出版者・発行元：南山大学経営学会  

出版者・発行元：Springer  

We present a Merton (J Finance, 1974)-type structural model of credit risk in which the borrower firm refinances its debt, there is cost for bankruptcy, and the creditor has an option to extend the date of maturity of debt if the firm defaults. We
show that a solution exists in such a model and in that solution the creditor has incentive to extend maturity to avoid bankruptcy cost. We solve the model numerically and argue that such maturity extension option for the creditor can have substantial impact on the debt and stock values of the firm.

出版者・発行元：Eastern Finance Association 2015  

出版者・発行元：Proc. of The 10th International Conference on Economics, Finance and Accounting and The 5th Conference on Cross-Strait Banking and Finance  

This paper studies the term structure of the US interest rates by a consumption-based capital asset pricing model that has two types of consumption goods. The introduction of durable consumption goods, the consumption level of which persists more than that of non-durable goods, generates high premium against inflation for long terms. When investors demand positive risk premium for this persistence, the model explains several features of the US yield curve data; the expected real yield curve is upward-sloping and long-maturity nominal rates are high.

This paper studies the term structure of real interest rates using a consumption-based capital asset pricing model (CCAPM) that has two types of goods each period: durable goods and non-durable goods. When the relative risk aversion is high and the intra-temporal elasticity of substitution is smaller than the inter-temporal elasticity of substitution, the model produces an upward sloping average yield curve as is observed in the US market. When the intra-temporal elasticity of substitution is greater than the inter-temporal one, the model produces a downward sloping average yield curve as is observed in the UK market. The model can also generate higher volatility and serial correlation than the standard single-good CCAPM.

出版者・発行元：日本経営財務研究学会  

本論文では、実質利子率の期間構造を、耐久財を導入した2財の消費CAPMを用いて求めその性質について分析したものである。Piazzesi and Schneider(2006)において消費CAPMによって理論的に求められた実質利子率の期間構造は、実証研究に反して平均イールドカーブが右下がりとなる。新たに耐久財を導入したCAPMを用いることによって、投資家の相対的リスク回避度が高く、さらに2財の消費代替弾力性が異時点間の効用の代替弾力性を下回る場合に、米国市場で観察されるような右上がりの平均イールドカーブを得ることができる。また、逆に2財の消費代替弾力性が異時点間の効用の代替弾力性を上回る場合には、平均イールドカーブが右下がりとなり、また景気とイールドカーブは正の連動性を持つが、これらの結果は英国市場における実証分析の結果と一致する。

出版者・発行元：東京大学  

出版者・発行元：東京大学  

出版者・発行元：東京大学  

出版者・発行元：東京大学  

出版者・発行元：東京大学  

出版者・発行元：東京大学  

出版者・発行元：MPTフォーラムおよび日本ファイナンス学会