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      KCI등재 SCOPUS

      물가연동부채권 가격결정모형 = A Priching Model for Inflation-indexed Bonds

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      https://www.riss.kr/link?id=A82590365

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      부가정보

      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
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      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 an...

      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

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      참고문헌 (Reference)

      1 Fischer, S, "The demand for index bonds" 83 (83): 509-534, 1975

      2 Ang, A, "The Term Structure of Real Rates and Expected Inflation" Columbia University and NBER 2003

      3 Seppala,J, "The Term Structure of Real Interest Rates:Theory and Evidence from the UK Index-Linked Bonds" 51 : 2004

      4 Brown, R. H, "The Term Structure of Real Interest Rates and the Cox, Ingersoll, and Ross Model" 35 (35): 3-42, 1994

      5 Woodward, G. T, "The Real Thing : A Dynamic Profile of the Term Structure of Real Interest Rates and Inflation Expectations in the United Kingdom, 1982~1989" 63 (63): 373-398, 1990

      6 Arak, M, "The Real Rate of Interest : Inferences from the New UK Indexed Gilts" 26 (26): 399-408, 1985

      7 Shiller,J.R, "The Invention of Inflation-Indexed Bonds in Early America" Yale University 2003

      8 Wilcox,D.W, "The Introduction of Indexed Government Debt in the United States" 12 : 1998

      9 Boshen, J. F, "The Effects of Expected Inflation on Real Returns in the Argentine Indexed Bond Market" 25 : 137-142, 1987

      10 Goto, S, "The Conquest of US Inflation : Its Implications for the Fisher Hypothesis and the Term Structure of Nominal Interests" UCLA 2003

      1 Fischer, S, "The demand for index bonds" 83 (83): 509-534, 1975

      2 Ang, A, "The Term Structure of Real Rates and Expected Inflation" Columbia University and NBER 2003

      3 Seppala,J, "The Term Structure of Real Interest Rates:Theory and Evidence from the UK Index-Linked Bonds" 51 : 2004

      4 Brown, R. H, "The Term Structure of Real Interest Rates and the Cox, Ingersoll, and Ross Model" 35 (35): 3-42, 1994

      5 Woodward, G. T, "The Real Thing : A Dynamic Profile of the Term Structure of Real Interest Rates and Inflation Expectations in the United Kingdom, 1982~1989" 63 (63): 373-398, 1990

      6 Arak, M, "The Real Rate of Interest : Inferences from the New UK Indexed Gilts" 26 (26): 399-408, 1985

      7 Shiller,J.R, "The Invention of Inflation-Indexed Bonds in Early America" Yale University 2003

      8 Wilcox,D.W, "The Introduction of Indexed Government Debt in the United States" 12 : 1998

      9 Boshen, J. F, "The Effects of Expected Inflation on Real Returns in the Argentine Indexed Bond Market" 25 : 137-142, 1987

      10 Goto, S, "The Conquest of US Inflation : Its Implications for the Fisher Hypothesis and the Term Structure of Nominal Interests" UCLA 2003

      11 Evans, M. D. D, "Real Risk, Inflation Risk, and the Term Structure" 113 : 2003

      12 Christensen, Ian, "Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate" Bank of Canada 04-43, 2004

      13 Evans, M. D. D, "Real Rates, Expected Inflation, and Inflation Risk Premia" 53 : 187-218, 1998

      14 Kandel, S, "Real Interest Rates and Inflation : An Ex-Ante Empirical Analysis" 51 (51): 205-225, 1996

      15 Robertson, D, "Real Interest Rates and Index-Linked Gilts Centre for Economic Performance" LSE 1993

      16 Risa,S, "Nominal and Inflation Indexed Yields:Separating Expected Inflation and Inflation Risk Premia" 2001

      17 Anderson, N, "New Estimates of the UK Real and Nominal Yield Curves" Bank of England 2001

      18 Huberman, G, "Information Aggregation, Inflation, and the Pricing of Indexed Bonds" 93 (93): 92-114, 1985

      19 Barr, D. G, "Inflation, Real Interest Rates, and the Bond Market : A Study of UK Nominal and Indexed-Linked Government Bond Prices" NBER 1996

      20 Chen, R. R, "Inflation, Fisher Equation, and the Term Structure of Inflation Risk Premia : Theory and Evidence from TIPS" Rutgers Business School 2005

      21 Chu, Q. C, "Inflation or Disinflation? Evidence from Maturing US Treasury Inflation-Protected Securities" 39 : 2007

      22 Gong, F. F, "Inflation Risk in the US Yield Curve : The Usefulness of Indexed Bonds" 1996

      23 Wilcox, D. W, "Extracting Real Interest Rates and Inflation Expectations from the UK Gilt Market" 1994

      24 Spiro,P.S, "Evidence on Inflation Expectations from Canadian Real Return Bonds" Ontario Ministry of Finance 2003

      25 Alonso, F, "Estimation Inflation Expectations Using French Government Inflation-Indexed Bonds" Bank of Spain 2001

      26 Sack,B, "Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields" 2000

      27 Deacon, M. P, "Deriving Estimates of Inflation Expectations from the Prices of UK Government Bonds" Bank of England 1994

      28 Woodward, G. T, "Comment : The Real Rate of Interest : Inferences from the New UK Indexed Gilts" 29 (29): 565-568, 1988

      29 Shen P, "Can TIPS Help Identify Long-Term Inflation Expectations"

      30 Vasicek, O, "An Equilibrium Characterization of the Term Structure" 5 : 177-188, 1977

      31 Barr, D. G, "An Assessment of the Relative Importance of Real Interest Rates, Inflation and Term Premia in Determining the Prices of Real and Nominal UK Bonds" Bank of England 1995

      32 Gilbert,C.L, "Alternative Models for Estimating Real Interest Rates and Expected Inflation from UK Index-Linked Bonds" Queen Mary and Westfield College 1995

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2027 평가예정 재인증평가 신청대상 (재인증)
      2021-01-01 평가 등재학술지 유지 (재인증) KCI등재
      2020-01-01 학술지명변경 외국어명 : Korean Journal of Futures and Options -> Journal of Derivatives and Quantitative Studies KCI등재
      2018-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2015-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2011-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2009-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2008-06-26 학회명변경 한글명 : 한국선물학회 -> 한국파생상품학회
      영문명 : Korean Association Of Futures And Options -> Korea Derivatives Association
      KCI등재
      2008-01-01 평가 등재 1차 FAIL (등재유지) KCI등재
      2005-05-03 학술지등록 한글명 : 선물연구
      외국어명 : Korean Journal of Futures and Options
      KCI등재
      2005-01-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      2004-01-01 평가 등재후보 1차 PASS (등재후보1차) KCI등재후보
      2002-07-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.56 0.56 0.65
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.63 0.7 1.199 0.17
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