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1.
In this paper a multi-factor generalization of Ho–Lee model is proposed. In sharp contrast to the classical Ho–Lee, this generalization
allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is a process
with stationary independent increments to be compatible with principal component analysis. Based on the model, generalizations
of duration-based hedging are proposed. A continuous-time limit of the model is also discussed.
This research was supported by Open Research Center Project for Private Universities: matching fund subsidy from MEXT, 2004–2008
and also by Grants-in-Aids for Scientific Research (No. 18540146) from the Japan Society for Promotion of Sciences. 相似文献
2.
Suppose a production function, f, is continuous, quasi-concave and weakly monotone on the non-negative orthant of Euclidean n-space. Let c(·, ·) be the associated cost function. Then it is shown that f is concave if and only if for each w, c(w, ·) is convex. 相似文献
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This study examines the role of financial literacy in reducing anxiety about life in old age. We hypothesize that financial literacy increases preparedness for old age through better savings and investment decisions, leading to the accumulation of more assets and earning more income, which enhances financial capacity and reduces anxiety. Using data from a nationwide panel survey in Japan, we provide evidence that financial literacy can reduce anxiety about life in old age by making people capable of accumulating more assets and earning more income. Moreover, the interaction of financial literacy with age and spouse reduces anxiety, while living with children increases anxiety about life during old age. We check the robustness of our results using an alternative measure of financial literacy, changing composition of the sample, controlling for residents’ geographical dispersion, and testing for endogeneity bias. The major findings remain unchanged after considering these factors. 相似文献
4.
Asymptotic expansions of three alternative classes of structural variance estimators associated with the k-class estimators of structural coefficients are derived for two parameter sequences: a sequence in which the non-centrality parameter increases while the sample size stays fixed (called large-μ or small-disturbance sequence), and that in which the number of observations increases. The accuracy of approximations to small-sample distributions are numerically examined with help of Monte Carlo studies. Properties of the sum of squared residuals of an estimated structural equation are also found from our study. 相似文献
5.
Nicos A. Scordis Yoshihiko Suzawa Astrid Zwick Lucia Ruckner 《Risk Management & Insurance Review》2014,17(2):265-276
Some of the largest global insurers are actively pursuing the recently enacted Principles for Sustainable Insurance (PSI). While the concept of sustainability is often associated with a governance design that promotes stakeholder value, the PSI do not appear to be a call for stakeholder‐focused insurers. Rather, the PSI appear to be about internalizing tacit claims in the operations of insurers. Conceptual and empirical literature on shareholder value maximization suggests that when an insurer honors its tacit claims the value to shareholders increases. A key insight from practice is that a sincere pursuit of the PSI will expand the scope of corporate risk management. 相似文献
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Granger Causality Between Money and Income for the Japanese Economy in the Presence of a Structural Change 总被引:1,自引:0,他引:1
This paper examines Granger causality between money and income in the Japanese economy based upon a bivariate VAR model with a structural change in the trend function. We employ a stratified testing strategy incorporating preliminary tests for a unit root and for the order of cointegration rank. Our study reveals that the choice of either trend stationarity or difference stationarity, as well as the order of cointegration rank, crucially affect the test results for Granger causality. It is found that the causality from money to income was strong before 1980 but weakened or virtually disappeared after 1980; the opposite causality existed weakly before 1980 but not after 1980. The result confirms the claim by the Bank of Japan (1992) and Honda et al . (1995) among others that the role of money as a leading indicator for predicting movements in income has weakened or even disappeared in the 1980s.
JEL Classification Numbers: C32, E40 相似文献
JEL Classification Numbers: C32, E40 相似文献
9.
Takeaki Kariya Yoshihiko Tsukuda Junko Maru Yumiko Matsue Kazuo Omaki 《Asia-Pacific Financial Markets》1995,2(1):15-86
Applying S. Taylor's approach (1986), we make an extensive analysis on the Japanese stock market, foreign exchange market
and the Japanese Government Bond Futures market. The purpose of this paper is to empirically reveal the structure of the Japanese
markets via Taylor's model rather than to propose a new model. For this reason, we include a variety of analyzed data particularly
for the Japanese stock market and the foreign exchange market because the results can be used in a different manner. The paper
consists of three parts. But each part can be read separately.
Part 1: Overshooting hypothesis for Japanese stock prices
Part 2: A trend movement in daily/weekly Yen-Dollar exchange rates
Part 3: Price variations of Japanese Government Futures.
In the first part, the stock prices are shown to over-respond to new information, which is different from the behaviors of
stock prices in other markets. In Part 2, a trend movement is revealed in Yen-Dollar exchange rates. In Part 3, a strategy
in the Japanese Government Bond futures markets is shown to perform better than a buy and hold strategy. 相似文献
10.
Ichiro Otani 《中国与世界经济(英文版)》2005,(6)
I. IntroductionFor many years, the Chinese authorities have often expressed their appreciation for the merits of a flexible exchange rate regime for China and their willingness to make the exchange rate of the renminbi, China’s national currency, be determined by market forces. 1 In the same breath, however, they also stressed the importance of a “stable exchange rate” forChina, although it is not clear what the authorities meant by a “stable exchange rate.” (The People’s bank of Chin… 相似文献