ത࢜࿦จ
ਓ޻ࢢ৔γϛϡϨʔγϣϯΛ༻͍ͨۚ༥ࢢ৔ͷ‫੍ن‬ɾ੍౓ͷ෼ੳࢦಋ‫׭ڭ‬

࿨ઘܿ ।‫ڭ‬त౦‫ژ‬େֶେֶӃ޻ֶ‫ڀݚܥ‬ՊγεςϜ૑੒ֶઐ߈
37-117365

ਫా޹৴

3

֓ཁ
ۚ༥ࢢ৔Ͱ͸ɼ͠͹͠͹ɼόϒϧͱɼͦͷ‫ޙ‬ͷΞϯμʔγϡʔτ (Ձ্֨ঢ‫ޙ‬ͷ൓ಈͱͯ͠ɼద੾ͳՁ֨ਫ४ҎԼ·Ͱ‫ʹܹٸ‬Ձ͕֨Լམͯ͠͠·͏‫ݱ‬৅) ʹΑͬͯҾ͖‫͜͞ى‬ΕΔۚ༥‫ػة‬΍େ‫ن‬໛ͳ‫ൃޡ‬஫ʹΑΔࠞཚ͕ൃੜ͢Δɽྫ͑͹ɼ2008 ೥ͷϦʔϚϯɾγϣοΫʹΑΔۚ༥‫ػة‬͸ɼ࣮ମ‫΁ࡁܦ‬΋େ͖ͳଧܸΛ༩͑ͨɽ·ͨɼ2010 ೥ 5 ݄ʹถࠃࢢ৔Ͱൃੜͨ͠ϑϥογϡɾΫϥογϡ͸‫ൃޡ‬஫΋‫ݪ‬ҼͰ͋Δͱ‫ݴ‬ΘΕ͓ͯΓɼۚ༥ࢢ৔શମ
Λେ͖ࠞ͘ཚͤͨ͞ɽ·ͨɼۙ೥ɼIT ٕज़Λ‫ͨ͠࢖ۦ‬௿ίετͷऔҾࢢ৔͕૿Ճ͓ͯ͠
ΓɼऔҾࢢ৔ؒͷγΣΞ૪͍͕ܹԽ͍ͯ͠Δɽͦͯ͠ɼμʔΫɾϓʔϧͱ͍͏ଞͷ౤ࢿՈʹࣗ෼ͷ஫จΛ‫ͤݟ‬Δඞཁ͕ͳ͍औҾࢢ৔͕ී‫͍͖ͯͯ͠ٴ‬Δɽ͜ͷΑ͏ͳऔҾࢢ৔ؒͷ‫ڝ‬૪ܹԽ΍৽੍͍͠౓ͷࢢ৔ͷग़‫͕ݱ‬ɼۚ༥ࢢ৔ͷྲྀಈੑ޲্ʹͭͳ͕͍ͬͯΔͷ͔ɼͦΕ΋ͱ͔͑ͬͯࢢ৔Λෆ҆ఆʹ͍ͯ͠Δͷ͔େ͖ͳٞ࿦ͱͳ͍ͬͯΔɽ͜ͷΑ͏ͳࢢ৔ࠞཚ΍ࢢ৔ͷ੍౓มߋɼ৽͍͠औҾࢢ৔ͷ੍౓ʹΑΔ‫ڝ‬૪͸ଟ͘ͷࣄྫ
͕͋ΔΘ͚Ͱͳ͘ɼ࣮ূ‫Ͱڀݚ‬͸͜Ε·Ͱʹಋೖͨ͜͠ͱ͕ͳ͍‫੍ن‬ɾ੍౓ͷ෼ੳ͕Ͱ͖
ͳ͍ɽͦͷͨΊɼ౰‫ہ‬΍औҾࢢ৔͕৽͍͠‫੍ن‬ɾ੍౓Λࡦఆ͢Δͱ͖ͷٞ࿦͸ɼԾઆ‫ূݕ‬‫ܕ‬ͷ෼ੳʹ‫͍ͳ͔ͮج‬ఆੑతͳٞ࿦ͷΈ͕Ԇʑͱͳ͞ΕΔ৔߹͕ଟ͘ɼಋೖͨ͠‫ʹޙ‬෭࡞༻Λൃ‫͠ݟ‬ಋೖͨ͠΋ͷΛഇࢭ͢Δͱ͍ͬͨ͜ͱ͕‫܁‬Γฦ͞ΕΔ৔߹΋͋ͬͨɽ͜ͷΑ͏ͳࢢ৔ࠞཚ΍ࢢ৔ͷ੍౓มߋΛ෼ੳ͢Δํ๏ͱͯ͠ɼίϯϐϡʔλ্ͰԾ૝త
ʹۚ༥ࢢ৔Λ࡞Γग़͢ਓ޻ࢢ৔γϛϡϨʔγϣϯ͕༗ޮͰ͋Δɽ্͔͠͠‫ه‬ͷΑ͏ͳ࣮຿্ٞ࿦ͱͳ͍ͬͯΔ۩ମతͳ‫੍ن‬ɾ੍౓Λɼਓ޻ࢢ৔γϛϡϨʔγϣϯΛ༻͍ͯٞ࿦͞Εͨ͜ͱ͸΄ͱΜͲͳ͔ͬͨɽ
ͦ͜Ͱຊ‫Ͱڀݚ‬͸ɼ࣮ࡍͷۚ༥ࢢ৔Ͱٞ࿦͞Ε͍ͯΔ‫੍ن‬ɾ੍౓ͷಋೖͷੋඇ΍ઃ‫ܭ‬ͷٞ࿦ͷࢀߟʹͳΔਓ޻ࢢ৔ϞσϧΛߏங͢ΔͨΊɼ·ͣɼਓ޻ࢢ৔Ϟσϧͷઃఆʹؔͯ͠෼ੳ໨తʹԠͯ͡ඞཁͱͳΔઃఆʹ͍ͭͯٞ࿦͠ɼͦͷϞσϧ͕෼ੳର৅ͱ͍ͯ͠Δ‫ݱ‬৅Λ‫ه‬ड़͢Δͷʹద੾ͳਓ޻ࢢ৔ϞσϧΛߏஙͨ͠ɽͦͷ্ͰɼΞϯμʔγϡʔτ΍‫ൃޡ‬஫ʹΑͬͯҾ͖‫͜͞ى‬ΕΔۚ༥‫ʹػة‬ΑΔࠞཚʹରԠ͢Δ‫੍ن‬ɾ੍౓ɼ͓Αͼɼ৽͍͠औҾࢢ৔ͷ੍౓͕΋ͨΒ͢Ө‫ڹ‬Λٞ࿦͠ɼे෼Մೳੑ͕͋Δࢢ৔Ձ֨‫ܗ‬੒ͷ༷ࢠ͓Αͼߟ͑Β
ΕΔ‫੍ن‬ɾ੍౓ͷޮՌΛఏࣔͨ͠ɽ

