물가연동부채권 가격결정모형 = A Priching Model for Inflation-indexed Bonds

다국어 초록 (Multilingual Abstract)

This paper derives the theoretical price of nominal bonds and Inflation-Indexed bonds through extracting the factors, which are assumed that their stochastic property follows the standard 0-U process, in the term structure of nominal interest rates and yields of in-flation-Indexed bonds by the Principal Component Analysis (PCA). In particular, through reflecting the complex structure of inflation-indexed bonds by accurately applying theoretical price, It brought differentiation from other literatures, and applied this pricing model to Japanese Government Inflation-indexed Bond (JGBi) data. The empirical results of above model show that explanation of time series and cross section of Janpan`s real and nominal interest rates were outstanding and was found that Fisher hypothesis was rejected In further

참고문헌 (Reference)

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