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年度 Year	論文題目名 Title of the articles	共著区分 Collaboration Classification
年度 Year	掲載誌名 Journal name，出版機関名 Publishing organization，巻／号 Vol./no.，頁数 Page nos.，発行年月（日） Date
2022	Debt Maturity Structure and Credit Valuation	単著
	南山経営研究，南山大学経営学会，第37巻第3号， pp. 191-208 ， 2023/03
	概要（Abstract）
	備考（Remarks）
2021	消費ベースモデルによる利子率の期間構造に関する理論的考察と実証分析	未設定
	南山経営研究，南山大学経営学会，第36巻1号， pp.1-40 ， 2021/06
	概要（Abstract）
	備考（Remarks）
2020	消費ベースモデルによる利子率の期間構造に関する理論的考察と実証分析	共著
	ワーキングペーパー，南山大学経営研究センター， 2003 ， 42 ， 2021/03
	概要（Abstract）
	備考（Remarks）
2018	Equity Returns, Value Premium, and Credit Risk	未設定
	南山経営研究，南山大学経営学会，第33巻第2号， pp. 185-206 ， 2018/11
	概要（Abstract）
	備考（Remarks）
2017	How far can the long-run risk model with durable goods explain the variation of the yield curve?	共著
	International Review of Economics & Finance ， Elsevier ， Vol. 89, Part A ， pp. 444-459 ， 2024/01
	概要（Abstract）
	備考（Remarks）
2016	Credit risk analysis with creditor’s option to extend maturities	共著
	Annals of Finance ， Springer ， Vol.12 ， pp. 275-304 ， 2016/10
	概要（Abstract） 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.
	備考（Remarks）
2015	Do Durables Actually Matter? : Implications of US Interest Rates	共著

	概要（Abstract）
	備考（Remarks） 2015年南山横国ファイナンスワークショップ補遺
2014	Term Structure and Risk Premium for Persistence in Durable Goods Consumption	共著
	Eastern Finance Association 2015 ， 48p.
	概要（Abstract）
	備考（Remarks）査読付論文
2013	The Term Structure of Interest Rates in a Two-Good Consumption-Based CAPM	共著
	Proc. of The 10th International Conference on Economics, Finance and Accounting and The 5th Conference on Cross-Strait Banking and Finance ， 44 ， 2013/05
	概要（Abstract） 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.
	備考（Remarks）
2012	Analysis of the Term Structure of Interest Rates by a Consumption-Based Model	単著
	Proc. of 2012 Conference on East Asia Finance ， 34p. ， 2012/05/26
	概要（Abstract） 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.
	備考（Remarks）

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