4֓ཁ‫ࣜג‬͸ࢢ৔ͰऔҾ͞Ε͍ͯΔՁ֨ʢࢢ৔Ձ֨ʣͱ͸ผʹɼ‫ࣜג‬Λൃߦ͢Δ‫ࣗۀا‬ମ͕͍࣋ͬͯΔ࣮ଶͷՁ஋ʹ΋ͱ͍ͮͨՁ֨ʢϑΝϯμϝϯλϧՁ֨ʣ͕ଘࡏ͢Δͱߟ͑ΒΕ
͍ͯΔɽฏৗ࣌ʹ૬౰͢ΔϑΝϯμϝϯλϧՁ͕֨Ұఆͷ৔߹ͱɼόϒϧ่յ࣌ʹ૬౰͢ΔϑΝϯμϝϯλϧՁ͕֨‫ٸ‬མͨ͠৔߹ʹ͍ͭͯɼ࣮ࡍͷࢢ৔Ͱ࣋ͪೖΕΒΕΔෳ਺छྨͷऔҾ‫( ੍ن‬஋෯੍‫ݶ‬ɼ‫׬‬શۭചΓ‫੍ن‬ɼΞοϓςΟοΫɾϧʔϧ) ͷޮՌΛ‫ݕ‬౼͠ɼ‫ن‬੍͕ͳ͍৔߹ʹόϒϧ่յ͕͓͜ΔͱϑΝϯμϝϯλϧՁ֨ΑΓ΋͞ΒʹՁ͕֨Լམ͢Δ
ͱ͍͏Ξϯμʔγϡʔτ͕ൃੜ͢Δ͜ͱ͕෼͔ͬͨɽҰํɼ‫੍͕͋ن‬Δ৔߹͸Ξϯμʔγϡʔτ͕ൃੜͤͣࢢ৔ͷޮ཰ੑ͕ߴ·Δ͜ͱ͕෼͔ͬͨɽ͔͠͠ɼ‫׬‬શۭചΓ‫ͱ੍ن‬ΞοϓςΟοΫɾϧʔϧ͸ฏৗ࣌ʹɼׂߴͳՁ֨Ͱ͔͠औҾ͞Εͳ͍ͱ͍͏෭࡞༻Λ΋ͬ
͍ͯΔ͜ͱ͕෼͔ͬͨɽ͞Βʹɼ࠷దͳ஋෯੍‫ݶ‬ͷύϥϝʔλΛٞ࿦͠ɼΞϯμʔγϡʔτΛ๷͗ͭͭɼͳΔ΂͘ૣ͘ϑΝϯμϝϯλϧՁ֨ʹ౸ୡͤ͞Δ஋෯੍‫ݶ‬ͷύϥϝʔλ৚݅ࣜΛಋ͍ͨɽ·ͨɼ‫ൃޡ‬஫࣌ͷ஋෯੍‫ݶ‬ͷޮՌΛ෼ੳͨ݁͠Ռɼ‫ൃޡ‬஫͕ଓ͘‫ؒظ‬ΑΓ୹͍‫ؒظ‬ͷಅམ཰Λ੍‫͢ݶ‬Δ஋෯੍‫͕ݶ‬༗ޮͰ͋Δ͜ͱ͕෼͔ͬͨɽ
̎ͭͷऔҾࢢ৔͕ଘࡏ͢Δ৔߹΋ϞσϧԽ͠ɼ‫ͼݺ‬஋ͷࠁΈ (஫จՁ֨ͷ࠷খ୯Ґ) ͕ҟͳΔ 2 ͭͷऔҾࢢ৔͕͋Δ৔߹ʹɼͲͷΑ͏ͳ৚݅ͷ৔߹ʹചങγΣΞ͕ҠΓมΘΔͷ͔ௐ΂ɼେ͖͗͢Δ‫ͼݺ‬஋ͷࠁΈ͸Ձ֨‫ܗ‬੒ʹฐ֐͕͋Γɼചങ͕ଞͷࢢ৔΁ҠΔ͜ͱΛࣔͨ͠ɽ·ͨɼ̍ͭͷϦοτࢢ৔ʢ஫จ৘ใ͕ެ։͞Ε͍ͯΔ௨ৗͷࢢ৔ʣͱ̍ͭͷμʔΫɾϓʔϧ͕ଘࡏ͢ΔϞσϧΛߏங͠ɼμʔΫɾϓʔϧͷී‫ࢢ͕ٴ‬৔Λ҆ఆԽͤ͞Δͷ͔Ͳ͏͔ௐ΂ͨɽ͋Δఔ౓·Ͱͷී‫͋Ͱٴ‬Ε͹ɼμʔΫɾϓʔϧ͸ࢢ৔Λ҆ఆԽͤ͞ɼϚʔέοτɾΠϯύΫτ (େྔͷചങΛߦ͏౤ࢿՈ͕ࣗΒͷେྔͷചങ஫จʹΑͬͯࢢ৔Ձ֨
Λมಈͤͯ͞͠·͏͜ͱ) Λ௿‫ͤ͞ݮ‬ΔޮՌΛ΋ͭ͜ͱ͕ࣔࠦ͞Ε͕ͨɼී‫ͨ͗͢͠ٴ‬৔߹ʹ͸͞·͟·ͳѱӨ‫͕͋ڹ‬Δ͜ͱ͕ࣔࠦ͞Εͨɽຊ‫͕ڀݚ‬෼ੳΛߦͬͨۚ༥ࢢ৔ͷ‫੍ن‬ɾ੍౓ͷ͏ͪɼ࣮ࡍʹมߋ͕ߦΘΕͨࣄྫͱ͠
ͯɼۚ༥ி͸ 2013 ೥ 3 ݄ 7 ೔ʹɼՁ֨‫ܗ‬੒΁ͷ෭࡞༻͕͋Δͱࢦఠۭͨ͠ചΓ‫੍ن‬Λ؇࿨͢Δ͜ͱΛൃද͠ɼ౦‫݊ূژ‬औҾॴ͸ 2013 ೥ 3 ݄ 26 ೔ʹɼՁ֨‫ܗ‬੒ʹฐ֐͕͋Δͱ
ࢦఠͨ͠େ͖ͳ‫ͼݺ‬஋ͷࠁΈΛஈ֊తʹࡉ͔͘͢Δ͜ͱΛൃදͨ͠ɽ ͜ͷΑ͏ʹ‫࣮ݱ‬ͷۚ༥ࢢ৔Ͱٞ࿦͞Ε࣮ͯࡍʹมߋ͕ߦΘΕͨ‫੍ن‬ɾ੍౓ʹ͍ͭͯɼຊ‫Ͱڀݚ‬͸ਓ޻ࢢ৔γ
ϛϡϨʔγϣϯΛ༻͍ͯ෼ੳͨ͠ɽ

5

໨࣍

3

֓ཁ

ୈI෦

ۚ༥ࢢ৔ͷ‫ݱ‬ঢ়ͱ໰୊ҙࣝ9ୈ1ষຊ‫ڀݚ‬ͷഎ‫ͱܠ‬໨త

11

1.1

ຊ‫ڀݚ‬ͷഎ‫ ܠ‬. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11

1.2

ຊ‫ڀݚ‬ͷ໨త . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

17

1.3

ຊ࿦จͷߏ੒ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

18

ۚ༥‫ڀݚ‬ͷ֓‫گ‬

21

2.1

͸͡Ίʹ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

21

2.2

ۚ༥ࢢ৔ͷࣾձత໾ׂ . . . . . . . . . . . . . . . . . . . . . . . . . . .

22

2.3

ޮ཰తࢢ৔Ծઆ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

27

2.4

ۚ༥ࢢ৔ͷ࣮ূతϞσϧ (ۚ༥޻ֶͱ‫ࡁܦ‬෺ཧ) . . . . . . . . . . . . . .

34

2.5

ߦಈ‫ֶࡁܦ‬ɾ࣮‫ ֶࡁܦݧ‬. . . . . . . . . . . . . . . . . . . . . . . . . .

38

2.6

ਓ޻ࢢ৔γϛϡϨʔγϣϯ . . . . . . . . . . . . . . . . . . . . . . . . .

39

2.7

·ͱΊ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

45

ୈ2ষ

ୈ II ෦ ਓ޻ࢢ৔Ϟσϧͷઃఆ

47

ୈ3ষ

ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱϞσϧԽͷબ୒࣠

49

3.1

͸͡Ίʹ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

49

3.2

ଥ౰ੑʹ͍ͭͯ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

50

3.3

ΤʔδΣϯτͷՁ֨ͷ༧૝ํ๏ʢ౤ࢿઓུʣ . . . . . . . . . . . . . . .

54

3.4

ΤʔδΣϯτͷֶश . . . . . . . . . . . . . . . . . . . . . . . . . . . .

62

3.5

ΤʔδΣϯτͷ஫จ਺ྔɼ‫ۉ‬Ұɾෆ‫ۉ‬ҰੑɼՁܾ֨ఆϝΧχζϜ

. . . .

67

6

໨࣍

3.6

·ͱΊ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

72

ୈ4ষ

؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͷൺྫ܎਺ͱ CARA ‫ൃܕ‬஫਺ྔϞσϧͷߟ࡯

75

4.1

͸͡Ίʹ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

75

4.2

‫࣮ݱ‬ͷՁܾ֨ఆϝΧχζϜΛߟྀͨ͠Ձܾ֨ఆཧ࿦Ϟσϧ . . . . . . . .

77

4.3

ελΠϥΠζυɾϑΝΫτͰ෼ੳͰ͖ͳ͍ಈతͳ‫ݱ‬৅ͷ෼ੳ . . . . . . .

82

4.4

อ༗‫਺ࣜג‬ͷܾఆํࣜͷҧ͍͕΋ͨΒ͢Ձ֨‫ܗ‬੒ͷ෼ੳ . . . . . . . . .

89

4.5

·ͱΊ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

93ਓ޻ࢢ৔ɾϕʔεϞσϧͷߏங

95

5.1

͸͡Ίʹ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

95

5.2

ϕʔεϞσϧͷৄࡉ . . . . . . . . . . . . . . . . . . . . . . . . . . . .

96

5.3

ϕʔεϞσϧͷύϥϝʔλͱଥ౰ੑ෼ੳ . . . . . . . . . . . . . . . . . .

