This paper aims to extract the expectations of market participants on the duration of the Zero Interest Rate Policy (ZIRP) by the Bank of Japan by modeling the term structure of interest rates. Under the ZIRP, particularly the short-term and medium-term interest rates are so low that we face...

This paper examines the marginal distributions of stocks and bonds, and a copula between the movement of stock prices and interest rates. Because some widely used aggregation methods such as variance-covariance tend to underestimate the risk of an aggregated portfolio, a copula is utilized for...