{"created":"2023-06-20T15:03:36.664154+00:00","id":1743,"links":{},"metadata":{"_buckets":{"deposit":"002a6339-46b8-4832-a64c-25e737da325a"},"_deposit":{"created_by":3,"id":"1743","owners":[3],"pid":{"revision_id":0,"type":"depid","value":"1743"},"status":"published"},"_oai":{"id":"oai:grips.repo.nii.ac.jp:00001743","sets":["52:110"]},"author_link":["9054","9055"],"item_10001_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2018-06","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"2","bibliographicPageEnd":"195","bibliographicPageStart":"181","bibliographicVolumeNumber":"72","bibliographic_titles":[{"bibliographic_title":"Research in Economics"}]}]},"item_10001_description_19":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_10001_description_25":{"attribute_name":"著者情報","attribute_value_mlt":[{"subitem_description":"http://www.grips.ac.jp/list/jp/facultyinfo/hayashi_fumio/ | http://www.grips.ac.jp/list/jp/facultyinfo/hayashi_fumio/","subitem_description_type":"Other"}]},"item_10001_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"We develop tools for computing equilibrium bond prices for the discrete-time version of the Vayanos–Vila (2009) model. With the maturity structure included in pricing factors, factor loadings for equilibrium bond yields depends critically on parameters describing maturity structure dynamics and other model parameters. An illustrative example shows that the effect on the yield curve of a supply shock originating in a given maturity, although hump-shaped around the originating maturity, is to change yields broadly across all maturities.","subitem_description_type":"Abstract"}]},"item_10001_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"JEL Classification Codes: E43, E58, G12","subitem_description_type":"Other"},{"subitem_description":"This paper was formerly circulated as “Affine Term Structure Pricing with Bond Supply As Factors”(Center for Quantitative Economic Research Working　\nPaper 16-01, Federal Reserve Bank of Atlanta, April 2016).","subitem_description_type":"Other"},{"subitem_description":"The research reported here was supported by grants-in-aid from the Ministry of Education, Culture, Sports, Science, and Technology of \n the Japanese government (grant number 25285097 and 26870124).","subitem_description_type":"Other"}]},"item_10001_full_name_24":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"9055","nameIdentifierScheme":"WEKO"}],"names":[{"name":"林, 文夫"}]}]},"item_10001_publisher_8":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Elsevier"}]},"item_10001_relation_14":{"attribute_name":"DOI","attribute_value_mlt":[{"subitem_relation_type":"isIdenticalTo","subitem_relation_type_id":{"subitem_relation_type_id_text":"10.1016/j.rie.2018.04.003","subitem_relation_type_select":"DOI"}}]},"item_10001_rights_15":{"attribute_name":"権利","attribute_value_mlt":[{"subitem_rights":"Copyright © 2018 The Author. Published by Elsevier Ltd. on behalf of University of Venice. This is an open access article under the CC BY license. http://creativecommons.org/licenses/by/4.0/"}]},"item_10001_source_id_11":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11543229","subitem_source_identifier_type":"NCID"}]},"item_10001_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"1090-9451","subitem_source_identifier_type":"ISSN"},{"subitem_source_identifier":"1090-9443","subitem_source_identifier_type":"ISSN"}]},"item_10001_version_type_20":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"HAYASHI, Fumio"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2020-03-05"}],"displaytype":"detail","filename":"Res Econ_72(2)_181.pdf","filesize":[{"value":"822.8 kB"}],"format":"application/pdf","licensetype":"license_6","mimetype":"application/pdf","url":{"label":"Res Econ_72(2)_181.pdf","url":"https://grips.repo.nii.ac.jp/record/1743/files/Res Econ_72(2)_181.pdf"},"version_id":"34e1e03a-848d-4f29-848e-2a6bd69c8082"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Vayanos–Vila model","subitem_subject_scheme":"Other"},{"subitem_subject":"Computation","subitem_subject_scheme":"Other"},{"subitem_subject":"Maturity structure","subitem_subject_scheme":"Other"},{"subitem_subject":"Yield curve","subitem_subject_scheme":"Other"},{"subitem_subject":"Risk premia","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"journal article","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"Computing equilibrium bond prices in the Vayanos-Vila model","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Computing equilibrium bond prices in the Vayanos-Vila model"}]},"item_type_id":"10001","owner":"3","path":["110"],"pubdate":{"attribute_name":"公開日","attribute_value":"2020-03-05"},"publish_date":"2020-03-05","publish_status":"0","recid":"1743","relation_version_is_last":true,"title":["Computing equilibrium bond prices in the Vayanos-Vila model"],"weko_creator_id":"3","weko_shared_id":3},"updated":"2023-06-20T15:23:51.465015+00:00"}