99

5.4

ύϥϝʔλܾఆͷͨΊͷ෼ੳ5.5

·ͱΊ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112

ୈ5ষ

ୈ6ষ

. . . . . . . . . . . . . . . . . . . . . . . 103

ֶशաఔͷඞཁੑ෼ੳ

113

6.1

͸͡Ίʹ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113

6.2

ΤʔδΣϯτͷֶशϞσϧ . . . . . . . . . . . . . . . . . . . . . . . . . 115

6.3

ֶशϓϩηεͱΦʔόʔγϡʔτ . . . . . . . . . . . . . . . . . . . . . 116

6.4·ͱΊ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126

ୈ III ෦ ਓ޻ࢢ৔ϞσϧΛ༻͍ͨ‫࣮ݱ‬ͷۚ༥ࢢ৔ͷ‫੍ن‬ɾ੍౓ௐࠪ
ୈ7ষ

127

ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ Iɿ ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌ʹ͓͚Δ஋෯੍‫ݶ‬ɼۭചΓ‫੍ن‬ɼΞοϓςΟοΫɾϧʔϧͷ෼ੳ

129

7.1

͸͡Ίʹ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129

7.2

ਓ޻ࢢ৔Ϟσϧ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131

7.3

γϛϡϨʔγϣϯ݁Ռ . . . . . . . . . . . . . . . . . . . . . . . . . . . 132

7.4

࠷దͳ஋෯੍‫ ݶ‬. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144

7.5·ͱΊͱࠓ‫ޙ‬ͷ՝୊ . . . . . . . . . . . . . . . . . . . . . . . . . . . . 150

ୈ8ষࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ IIɿ ‫ൃޡ‬஫࣌ͷ஋෯੍‫ݶ‬ɼτϦΨʔࣜΞοϓςΟοΫɾϧʔϧͷ෼ੳ

153

8.1

͸͡Ίʹ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153

8.2

ਓ޻ࢢ৔Ϟσϧ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155

7
8.3

γϛϡϨʔγϣϯ݁Ռ . . . . . . . . . . . . . . . . . . . . . . . . . . . 156

8.4

·ͱΊͱ࣮ࢢ৔΁ͷࣔࠦ . . . . . . . . . . . . . . . . . . . . . . . . . . 169

ୈ9ষऔҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ Iɿ ςΟοΫɾαΠζͷҧ͍ʹΑΔऔҾࢢ৔ؒ‫ڝ‬૪ 171

9.1

͸͡Ίʹ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 171

9.2

ਓ޻ࢢ৔Ϟσϧ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173

9.3

γϛϡϨʔγϣϯ݁Ռ . . . . . . . . . . . . . . . . . . . . . . . . . . . 175

9.4

࣮ূ෼ੳͱͷൺֱ9.5

·ͱΊ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 188

ୈ 10 ষ

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 186

औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ IIɿ μʔΫɾϓʔϧग़‫ݱ‬ͷӨ‫ڹ‬

189

10.1

͸͡Ίʹ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189

10.2

ਓ޻ࢢ৔Ϟσϧ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191

10.3

γϛϡϨʔγϣϯ݁Ռ . . . . . . . . . . . . . . . . . . . . . . . . . . . 193

10.4

·ͱΊ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203

݁࿦

205

ँࣙ

209

ࢀߟจ‫ݙ‬

213

ୈI෦

ۚ༥ࢢ৔ͷ‫ݱ‬ঢ়ͱ໰୊ҙࣝ

11

ୈ1ষ

ຊ‫ڀݚ‬ͷഎ‫ͱܠ‬໨త
1.1 ຊ‫ڀݚ‬ͷഎ‫ܠ‬
1.1.1 ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ‫ݱ‬ঢ়ۚ༥ࢢ৔Ͱ͸ɼ͠͹͠͹ɼόϒϧͱɼͦͷ‫ޙ‬ͷΞϯμʔγϡʔτ (Ձ্֨ঢ‫ޙ‬ͷ൓ಈͱͯ͠ɼద੾ͳՁ֨ਫ४ҎԼ·Ͱ‫ʹܹٸ‬Ձ͕֨Լམͯ͠͠·͏‫ݱ‬৅) ʹΑͬͯҾ͖‫͜͞ى‬ΕΔۚ༥‫ʹػة‬ΑΔࠞཚ͕ൃੜ͢Δɽ͜Ε͸Ձ֨ൃ‫ػݟ‬ೳ͕௿Լͯ͠͠·͍ଥ౰ͱ͸ࢥ͑ͳ͍ࢢ৔Ձ֨ͰͷऔҾ͕ଓ͘ͱ͍͏ࠞཚͰ͋Δ͕ɼ͜ͷࠞཚ͸ۚ༥ࢢ৔ͷΈͳΒͣɼ࣮ମ‫ܦ‬ࡁ΁΋ѱӨ‫ڹ‬Λ‫͢΅ٴ‬৔߹͕͋ΔͨΊɼۚ༥ࢢ৔ͷ҆ఆԽ͸ࣾձతʹඇৗʹॏཁͳ໰୊Ͱ
͋Δɽ
·ͨɼ͠͹͠͹ɼେ‫ن‬໛ͳ‫ൃޡ‬஫͕‫ݪ‬Ҽͱߟ͑ΒΕΔՁ֨ͷ‫ٸ‬ಅɾ‫ٸ‬མ͕ൃੜ͢Δɽ͜
ͷΑ͏ͳՁ֨ͷཚߴԼ͸ۚ༥ࢢ৔શମ΁ͷࠞཚཁҼʹͳΔɽྫ͑͹ɼ2010 ೥ 5 ݄ʹถࠃࢢ৔Ͱൃੜͨ͠ϑϥογϡɾΫϥογϡ͸ɼ‫ൃޡ‬஫΋‫ݪ‬ҼͰ͋Δͱ‫ݴ‬ΘΕ͓ͯΓɼۚ༥ࢢ৔શମΛେ͖ࠞ͘ཚͤͨ͞ [CFTC 10]ɽ·ͨ‫ൃޡ‬஫͸ɼͦΕΛߦͬͯ͠·ͬͨۚ༥‫ؔػ‬͕େ͖ͳଛࣦΛग़ͨ͠Γഁ୼ͨ͠Γ͢Δ৔߹΋͋ΔͳͲେ͖ͳ໰୊Ͱ͋ΔɽͦͷͨΊɼେ‫ن‬໛ͳ‫ൃޡ‬஫ʹରͯ͠ͲͷΑ͏ͳ‫੍ن‬ɾ੍౓ͰରԠ͢Δ͔͕େ͖ͳٞ࿦ͱͳ͍ͬͯΔ [ਗ਼ਫ 13]ɽ
͜ͷΑ͏ͳۚ༥ࢢ৔ͷࠞཚʹରͯ͠ɼۚ༥औҾॴ͸ɼࢢ৔Λ҆ఆԽ͢ΔͨΊɼ͋Δ࣌ؒ಺ͰͷՁ֨มಈ͕ҰఆҎ্Λ௒͑ͨऔҾΛ‫͢ࢭې‬Δɼ஋෯੍‫౓੍ݶ‬Λ࠾༻͢Δ৔߹͕͋Δɽྫ͑͹ɼ౦‫݊ূژ‬औҾॴͰ͸ɼ̍೔ͷՁ֨มಈΛ੍‫͢ݶ‬Δ஋෯੍‫ͱ౓੍ݶ‬ɼ3 ෼Ҏ಺ͷՁ֨‫ٸ‬มΛ‫͢ࢭې‬Δಛผ‫ؾ‬഑ͱ͍͏ɼ2 ͭͷҟͳΔ࣌ؒ಺Ͱͷ஋෯੍‫͕౓੍ݶ‬ଘࡏ͢
Δ [TSE 13]ɽ஋෯੍‫౓੍ݶ‬͸೔ຊ΍தࠃʢ߳ߓΛআ͘ʣɼ‫Ͳͳࠃؖ‬ΞδΞͷऔҾॴͰ͸࠾༻͞Ε͍ͯΔ৔߹͕ଟ͍ɽ͔͠͠ɼถࠃ΍ϤʔϩούͷऔҾॴͰ͸࠾༻͞Ε͍ͯͳ͍৔߹
͕ଟ͘ɼ஋෯੍‫ࢢ͕ݶ‬৔Λޮ཰Խ͢Δ͔Ͳ͏͔͸ٞ࿦͕෼͔Ε͍ͯΔɽ

12

ୈ1ষ

ຊ‫ڀݚ‬ͷഎ‫ͱܠ‬໨తଞʹ΋ɼۚ༥औҾॴʹ͓͍ͯɼۭചΓ (อ༗͍ͯ͠ͳ͍ূ݊Λଞऀ͔ΒआΓ͖ͯͯച٫͢Δ͜ͱ) Λ‫׬‬શʹ‫͢ࢭې‬Δ‫੍ن‬΍ɼ௚ۙͰ໿ఆͨ͠Ձ֨ΑΓ΋௿͍Ձ֨ͰۭചΓ͢Δ͜ͱΛ‫͡ې‬ΔΞοϓςΟοΫɾϧʔϧͳͲ֤छۭചΓ‫͍ͯͭʹ੍ن‬΋ɼࢢ৔Λޮ཰Խ͢Δ͔Ͳ͏͔͸ٞ࿦͕෼͔Ε͍ͯΔ [େ෿ 12]ɽ೔ຊʹ͓͍ͯ͸ɼΞοϓςΟοΫɾϧʔϧ͸ৗ࣌࠾༻͞Ε͍ͯͨɽ͔͠͠ɼՁ্֨ঢ࣌ʹͦͷ্ঢΛॿ௕͢ΔͳͲͱ͍ͬͨ‫݁ڀݚ‬Ռ [େ෿12, ਫా 13b, Mizuta 13e] ΋͋ΓɼՁ֨‫ٸ‬མ࣌ͷΈΞοϓςΟοΫɾϧʔϧ͕దԠ͞ΕΔ
ͱ͍͏τϦΨʔࣜ΁Ҡߦͨ͠ [ۚ༥ி 13b]ɽ͔͠͠ͳ͕ΒɼτϦΨʔࣜΞοϓςΟοΫɾϧʔϧ͕ࢢ৔ࠞཚΛ཈͑ΒΕΔ͔Ͳ͏͔͸ௐ΂ΒΕ͍ͯͳ͍ɽ
͜ΕΒͷΑ͏ͳେ‫ن‬໛ͳࢢ৔ࠞཚ͸ଟ͘ͷࣄྫ͕͋ΔΘ͚Ͱͳ͘ɼՁ֨‫ܗ‬੒ʹ͸͞·͟·ͳཁҼ͕ෳࡶʹؔΘ͍ͬͯΔͨΊɼ࣮ূ‫Ͱڀݚ‬͸͜ΕΒͷ‫੍ن‬ɾ੍౓ͷޮՌ͚ͩΛऔΓग़͢͜ͱ͕ࠔ೉Ͱ͋ΔɽͦͷͨΊɼ࣮ূ‫͜Ͱ͚ͩڀݚ‬ΕΒͷੋඇΛٞ࿦͢Δͷ͸ඇৗʹ೉͍͠ɽ·ͨɼ࣮ূ‫Ͱڀݚ‬͸͜Ε·Ͱʹಋೖͨ͜͠ͱ͕ͳ͍‫੍ن‬ɾ੍౓ͷ෼ੳ͕Ͱ͖ͳ͍ɽ
ͦͷͨΊɼ౰‫੍ن͕ہ‬ɾ੍౓Λࡦఆ͢Δͱ͖ͷٞ࿦͸ɼԾઆ‫ܕূݕ‬ͷ෼ੳʹ‫͍ͳ͔ͮج‬ఆੑతͳٞ࿦ͷΈ͕Ԇʑͱͳ͞ΕΔ৔߹͕ଟ͔ͬͨɽͦͯ͠ɼಋೖͨ͠‫ʹޙ‬෭࡞༻Λൃ‫͠ݟ‬ಋೖͨ͠΋ͷΛഇࢭ͢Δͱ͍ͬͨ͜ͱ͕‫܁‬Γฦ͞Εͨ‫੍ن‬΋͋ͬͨͷͰ͋Δɽ

