleton(2003) 9
10 (1) 9899 (3) 10
11 (2001) (2001) Holmstrom and Tiole(2001)LAPMLiquidity Asset Pricing Model (3) (2) 11
12 (9) (3) ( F ) σ A it it Collin-Dufresne,Goldstein and Martin(2001) 10 Litterman and Scheinkman(1991) short rate 10 S&P500 12
13 SP F = σ X SPi a t 0 + a1 + a2 it + a3yt + a4lmt + a5l ft + a6l pt + a7 A it a = a = a = a = t 3.2 (2000) Collin-Dufresne,Goldstein and Martin(2001) 13
14 TOPIX DI TOPIX TOPIX DI97 12 DI 3-2 (1999 ) DI 14
15 DI
16 3.3 81,506 Collin-Dufresne,Goldstein and Martin(2001) spread;19982 estimate:19982 D () 16
17 JBRI () NEEDS CD-ROM 2003 Collin-Dufresne,Goldstein and Martin(2001) 17
18 CD-ROM CD-ROM Crossin and Pirotte(2000) Mertonδ EV Eδ V δ E=δ v E V δ V=δ E V E V E Bloomberg short rate 10 Bloomberg 18
19 TOPIX TOPIX CD-ROMTOPIX TOPIX () () () () () DI DI () 19
20 TOPIX TOPIX TOPIX DI DI DI 20
21 5 5.1 OLS AAA AAA AAAAA TOPIX AA 21
22 AAA BB 22
23 DI TOPIX AA DI AA BBB BBB AA 20 DI DI 23
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25 5.2 AAA BB AAAAA BBB TOPIX A AAA TOPIX BB 25
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28 DI TOPIX A DI Holmstrom and Tiole(2001) LAPM LAPM AA A BBB BBB DI DI BBB 5.3 DI TOPIX DI()
29 2000 DI DI DI A BBB A 6 29
30 (2001) (1998) Libor Discussion Paper (1999) (1999), 51, 5-27 (2000) (2001)126, (2002),,,,(2003) 30
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36 ~ Y il ~ ( Y il) + θ X ~ + γc + rm (1) θv + γb + M = W (2) V B M C W X ~ 4 Y ˆ + θx ˆ + γc il (3) Yˆ Y Xˆ il Yˆ (3)(3) binding (1) [ ~ ] ~ 1 2 [ ~ 2 2 E( Y ) il + θe( X ) + γc + rm λ σ ( Y ) + θ σ ( X ~ ) + 2θ cov( Y ~, X ~ )] + µ ( Yˆ + θxˆ + γc il) 2 (4) ~ 2 ~ E ( X ) rv λ θσ ( X ~ ) + cov( X ~, Y ) + µ Xˆ [ ] = 0 C rb + µ C (5) = 0 (6) µ > 0, when Y ˆ + θx ˆ + γc = il 4 36
37 µ = 0, when Y ˆ + θx ˆ + γc > il θ = 1, M = 0 ~ ~ E( X ~ ) + µ Xˆ λ cov[ X ~, X + Y ] V = (7) r ( 1+ µ ) C B = (8) r X ~ F x πx F d π Xˆ F x d binding V µxˆ r ˆ ~ X 0 X, X ~ ~ cov + Y µ [ ] F V F V C r = < r B 1+ µ θv W (9) ~ 2 E( X ) rv λ θσ ( X ~ ) + cov( X ~, Y ~ ) + µ Xˆ δv = (10) [ ] 0 ~ ~ E( X ) + µ Xˆ λ cov[ X, X + Y ] V = r + δ (11) when V = W 37
社債流通市場における社債スプレッド変動要因の実証分析
金融庁金融研究研修センターディスカッションペーパー N0.2007-2 社債流通市場における社債スプレッド変動要因の実証分析 * 白須洋子 米澤康博 概要 本稿は 1997 年から 2002 年前半までの国内社債市場について 流通利回りの対国債スプレッド ( 社債スプレッド ) の変動を分析しながらその要因を分析することが目的である 具体的には 信用リスク要因 経済環境要因及び流動性要因について実証的な分析を行った
More informationIMES DISCUSSION PAPER SERIES Discussion Paper No. 99-J- 9 -J-19 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN
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