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 1 [1971] [1983] [1989] [2002][2004][2006] 1
1931 1932 1933 1931 1932 2 3 4 5 2. (1) 100 2
2 100 3 4 100 (1932)1927 230 8 59 2 43 1 5 1 5 3 2 1 365 100 3 pp.33-34 4 (1936:p.8) 5 (1932: p.45) 3
6 1 1921 7 Statistical Year-Book (2) (1977) (3) 4
1920 30 3. 1878 11 (1) 6 1870 3 1 4,880 1872 5 12,422 187475 78 7 1877 10 6 [1917][1928] [1932][1980] 7 [1980]p.29 5
173,902 8 1878 11 12,500 1878 11 3 9 10 1880 11 1908-09 41-42 408,474 1963 1930 1908 41 2 1911 44 8 [1917]pp.701-702[1980]p.29 9 [1928]pp.2-3 10 [1980]p.29 11 [1980]pp.29-33 6
12 (2) 5 [1980] 1 13 1 [2000] 1920 9 37 14 11 10 1 1920 1931 6 63 24 12 3 11 14 193236 1936 11 108 48 25 9 14 13 14 12 [1980]p.25 13 [1980]p.40 14 [1932]pp.111-114[1933] 7
1978 11 1 1920 9 15 21915 4 128 1931 6 582 2 16 17 1932 7 12 29 3 29 102 7 1 1932 7 25 12 p.48[2006] 15 [1932]p.106 16 1922 11[1932]p.108 17 1913 2 1925 14[1980] pp.70-715 1 2 20 [1933]pp.42-43 8
18 31920 9 34 1928 3 15 10 1930 5 7 1931 1942 10 (3) [1932] 19 1927 2 11 186 20 18 [1933]p.18 19 [1932]p.1 20 [1932]pp.118-128 9
1930 5 9 1932 7 3 21 4. (1) 1919 1 1938 12 1928 3 1 2.26 1936 11 4 1 22 2 3 4 7 10 6 5 23 21 1933 8 1 1,121 446 371 267 [1933]pp.250-251 22 1 23 1886 191932 7 11 5 10
(1) rt n j t Pt = CF j ( + rt ) 12 j= t 1 (1) r t t P t t CF j j n ( n t )t, j, n 1 10 4 1936 1931 6 7 5 1 2 2 3 3 4 4 5 5 10 1963 38 10 1 2 3 4 7 7 7.5 10 7 10 1 24 1932 7 12 29 27 5 24 1 101921 41929 1903 361931 6 1 1932 7 2 [1983] 11
0.5 1.5 1 25 (2) 1919 8 1938 13 6 1920 26 27 28 pp.473-474 25 26 [1936]p.8 27 Shizume[2007] 28 [1991]pp.181-192[2002] [2004] 12
(3) 7 1928 3 1 1936 11 4 29 1 4.45.2 30 1931 6 7 1928 3 1930 5 4 510 1 1 1931 6 1 47 10 1.5 1931 6 8 9 12 12 3 1932 7 4 1932 7 5 7 5 5 5 31 8 29 1 30 1932 7 8 1933 8 6 31 7 13
1933 8 1 1931 6 7 1932 11 12 1933 2 5 5 1931 7 32 1933 8 6 11 5 5 33 1934 1 1 1931 7 1936 2 4 (4) (1)1928 3 1936 11 1 level 2 slope 3 curvature 34 8 1 3 1 10 7 32 1 2 3 4 33 1933 5 [1984]pp.89-92 34 [1998] Litterman-Scheinkman[1991] 14
35 1 0.949 1 95 36 9 1931 3 1 37 1 1928 3 1930 51931 61 7 38 8 12 1932 7 1 1933 8 5 39 5 1931 6 1932 7 10 1931 9 12 1 5 4 1932 1 2 3 4 5 6 6 11 1931 9 12 9 35 36 1.5 10 2 1 1 2 3 1 0.954 37 1928 1 2 38 1 1931 7-0.878 39 1932 1 1931 7 1933 4-0.961 15
1932 1 2 3 4 5 6 5 5 6 1931 1932 2 1928 1 40 40 [1928]p.211 16
41 42 1932 43 41 [1941]pp.259-260 42 [1941]p.266 43 [1941]pp.267268 17
44 1 45 [2004] 1932 4 1932 3 1932 3 4 1 1932 [2004] 5. 1919 8 1 1938 13 12 1928 3 1 1936 11 4 44 [2008]pp.77-82 45 Dewachter and Lyrio [2006]pp.129-138 2 3 18
1931 1932 46 46 Shizume[2007] 19
X1 = a1,1.5 r1.5 + a1,2.5 r2.5 a1,3.5 r3.5 + a1,4.5 r4.5 + a1,7.5 r7.5 + a1,10 r10 X2 = a2,1.5 r1.5 + a2,2.5 r2.5 a2,3.5 r3.5 + a2,4.5 r4.5 + a2,7.5 r7.5 + a2,10 r10 X3 = a3,1.5 r1.5 + a3,2.5 r2.5 a3,3.5 r3.5 + a3,4.5 r4.5 + a3,7.5 r7.5 + a3,10 r10 Xi i 1 2 10 a1,j 1 X1 X1 a1,jj=1.5, 2.5, 3.5, 4.5, 7.5, 10 1 2 10 a2,j 2 X2 1 X1 1 2 X12 a2,jj=1.5, 2.5, 3.5, 4.5, 7.5, 10 X3 1928 2 1936 4 1 1 a1,jj=1.5, 2.5, 3.5, 4.5, 7.5, 10 2 a2,jj=1.5, 2.5, 3.5, 4.5, 7.5, 10 3 3 a3,jj=1.5, 2.5, 3.5, 4.5, 7.5, 10 2 4 20
1931 12 1932 1 [1932] 5 [2004] [1989]19141936 [2006]1930 25 1 [1932] [1917] 1 [] [2006] 25 1 [1935] [2008] 27 1 3 1998 [1936] [2002] 21 2 [1983] 2 2 [1932] [1980] [1933] 3 21
[1991] [1919 1 1930 8 ] [1930 9 1938 12 ] [1928] 50 [1933] 2 [1938] 3 [1974] 20 [1933] 1 [1971] [1983] 3 [1984] 4 [1928] [1941] [1977]1874 1975 2 [2000] Dewachter, Hans and Marco Lyrio [2006], Macro Factors and the Term Structure of Interest Rates, Journal of Money, Credit and Banking, 38-1, pp.119-140. League of Nations[various issues], Statistical Year-Book of the League of Nations. Litterman, Robert, and Jose Scheinkman [1991], Common Factors Affecting Bond Returns, The Journal of Fixed Income, 1, pp.54-61. Shizume, Masato[2007], A Reassessment of Japan s Monetary Policy during the Great Depression: The Constraints and Remedies, RIEB Discussion Paper, No. 208. 22
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