1.1.2 औҾࢢ৔ؒ‫ڝ‬૪ͷ‫ݱ‬ঢ়ۙ೥ɼถࠃ΍ԤभΛத৺ʹ IT ٕज़Λ‫ͨ͠࢖ۦ‬௿ίετͷऔҾࢢ৔͕૿Ճ͓ͯ͠Γɼ఻౷తͳऔҾࢢ৔ͱग़དྷߴʢചങऔҾͷ਺ྔʣͷγΣΞΛ෼͚߹͏·Ͱʹͳͬͨ [Ҫ্07, Ҫ্ 09, ਂ‫ ݟ‬12, ਗ਼ਫ 13]ɽಉҰ໏ฑͷ‫͕ࣜג‬ෳ਺ͷऔҾࢢ৔ʹ͓͍ͯऔҾ͞ΕΔͱ͍
͏ࢢ৔෼அԽ͕‫͓͖ͯى‬Γɼͦͷੋඇ͕‫ʹൃ׆‬ٞ࿦͞Ε͍ͯΔɽ೔ຊʹ͓͍ͯ΋ɼPTS
ʢProprietary Trading SystemʣͱΑ͹ΕΔࢲઃऔҾγεςϜ͕ग़‫͠ݱ‬ɼঃʑʹऔҾߴΛ৳͹͍ͯ͠Δ [େ࡚ 12]ɽऔҾࢢ৔ؒͰͷग़དྷߴγΣΞΛܾΊΔཁҼʹ͸ɼςΟοΫɾαΠζͷࡉ͔͞ɼऔҾ࣌ؒɼܾࡁͷํ๏ɼऔΓѻ͏஫จͷଟ༷ੑɼߴ଎ੑ*1 ɼγεςϜͷ҆ఆੑͳͲ༷ʑͰ͋ΔɽͦͷதͰɼςΟοΫɾαΠζͷҧ͍͸ಛʹॏཁͰ͋Δͱ͍ΘΕ͍ͯΔɽςΟοΫɾαΠζ͸ɼ‫ݺ‬஋ͷࠁΈ (஫จՁ֨ͷ࠷খ୯Ґ)/Ձ֨Ͱఆٛ͞ΕΔɽਤ 1.1 ͸ɼςΟοΫɾαΠζͷҧ͍ʹΑΔࢢ৔Ձ֨ͷ‫ܗ‬੒ͷҧ͍ͷྫΛࣔͨ͠ɽςΟοΫɾαΠζ͕ 0.1% ͷ৔߹͸ɼ

1% ͷ৔߹ʹൺ΂ɼՁ֨มԽ͕εϜʔζͰ͋Γɼ౤ࢿՈʹͱͬͯऔҾΛ͠΍͍͢‫ڥ؀‬Λఏ‫͍ͯ͠ڙ‬ΔɽͦͷͨΊɼςΟοΫɾαΠζ͕খ͍͞औҾࢢ৔ͷ΄͏͕౤ࢿՈʹ޷·ΕΔ܏޲ʹ͋Δͱ‫ݴ‬ΘΕ͍ͯΔ͕ɼऔҾࢢ৔ؒͷγΣΞʹͲͷΑ͏ͳӨ‫ڹ‬Λ༩͍͑ͯΔͷ͔෼ੳ࣮ͨ͠ূ‫ڀݚ‬͸ଟ͘ͳ͍ [Ӊ໺ 12]ɽςΟοΫɾαΠζ͸༰қʹมߋͰ͖ͳ͍ͨΊɼςΟο*1 औҾࢢ৔ؒͷ‫ڝ‬૪ʹ͓͚Δߴ଎Խͷॏཁੑʹؔͯ͠ͷղઆʹ [ਫా 12a]ɽ

1.1 ຊ‫ڀݚ‬ͷഎ‫ܠ‬ΫɾαΠζ͸୯७ʹࡉ͔͚Ε͹ࡉ͔͍΄ͲγΣΞ͕޲্͢Δ΋ͷͳͷ͔ɼͦ΋ͦ΋ςΟοΫɾαΠζͷཧ૝తͳਫ४ʹ͍ͭͯͷٞ࿦Λ࣮ূ෼ੳͰߦ͏͜ͱ͸ࠔ೉Λ൐͏ɽ·ͨɼ‫ࢢࣜג‬৔ʹ͓͍ͯɼ஫จΛެ։ͤͣʹ஫จΛ෇͖߹ΘͤΔɼμʔΫɾϓʔϧͱ͍͏औҾࢢ৔͕ී‫͍͖ͯͯ͠ٴ‬Δ [SEC 10, ਗ਼ਫ 13]ɽμʔΫɾϓʔϧ͸ଞͷ౤ࢿՈʹࣗ෼ͷ஫จΛ‫ͤݟ‬Δඞཁ͕ͳ͍ͨΊɼେྔͷചങΛߦ͍͍ͨ౤ࢿՈ͕ɼࣗΒͷେྔͷചങ஫จʹΑͬͯࢢ৔Ձ֨Λมಈͤͯ͞͠·͏͜ͱʢϚʔέοτɾΠϯύΫτʣΛආ͚ͯചങ͕Ͱ
͖Δɽ͜ͷΑ͏ͳେ‫ޱ‬౤ࢿՈʹΑΔେ͖ͳϚʔέοτɾΠϯύΫτΛࢢ৔ʹ΋ͨΒ͢͜ͱΛগͳ͘͢ΔͨΊɼࢢ৔ͷ҆ఆԽʹͭͳ͕Δͱ‫ݴ‬ΘΕ͍ͯΔ [Johnson 10]ɽ͔͠͠ͳ͕Βɼ͜ΕҎ্μʔΫɾϓʔϧ͕ී‫͢ٴ‬Δͱɼࢢ৔ͷՁ֨ൃ‫ػݟ‬ೳ͕௿Լ͠ɼ
ࢢ৔͕ෆ҆ఆʹͳΔ‫ڪ‬Ε͕͋Δͱ͍͏൷൑΋͋Δ [EC 10, Ye 12]ɽͦͷͨΊɼྫ͑͹ԤभͰ͸ɼμʔΫɾϓʔϧ΁ͷചങ୅ۚΩϟοϓ‫ڧ੍ن͍ͨͬͱ੍ن‬Խ΋‫ݕ‬౼͞Ε͍ͯ
Δ [Urrutia 13, Bowley 14]ɽҰํͰɼ[Zhu 13] ͸ղੳతͳϞσϧΛ༻͍ͯɼμʔΫɾϓʔϧ͕ଘࡏ͢Δ৔߹ͷํ͕Ή͠ΖɼՁ֨ൃ‫ػݟ‬ೳ͕޲্͢ΔՄೳੑΛࢦఠͨ͠ɽμʔΫɾϓʔϧ͕ࠓҎ্ʹී‫ͨ͠ٴ‬৔߹ɼࢢ৔ͷ҆ఆԽʹ‫د‬༩͢Δͷ͔Ͳ͏͔ɼϚʔέοτɾΠϯύΫτΛԡ͑͞ΔޮՌ͕͋Δͷ͔Ͳ͏͔ɼ࣮ূ‫Ͱڀݚ‬෼ੳ͢Δ͜ͱ͸೉͍͠ɽͱ͍͏ͷ΋ɼμʔΫɾϓʔϧ͕ࠓҎ্ʹී‫ͱͨ͜͠ٴ‬͸ա‫ʹڈ‬ແ͍͏͑ɼՁ֨‫ܗ‬੒ʹ͸͞·͟·ͳཁҼ͕ෳࡶʹؔΘ͓ͬͯΓ࣮ূ‫Ͱڀݚ‬͸μʔΫɾϓʔϧͷޮՌ͚ͩΛऔΓग़͢͜ͱ͕ࠔ೉
͔ͩΒͰ͋Δɽ͜ͷΑ͏ͳࢢ৔ࠞཚ΍ࢢ৔ͷ੍౓มߋɼ৽͍͠औҾࢢ৔ͷ੍౓ʹΑΔ‫ڝ‬૪͸ଟ͘ͷࣄྫ
͕͋ΔΘ͚Ͱͳ͘ɼՁ֨‫ܗ‬੒ʹ͸͞·͟·ͳཁҼ͕ෳࡶʹؔΘ͍ͬͯΔͨΊɼ࣮ূ‫Ͱڀݚ‬͸͜ΕΒͷ‫੍ن‬ɾ੍౓ͷޮՌΛऔΓग़͢͜ͱ͕ࠔ೉Ͱ͋ΔɽͦͷͨΊɼ࣮ূ‫͜Ͱ͚ͩڀݚ‬ΕΒͷੋඇΛٞ࿦͢Δͷ͸ඇৗʹ೉͍͠ɽ·ͨɼ࣮ূ‫Ͱڀݚ‬͸͜Ε·Ͱʹಋೖͨ͜͠ͱ͕
ͳ͍‫੍ن‬ɾ੍౓ͷ෼ੳ͕Ͱ͖ͳ͍͠ɼ·࣮ͩ‫͍ͳ͍ͯ͠ݱ‬ঢ়‫گ‬ԼͰͷࢢ৔ؒ‫ڝ‬૪΋෼ੳͰ͖ͳ͍ɽͦͷͨΊɼ౰‫ہ‬΍औҾࢢ৔͕৽͍͠‫੍ن‬ɾ੍౓Λࡦఆ͢Δͱ͖ͷٞ࿦͸ɼԾઆ‫ݕ‬ূ‫ܕ‬ͷ෼ੳʹ‫͍ͳ͔ͮج‬ఆੑతͳٞ࿦ͷΈ͕Ԇʑͱͳ͞ΕΔ৔߹͕ଟ͔ͬͨɽͦͯ͠ɼಋ
ೖͨ͠‫ʹޙ‬෭࡞༻Λൃ‫͠ݟ‬ಋೖͨ͠΋ͷΛഇࢭ͢Δͱ͍ͬͨ͜ͱ͕‫܁‬Γฦ͞ΕΔ৔߹΋
͋Δɽ

