{"created":"2023-06-20T15:14:21.695492+00:00","id":11490,"links":{},"metadata":{"_buckets":{"deposit":"df4f1542-f56c-4926-877f-a101ea4d0466"},"_deposit":{"created_by":3,"id":"11490","owners":[3],"pid":{"revision_id":0,"type":"depid","value":"11490"},"status":"published"},"_oai":{"id":"oai:ynu.repo.nii.ac.jp:00011490","sets":["402:403"]},"author_link":["40663","40662"],"item_2_biblio_info_8":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2021-03-10","bibliographicIssueDateType":"Issued"},"bibliographicPageStart":"101323","bibliographicVolumeNumber":"72","bibliographic_titles":[{"bibliographic_title":"Journal of International Financial Markets, Institutions and Money"}]}]},"item_2_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"While recent studies based on factor models with no-arbitrage restrictions provide evidence of a positive correlation between the nominal interest rates and real activity, there are few dynamic general equilibrium models which can successfully explain this positive relationship. This paper provides a dynamic general equilibrium model that naturally generates a positive correlation between the nominal interest rates and excess consumption. To this end, we focus on the partial observability of economic variables in a pure exchange economy and derive a closed form solution for two-factor affine term structure model. Our empirical analysis based on the results indeed indicates the positive correlation between the nominal interest rates and excess consumption. Moreover, the time series of the model-implied nominal yield captures many of the short- and long-run fluctuations in the actual data.\n","subitem_description_type":"Abstract"}]},"item_2_publisher_35":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Elsevier"}]},"item_2_relation_13":{"attribute_name":"DOI","attribute_value_mlt":[{"subitem_relation_type":"isVersionOf","subitem_relation_type_id":{"subitem_relation_type_id_text":"info:doi/10.1016/j.intfin.2021.101323","subitem_relation_type_select":"DOI"}}]},"item_2_relation_44":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_name":[{"subitem_relation_name_text":"https://doi.org/10.1016/j.intfin.2021.101323"}],"subitem_relation_type_id":{"subitem_relation_type_id_text":"https://doi.org/10.1016/j.intfin.2021.101323","subitem_relation_type_select":"DOI"}}]},"item_2_source_id_11":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11532798","subitem_source_identifier_type":"NCID"}]},"item_2_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"10424431","subitem_source_identifier_type":"ISSN"}]},"item_2_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Faculty of Business and Administration, Yokohama National University"},{"subitem_text_value":"Crawford School of Public Policy, Australian National University and Visiting Fellow, Research Institute of Economy, Trade and Industry (RIETI)"}]},"item_2_version_type_18":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_ab4af688f83e57aa","subitem_version_type":"AM"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Morita, Hiroshi"}],"nameIdentifiers":[{"nameIdentifier":"40662","nameIdentifierScheme":"WEKO"},{"nameIdentifier":"70239664","nameIdentifierScheme":"e-Rad","nameIdentifierURI":"https://kaken.nii.ac.jp/ja/search/?qm=70239664"}]},{"creatorNames":[{"creatorName":"Okimoto  Tatsuyoshi"}],"nameIdentifiers":[{"nameIdentifier":"40663","nameIdentifierScheme":"WEKO"},{"nameIdentifier":"70420304","nameIdentifierScheme":"e-Rad","nameIdentifierURI":"https://kaken.nii.ac.jp/ja/search/?qm=70420304"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2023-03-10"}],"displaytype":"detail","filename":"partial_observability_JIFMIM_final.pdf","filesize":[{"value":"1.2 MB"}],"format":"application/pdf","licensetype":"license_11","mimetype":"application/pdf","url":{"label":"partial_observability_JIFMIM_final.pdf","url":"https://ynu.repo.nii.ac.jp/record/11490/files/partial_observability_JIFMIM_final.pdf"},"version_id":"01f00b52-8afe-4935-88a1-6f6b02918593"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Term structures","subitem_subject_scheme":"Other"},{"subitem_subject":"Incomplete information","subitem_subject_scheme":"Other"},{"subitem_subject":"Dynamic general equilibrium","subitem_subject_scheme":"Other"},{"subitem_subject":"Exchange economy","subitem_subject_scheme":"Other"},{"subitem_subject":"Kalman filter","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":"The interest rate determination when economic variables are partially observable","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"The interest rate determination when economic variables are partially observable"}]},"item_type_id":"2","owner":"3","path":["403"],"pubdate":{"attribute_name":"公開日","attribute_value":"2021-12-21"},"publish_date":"2021-12-21","publish_status":"0","recid":"11490","relation_version_is_last":true,"title":["The interest rate determination when economic variables are partially observable"],"weko_creator_id":"3","weko_shared_id":3},"updated":"2023-06-20T17:54:40.080008+00:00"}