1.1.3 ਓ޻ࢢ৔γϛϡϨʔγϣϯ‫ڀݚ‬ͷ‫ݱ‬ঢ়͜Ε·Ͱʹड़΂͖ͯͨΑ͏ͳ࣮ࣾձͰಋೖ͞Εͨ͜ͱ͕ͳ੍͍౓΍‫੍ن‬Λ෼ੳ͢Δํ๏
ͱͯ͠ɼίϯϐϡʔλ্ͰԾ૝తʹͦͷঢ়‫گ‬Λ࡞Γग़͠෼ੳ͢ΔɼࣾձγϛϡϨʔγϣϯͱ͍͏ख๏͕͋ΔɽࣾձγϛϡϨʔγϣϯ͸ɼྫ͑͹ɼࣗಈंಓͷ੔උ͕ަ௨ौ଺΁༩͑ΔӨ‫ڹ‬෼ੳ΍ɼςϩ΍Րࡂɼ఻છප͕ൃੜͨ͠৔߹ͷආ೉ͷํ๏΍͋Δ΂͖ରࡦͷ෼ੳͳͲͰɼେ͖ͳ੒ՌΛ͍͋͛ͯΔ [ग़‫ ޱ‬09, RC 12]ɽ͜Ε·Ͱʹͳ͍‫੍ن‬ɾ੍౓ͷಋೖ΍ม

13

14

ୈ1ষ

ຊ‫ڀݚ‬ͷഎ‫ͱܠ‬໨తߋ͕ࣾձʹ༩͑ΔӨ‫ڹ‬ΛγϛϡϨʔγϣϯͰ͋Β͔͡Ί஌ΓɼͲͷΑ͏ͳӨ‫͋“ ͕ڹ‬ΓಘΔͷ͔” Λࣄલʹ஌Δ͜ͱ͸ͱͯ΋༗ӹͰ͋Δɽ͜͜Ͱɼ“͋ΓಘΔ” ͱ‫ڧ‬ௐ͍ͯ͠Δͷʹ͸ҙຯ͕͋ΔɽࣾձγϛϡϨʔγϣϯ͸ɼະདྷΛਖ਼֬ʹ༧ଌ͢Δ͜ͱΛ໨తͱ͍ͯ͠ͳ͍
͠ɼͦͷೳྗΛ͍࣋ͬͯͳ͍ɽΉ͠ΖࣾձγϛϡϨʔγϣϯͰ͸ɼ‫͜ى‬ΓಘΔγφϦΦΛ
ଟ͘࡞Γग़ͯ͠ɼͦ͜Ͱ‫؍‬ଌ͞ΕΔϛΫϩɾϚΫϩͷ૬‫͔༻࡞ޓ‬Βɼ͜Ε·Ͱʹߟ͑ΒΕͯ͜ͳ͔ͬͨϝΧχζϜͰͷ‫ݱ‬৅΍ࣾձతͳ෭࡞༻Λ͋Β͔͡Ί‫͕ͱ͓͚ͯͭ͘͜ݟ‬ɼॏཁͳ໾ׂͱͳΔɽ͜ͷΑ͏ʹ͋ΓಘΔࣾձΛ͋Β͔͡Ίௐ΂্͛Δ͜ͱΛɼ[࿨ઘ 12a] Ͱ͸Մೳੈքϒϥ΢δϯάͱΑΜͩɽ͞·͟·ͳέʔεͰͷγϛϡϨʔγϣϯΛߦ͍ɼ͜Ε·Ͱ༧૝͞Ε͍ͯͳ͔ͬͨϝΧχζϜͰͷ‫ݱ‬৅΍ࣾձతͳ෭࡞༻Λ‫͖͓͚ͯͭݟ‬ɼͦΕͷ஌‫ݟ‬ΛՃ͑ͯɼಋೖͷੋඇΛ‫ݕ‬౼͢ΔͷͰ͋Δɽ‫ݴ‬ΘΕͯΈΕ͹౰ͨΓલ͕ͩɼγϛϡϨʔγϣϯ͕ͦΕΛࣔ͢·Ͱ͸୭΋ओ୊ʹऔΓ্͛ͳ͔ͬͨɼ“ίϩϯϒεͷཛ” తͳ‫ݱ‬৅΍ϝΧχζϜΛɼ‫੍ن‬ɾ੍౓ͷಋೖٞ࿦ʹೖΕΔ͜ͱ͕ɼࣾձγϛϡϨʔγϣϯͷେ͖ͳ໾ׂͱͳΔͱߟ͑ΒΕΔɽ͢ͳΘͪɼͦΕΒͷಋೖʹΑͬͯɼ͋ΓಘΔੈքΛ͋Β͔͡Ί୳ࡧ͓ͯ͘͠ɼՄ
ೳੈքϒϥ΢δϯάΛߦ͓ͬͯ͘͜ͱͰɼಋೖͷੋඇͷٞ࿦͕٬‫؍‬తͰਂ͍΋ͷͱͳ͍ͬͯ͘ɽ
ͱ͜Ζ͕ۚ༥ࢢ৔ʹ͓͍ͯ͸ɼ্‫ه‬ͷΑ͏ͳ࣮຿্ٞ࿦ͱͳ͍ͬͯΔ۩ମతͳ‫੍ن‬ɾ੍౓ΛɼࣾձγϛϡϨʔγϣϯΛ༻͍ͯٞ࿦͞Εͨ͜ͱ͸΄ͱΜͲͳ͔ͬͨɽ
ۚ༥ࢢ৔ʹؔͯ͠ͷࣾձγϛϡϨʔγϣϯ͸ɼਓ޻ࢢ৔ϞσϧΛ༻͍ͯߦΘΕΔ [࿨ઘ03, LeBaron 06, Chen 12, ࿨ઘ 12b, Cristelli 14]ɽਓ޻ࢢ৔Ϟσϧ͸ɼ౤ࢿՈΛ‫಺ػࢉܭ‬Ͱ໛฿ͨ͠ΤʔδΣϯτʢଟ͘ͷ৔߹͸ෳ਺ʣͱɼಉ͘͡‫Ͱ಺ػࢉܭ‬໛฿ͨ͠औҾॴΛ༻ҙ͢Δɽ͍ͣΕ΋ɼ‫͋ʹ಺ػࢉܭ‬ΔͷͰɼ‫ͨ݁͠׬Ͱ͚ͩػࢉܭ‬γϛϡϨʔγϣϯͱͳΔɽਓ޻ࢢ৔ϞσϧΛ༻͍ͨγϛϡϨʔγϣϯ‫ڀݚ‬͸ɼ࣮ࡍͷࢢ৔ʹΈΒΕΔଟ͘ͷ౷‫ܭ‬తੑ࣭Λ࠶‫͠ݱ‬ɼόϒϧ΍ࢢ৔ࠞཚͱ͍ͬͨ͜Ε·Ͱͷۚ༥ཧ࿦Ͱ͸ѻ͍ʹ͔ͬͨ͘‫ݱ‬৅ͷϛΫϩɾϚΫϩ૬‫༻࡞ޓ‬ͷϝΧχζϜΛղ໌͢ΔͳͲଟ͘ͷ੒ՌΛ͍͋͛ͯΔ [࿨ઘ 03, LeBaron 06, Chen 12, ࿨ઘ 12b, Cristelli 14]ɽ·ͨɼߴස౓औҾͷӨ‫ڹ‬෼ੳ [Wang13, ‫ ׎‬13, ‫ ׎‬14, ૲ా 14]ɼϚʔέοτɾΠϯύΫτͷྔͷ‫ੵݟ‬΋Γ [Oesch 14], ‫ͱ࢈ࢿݪ‬σϦόςΟϒؒͷϔοδऔҾͷ෼ੳ [Ohi 11, Kawakubo 13]ɼͳͲͷ੒Ռ΋͍͋͛ͯΔɽ͞Βʹɼ‫ࡏݱ‬ɼ‫࣮ݱ‬ͷۚ༥ࢢ৔Ͱٞ࿦͞Ε͍ͯΔ‫੍ن‬ɾ੍౓Ͱ͸ͳ͘ɼྫ͑͹͋Δ‫੍͕ن‬શ͘ଘࡏ͠ͳ͍৔߹ͱྫ֎ͳ͘‫׬‬શʹಋೖ͞Εͨ৔߹ͳͲɼ‫ͳ୺ۃ‬ঢ়‫گ‬ԼͰͷ‫੍ن‬ɾ੍౓ͷγϛϡϨʔγϣϯ‫ڀݚ‬͸গͳ͔Βͣଘࡏ͍ͯ͠Δ*2 ɽ
ҰํͰɼଟ͘ͷਓ޻ࢢ৔Ϟσϧ͸ύϥϝʔλ͕ଟ͗ͯ͢ෆඞཁʹෳࡶ͗͢Δͱ͍͏ࢦఠ

*2 ྫ͑͹ɼ[Westerhoﬀ 08, ߴా 09, Yagi 10, Yagi 11b, ീ໦ 11a, Yeh 10, Kobayashi 11, Thurner 12, େҪ 13] ͳͲɽ·ͨɼ༏ΕͨϨϏϡʔͱͯ͠ɼ[ࢁా 13] ͕͋Δɽ

1.1 ຊ‫ڀݚ‬ͷഎ‫ܠ‬΋͞Ε͍ͯΔ [Chen 12]ɽͱ͍͏ͷ΋ύϥϝʔλ͕ଟ͘ෳࡶͳϞσϧ΄ͲɼϞσϧ΍‫ࢉܭ‬݁ՌͷධՁ͕೉͘͠ͳΔ͔ΒͰ͋ΔɽͦͷͨΊɼ෼ੳର৅ͱ͍ͯ͠Δ‫ݱ‬৅Λ‫ه‬ड़͢Δͷʹద੾ͳෳࡶ͞Λ΋ͭਓ޻ࢢ৔ϞσϧΛߏங͢Δඞཁ͕͋Δɽ͔͠͠ͳ͕Β͜Ε·Ͱɼਓ޻ࢢ৔Ϟσϧ͸‫ʹͱ͝ऀڀݚ‬͹Β͹Βʹߏஙɾઃఆ͕ͳ͞Εɼ֤छઃఆ͕ͲͷΑ͏ͳ৔߹ʹඞཁͳͷ͔ɼ෼ੳର৅ͱ͍ͯ͠Δ‫ݱ‬৅Λ‫ه‬ड़͢Δͷʹద੾ͳෳࡶ͞Λ΋ͭϞσϧʹͳ͍ͬͯΔͷ͔ͳͲɼ΄ͱΜͲٞ࿦͞Εͯ͜ͳ͔ͬͨɽྫ͑͹ɼ౤ࢿՈΛ໛฿ͨ͠ΤʔδΣϯτ͕ɼա‫ڈ‬ͷ౤ࢿ੒੷΍ա‫ڈ‬ͷࢢ৔Ձ֨ͷਪҠ͔ΒύϥϝʔλΛௐઅͨ͠ΓઓུΛ੾Γସ͑ͨΓ͢Δ “ֶश” ͕ͳͥඞཁͰ͋Δ͔ɼ·ͨ͸ͲͷΑ͏ͳͱ͖ʹඞཁͰ͋Δ͔ɼ͖ͪΜͱٞ࿦͞Εͯ͜ͳ͔ͬͨ*3 ɽ͜ͷΑ͏ͳਓ޻ࢢ৔Ϟσϧͷઃఆʹؔͯ͠ͷٞ࿦͕ະख़Ͱ͋ͬͨͨΊɼ‫࣮ݱ‬ͷۚ༥ࢢ৔ͷ‫੍ن‬ɾ੍౓Λɼਓ޻ࢢ৔ϞσϧΛ༻͍ͯௐࠪͯ͠΋ɼೲಘ‫͕ײ‬ಘΒΕΔ΋ͷʹͳΒͣɼ࣮ࡍͷ‫੍ن‬ɾ੍౓ͷಋೖͷੋඇ΍ઃ‫ܭ‬ͷٞ࿦ͷࢀߟʹ͞Εͯ͜ͳ͔ͬͨɽ·ͨɼ෼ੳର৅
͕࣮຿Ո͕࣮ͨͪࡍʹٞ࿦͍ͯ͠Δঢ়‫Ͱگ‬͸ͳ͘ɼ‫ͳ୺ۃ‬ঢ়‫گ‬ԼͰͷ‫੍ن‬ɾ੍౓ͷγϛϡϨʔγϣϯ‫ͱͨͬ͋͜Ͱڀݚ‬΋ɼ࣮ࡍͷ‫੍ن‬ɾ੍౓ͷٞ࿦ʹࢀߟʹ͞Εͯ͜ͳ͔ͬͨཧ༝
Ͱ͋Ζ͏ɽ‫ۚࡏݱ‬༥ࢢ৔ͷ࣮຿Ո͕ͨͪٞ࿦͍ͯ͠ΔΑ͏ͳɼ‫࣮ݱ‬ͷ‫੍ن‬ɾ੍౓ͷٞ࿦ͷࢀߟʹͳΔਓ޻ࢢ৔ϞσϧΛߏங͢ΔͨΊʹ͸ɼਓ޻ࢢ৔Ϟσϧͷઃఆʹؔͯ͠෼ੳ໨త
ʹԠͯ͡ඞཁͱͳΔઃఆʹ͍ͭͯ໌Β͔ʹ͢Δඞཁ͕͋Δͱߟ͑ΒΕΔɽͦͷ͏͑Ͱɼͦ
ͷϞσϧ͕෼ੳର৅ͱ͍ͯ͠Δ‫ݱ‬৅Λ‫ه‬ड़͢Δͷʹద੾ͳෳࡶ͞Ͱ͋Δ͜ͱΛࣔ͠ɼຊ࣭
తʹ͸ؔ܎ͷͳ͍ઃఆʹΑͬͯຊ࣭తʹؔ܎ͷͳ͍‫ݱ‬৅Λಋ͖ग़ͨ͠Γዞҙతʹಛఆͷ݁࿦ʹಋ͜͏ͱͨ͠Γ͍ͯ͠ͳ͍͜ͱΛࣔ͢ඞཁ͕͋Δɽ*3 “ֶश” ͸આ໌Ͱ͖Δ౷‫ྔܭ‬Λ૿΍͢Θ͚Ͱ͸ͳ͍ͱͯ͠ඞཁͰͳ͍ͱ͍͏ओு͸͋ͬͨ [Chen 12]ɽ

15

16

ୈ1ষ

ຊ‫ڀݚ‬ͷഎ‫ͱܠ‬໨త

㻥㻡㻚㻜

㻥㻟㻚㻜
㻥㻞㻚㻜

㻥㻝㻚㻜

᫬้㻌㻔㼔㼔㻦㼙㼙㻕㻌ਤ 1.1ςΟοΫɾαΠζͷҧ͍ʹΑΔࢢ৔Ձ֨ͷ‫ܗ‬੒ͷҧ͍ͷྫ

㻝㻡㻦㻜㻜

㻝㻠㻦㻜㻜

㻝㻟㻦㻜㻜

㻝㻝㻦㻜㻜

㻤㻥㻚㻜

㻝㻜㻦㻜㻜

࿧್䛾้䜏㻦㻌㼰㻝㻌䋻㻌䝔䜱䝑䜽䞉䝃䜲䝈㻦㻌㻝㻑㻌࿧್䛾้䜏㻦㻌㼰㻜㻚㻝㻌䋻㻌䝔䜱䝑䜽䞉䝃䜲䝈㻦㻌㻜㻚㻝㻑㻌

㻥㻜㻚㻜
㻥㻦㻜㻜

ᕷሙ౯᱁㻌

㻥㻠㻚㻜

1.2 ຊ‫ڀݚ‬ͷ໨త

1.2 ຊ‫ڀݚ‬ͷ໨తຊ‫ڀݚ‬ͷ໨త͸ɼਓ޻ࢢ৔γϛϡϨʔγϣϯʹΑͬͯɼ࣮ࡍͷۚ༥ࢢ৔Ͱٞ࿦͞Ε͍ͯΔ͜Ε·Ͱʹͳ͍‫੍ن‬ɾ੍౓ͷಋೖ΍มߋ͕ͲͷΑ͏ͳӨ‫͋“ ͕ڹ‬ΓಘΔͷ͔” Λ෼ੳ͠ɼ͜ΕΒͷಋೖ΍มߋͷੋඇͷٞ࿦ʹ໾ཱͭ஌ࣝΛ֫ಘ͢Δ͜ͱͰ͋Δɽ͜ΕΒͷਓ޻ࢢ৔γϛϡϨʔγϣϯΛߦ͏ͨΊɼ·ͣɼਓ޻ࢢ৔Ϟσϧͷઃఆʹؔͯ͠෼ੳ໨తʹԠͯ͡ඞཁͱͳΔઃఆʹ͍ͭͯٞ࿦͠ɼͦͷϞσϧ͕෼ੳର৅ͱ͍ͯ͠Δ‫ݱ‬৅Λ‫ه‬ड़͢Δͷʹద੾ͳਓ޻ࢢ৔ϞσϧΛߏங͢Δɽ‫࣮ݱ‬ͷۚ༥ࢢ৔Ͱٞ࿦͞Ε͍ͯΔ‫ن‬੍ɾ੍౓ΛऔΓѻ͏͕ɼۚ༥ࢢ৔Ͱ͜Ε͔Β࣮ࡍʹ͓͜Δ‫ݱ‬৅Λఆྔతʹ΋஧࣮ʹ࠶‫͢ݱ‬Δ͜ͱ͕໨తͰ͸ͳ͘ɼͦΕΒͷ‫੍ن‬ɾ੍౓͕ͲͷΑ͏ͳϝΧχζϜͰՁ֨‫ܗ‬੒ʹӨ‫ڹ‬Λ༩͑ɼͲͷΑ͏ͳ͜ͱ͕‫͜ى‬ΓಘΔͷ͔ͱ͍͏஌ࣝ֫ಘ͕໨తͰ͋ΔɽͦͷͨΊຊ‫Ͱڀݚ‬͸ɼՁܾ֨ఆϝΧχζϜ͸‫࣮ݱ‬ͷ‫੍ن‬ɾ੍౓Λ࣮૷͢ΔͨΊɼ‫࣮ݱ‬ͷऔҾॴʢऔҾࢢ৔ʣΛඞཁͳൣғ಺Ͱ஧࣮ʹ࠶‫͠ݱ‬ɼΤʔδΣϯτ͸ద੾ͳෳࡶ͞ʹͱͲΊͨϞσϧΛ໨ࢦ͢ɽ‫ࣜג‬͸ࢢ৔ͰऔҾ͞Ε͍ͯΔՁ֨ʢࢢ৔Ձ֨ʣͱ͸ผʹɼ‫ࣜג‬Λൃߦ͢Δ‫ࣗۀا‬ମ͕͍࣋ͬͯΔ࣮ଶͷՁ஋ʹ΋ͱ͍ͮͨՁ֨ʢϑΝϯμϝϯλϧՁ֨ʣ͕ଘࡏ͢Δͱߟ͑ΒΕ͍ͯΔɽߏங͞ΕͨϞσϧΛ༻͍ͯɼ·ͣɼϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌ʹ͓͜ΔΞ
ϯμʔγϡʔτΛ๷͙‫੍ن‬ɾ੍౓ͱͯ͠ɼ஋෯੍‫ݶ‬ɼۭചΓ‫੍ن‬ɼ͓ΑͼͦͷҰछͰ͋Δ
ΞοϓςΟοΫɾϧʔϧΛ෼ੳ͢Δɽͦͯ͠ɼ‫ൃޡ‬஫ʹΑΔࢢ৔ࠞཚ࣌ͷɼ஋෯੍‫͓ݶ‬ΑͼτϦΨʔࣜΞοϓςΟοΫɾϧʔϧΛ෼ੳ͢Δɽ·ͨɼऔҾࢢ৔ؒͷ‫ڝ‬૪ͰςΟοΫɾαΠζͷมߋ͕༩͑ΔӨ‫ڹ‬Λ෼ੳ͢Δɽ͞ΒʹɼμʔΫɾϓʔϧͷग़‫ࡏݱͱݱ‬Ҏ্ͷී‫ٴ‬ʹΑͬͯɼՁ֨ൃ‫ػݟ‬ೳ΍ྲྀಈੑ‫ػڅڙ‬ೳ͕ͲͷΑ͏ʹͳΔ͔෼ੳ͢Δɽ͜ΕΒ͸͍ͣΕ΋࣮ࡍͷۚ༥ࢢ৔Ͱଟ͘ͷٞ࿦͕͋Δ‫੍ن‬ɾ੍౓Ͱ͋Γɼ࣮ࡍʹ‫੍ن‬ɾ੍౓มߋ͕ߦΘΕͭͭ͋Δ΋ͷͰ͋Δɽ

17

18

ୈ1ষ

ຊ‫ڀݚ‬ͷഎ‫ͱܠ‬໨త

1.3 ຊ࿦จͷߏ੒࣍ষҎ߱ͷߏ੒Λड़΂Δɽਤ 1.2 ͸ɼ࣍ষҎ߱ͷߏ੒ΛਤࣜԽͨ͠΋ͷͰ͋Δɽ
ୈ I ෦ͷୈ 2 ষͰ͸ɼ·ͣɼͦ΋ͦ΋ۚ༥ࢢ৔ͷࣾձత໾ׂ͕ԿͰ͋Δ͔Λड़΂ɼՁ֨ൃ‫ػݟ‬ೳͱྲྀಈੑ‫ػڅڙ‬ೳ͕͋Δ͜ͱΛड़΂ͨ‫ޙ‬ɼۚ༥ࢢ৔ͷ‫Ͳࡏݱ͕ڀݚ‬ͷΑ͏ͳߟ͑ํɾΞϓϩʔνͰߦΘΕ͍ͯΔͷ͔Λड़΂Δɽͦͯ͠ɼਓ޻ࢢ৔γϛϡϨʔγϣϯ‫ڀݚ‬ͷඞཁੑͱɼଞͷख๏ͱͲͷΑ͏ͳҐஔ͚ͮʹ͋Δ͔Λड़΂Δɽਓ޻ࢢ৔ϞσϧΛٞ࿦͢Δ
ʹ͋ͨͬͯɼଞͷख๏ͰಘΒΕͨۚ༥ʹؔ͢Δ஌‫ݟ‬Λଟ͘༻͍ΔͨΊ͜ΕΒͷ஌‫ݟ‬Λ·ͱΊΔɽୈ II ෦ (ୈ 3 ষ͔Βୈ 6 ষ) Ͱ͸ɼਓ޻ࢢ৔Ϟσϧͷઃఆʹؔͯ͠‫ݸ‬ผͷཁҼʹؔ͢Δৄࡉͳٞ࿦Λߦ͏ɽ͜ΕΒͷٞ࿦Ͱ͸ୈ 2 ষͰड़΂ͨଞͷख๏ͰಘΒΕͨۚ༥ࢢ৔ͷ஌‫ݟ‬Λଟ͘ࢀর͢Δɽୈ 3 ষͰ͸ɼਓ޻ࢢ৔Ϟσϧͷઃఆʹશൠʹؔͯ͠ஸೡʹٞ࿦͢Δɽୈ

4 ষͰ͸ɼਓ޻ࢢ৔Ϟσϧͷઃఆͷ͏ͪɼ؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜʹ༻͍ΒΕΔൺྫ܎
਺ͱɼCARA ‫ൃܕ‬஫਺ྔϞσϧʹؔͯٞ͠࿦ΛਂΊΔɽୈ 5 ষͰ͸ɼຊ‫͍༻Ͱڀݚ‬Δਓ
޻ࢢ৔ϞσϧͷϕʔεͱͳΔϞσϧΛߏங͢ΔɽϕʔεϞσϧ͸ୈ 3 ষ͓Αͼୈ 4 ষͰٞ࿦͞Εͨ಺༰Λ౿·͑ߏங͞Εɼଥ౰ੑ͕‫ݕ‬౼͞ΕΔɽୈ 6 ষͰ͸ɼୈ 5 ষͰ࡞੒͞ΕͨϕʔεϞσϧΛ༻͍ͯɼਓ޻ࢢ৔Ϟσϧͷઃఆͷ͏ͪɼֶशաఔͷඞཁੑʹؔͯٞ͠࿦
͢Δɽֶशաఔͷ෼ੳͰ͸ϕʔεϞσϧΛ༻͍ΔͨΊɼষͷॱ൪͕લ‫͢ޙ‬Δ͜ͱʹ஫ҙͯ͠΄͍͠ɽୈ III ෦ (ୈ 7 ষ͔Βୈ 10 ষ) Ͱ͸ɼ࣮ࡍͷۚ༥ࢢ৔Ͱٞ࿦͞Ε͍ͯΔ‫੍ن‬ɾ੍౓ʹؔ
ͯ͠ϕʔεϞσϧΛൃలͤͨ͞ϞσϧΛ༻͍ͯٞ࿦͢Δɽୈ 7 ষͰ͸ɼϑΝϯμϝϯλϧ
Ձ֨‫ٸ‬མ࣌ʹ͓͜Δࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͱͯ͠ɼ஋෯੍‫ݶ‬ɼۭചΓ‫੍ن‬ɼ͓ΑͼͦͷҰछͰ͋ΔΞοϓςΟοΫɾϧʔϧΛ෼ੳ͢Δɽୈ 8 ষͰ͸ɼ‫ൃޡ‬஫ʹΑΔࢢ৔ࠞཚ࣌
ͷɼ஋෯੍‫͓ݶ‬ΑͼτϦΨʔࣜΞοϓςΟοΫɾϧʔϧΛ෼ੳ͢Δɽୈ 9 ষͰ͸ɼऔҾࢢ৔ؒͷ‫ڝ‬૪ͰςΟοΫɾαΠζͷมߋ͕༩͑ΔӨ‫ڹ‬Λ෼ੳ͢Δɽୈ 10 ষͰ͸ɼμʔΫɾϓʔϧͷग़‫ࡏݱͱݱ‬Ҏ্ͷී‫ʹٴ‬ΑͬͯɼՁ֨ൃ‫ػݟ‬ೳ΍ྲྀಈੑ‫ػڅڙ‬ೳ͕ͲͷΑ͏ʹͳ
Δ͔෼ੳ͢Δɽ࠷‫ʹޙ‬ຊ‫ڀݚ‬ͷ݁࿦Λड़΂Δɽ

19

1.3 ຊ࿦จͷߏ੒➨Ϩ㒊 㔠⼥ᕷሙ䛾⌧≧䛸ၥ㢟ព㆑
1. ᮏ◊✲䛾⫼ᬒ䛸┠ⓗ2. 㔠⼥◊✲䛾ᴫἣཧ↷➨ϩ㒊 ேᕤᕷሙ䝰䝕䝹䛾タᐃ≉䛻㔜せ䛺ヲ⣽タᐃ䛾ྛㄽ䛩䜉䛶䛾タᐃ䛻㛵䛧䛶

4. ⡆᫆ᆺ౯᱁Ỵᐃ䝯䜹䝙䝈䝮䛾ẚ౛ಀᩘ䛸CARA ᆺⓎὀᩘ㔞䝰䝕䝹䛾⪃ᐹ

3. ேᕤᕷሙ䝰䝕䝹䛾ᇶᮏⓗ䛺⪃䛘᪉䛸䝰䝕䝹໬䛾㑅ᢥ㍈

6. Ꮫ⩦㐣⛬䛾ᚲせᛶศᯒ౑⏝ཧ↷
5. ேᕤᕷሙ䞉䝧䞊䝇䞉䝰䝕䝹䛾ᵓ⠏౑⏝➨Ϫ㒊 ேᕤᕷሙ䝰䝕䝹䜢⏝䛔䛯⌧ᐇ䛾㔠⼥ᕷሙ䛾つไ䞉ไᗘㄪᰝᕷሙΰ஘䜢㜵䛠つไ䞉ไᗘ䛾ศᯒྲྀᘬᕷሙ㛫➇த䛾ศᯒ

7. 䝣䜯䞁䝎䝯䞁䝍䝹ᛴⴠ᫬䛻䛚䛡䜛್ᖜไ㝈䠈✵኎䜚つไ䠈䜰䝑䝥䝔䜱䝑䜽䝹䞊䝹䛾ศᯒ

9. 䝔䜱䝑䜽䞉䝃䜲䝈䛾㐪䛔䛻䜘䜛ྲྀᘬᕷሙ㛫➇த

8. ㄗⓎὀ᫬䛾್ᖜไ㝈䠈䝖䝸䜺䞊ᘧ䜰䝑䝥䝔䜱䝑䜽䝹䞊䝹䛾ศᯒ

10. 䝎䞊䜽䝥䞊䝹ฟ⌧䛾ᙳ㡪

⤖ㄽ
ਤ 1.2

ষͷߏ੒

21

ୈ2ষ

ۚ༥‫ڀݚ‬ͷ֓‫گ‬
2.1 ͸͡ΊʹຊষͰ͸ɼۚ༥ࢢ৔ͷ‫Ͳ͕ڀݚ‬ͷΑ͏ͳख๏ͰߦΘΕ͍ͯΔ͔ड़΂Δɽਓ޻ࢢ৔ϞσϧΛ༻͍ͨγϛϡϨʔγϣϯख๏͸ɼଞͷख๏ͰಘΒΕͨ஌‫ݟ‬Λ༻͍ͯɼϞσϧ͕ଥ౰Ͱ͋
Δ͔Ͳ͏͔ɼͲͷΑ͏ͳϞσϧΛ࡞੒͢΂͖͔Ͳ͏͔͕‫ݕ‬౼͞Ε͍ͯΔɽୈ 3 ষͰ͸ɼਓ޻ࢢ৔Ϟσϧ͸ͲͷΑ͏ͳߟ͑ํͰߏங͞ΕɼͲͷΑ͏ʹଥ౰Ͱ͋Δͱߟ͑Δͷ͔Λٞ࿦͢Δ͕ɼଞͷख๏ͰಘΒΕͨ஌‫ݟ‬Λଟ͘ࢀর͢ΔɽͦͷͨΊɼଞͷख๏͕ͲͷΑ͏ͳ݁ՌΛಘ͍ͯΔͷ͔ɼͲͷΑ͏ͳߟ͑ํͰ‫͞ڀݚ‬Ε͍ͯΔͷ͔Λ஌Δ͜ͱ͸ͱͯ΋ॏཁͱͳΔɽ͜͜Ͱ͸ɼ·ͣɼͦ΋ͦ΋ۚ༥ࢢ৔ͷࣾձత໾ׂͱ͸ԿͰ͋Δ͔Λड़΂ɼۚ༥ࢢ৔ʹ͸Ձ֨ൃ‫ػݟ‬ೳͱྲྀಈੑ‫ػڅڙ‬ೳ͕͋Γɼ͜ΕΒʹΑͬͯࣾձʹՁ஋Λఏ‫͍ͯ͠ڙ‬Δ͜ͱΛड़΂Δɽͦͯ͠ɼۚ༥ࢢ৔ͷ‫ڀݚ‬͸͜ͷΑ͏ͳ‫ػ‬ೳ͔Βɼۚ༥ࢢ৔ͷੑ࣭ʹؔ͢ΔԾઆΛཱͯɼͦͷԾઆʹ͍ͭͯ‫ݕ‬౼͢ΔͨΊͷ࣮ূ෼ੳΛߦ͏ͱ͍͏ΞϓϩʔνΛͱΔ͜ͱ͕ଟ͘ɼ୅දతͳԾઆͱͯ͠ޮ཰తࢢ৔ԾઆΛͱΓ͋͛Δɽޮ཰తࢢ৔Ծઆʹ͸ଟେͳޭ੷͕
͋ΔҰํɼ൷൑΋ଟ͍͜ͱΛड़΂ΔɽͦͷଞͷΞϓϩʔνͱͯ͠ɼۚ༥޻ֶɼ‫ࡁܦ‬෺ཧֶɼߦಈ‫ֶࡁܦ‬ɼ࣮‫͕͋Ͳͳֶࡁܦݧ‬Δ͜ͱΛड़΂ͨ‫ޙ‬ɼਓ޻ࢢ৔γϛϡϨʔγϣϯ͕ͳͥඞཁͳͷ͔ɼଞͷख๏ͱͲͷΑ͏ͳؔ܎ʹ͋Δͷ͔Λड़΂Δɽ

22

ୈ 2 ষ ۚ༥‫ڀݚ‬ͷ֓‫گ‬

2.2 ۚ༥ࢢ৔ͷࣾձత໾ׂ
ຊষͰ͸ɼͦ΋ͦ΋ۚ༥ࢢ৔ͷࣾձత໾ׂͱ͸ԿͰ͋Δ͔Λɼ[ਫా 12a] ʹͦͬͯड़΂Δɽۚ༥ࢢ৔ʹ͸Ձ֨ൃ‫ػݟ‬ೳͱྲྀಈੑ‫ػڅڙ‬ೳ͕͋Γɼ͜ΕΒʹΑͬͯࣾձʹՁ஋Λఏ‫͍ͯ͠ڙ‬Δɽ‫ࣜג‬͸ࢢ৔ͰऔҾ͞Ε͍ͯΔՁ֨ʢࢢ৔Ձ֨ʣͱ͸ผʹɼ‫ࣜג‬Λൃߦ͢Δ‫ا‬‫ࣗۀ‬ମ͕͍࣋ͬͯΔ࣮ଶͷՁ஋ʹ΋ͱ͍ͮͨՁ֨ʢϑΝϯμϝϯλϧՁ֨ʣ͕ଘࡏ͢Δͱߟ͑ΒΕ͍ͯΔɽۚ༥ࢢ৔͸ɼࢢ৔ࢀՃऀͨͪͷऔҾΛ௨࣮ͯ͡ଶՁ஋Ͱ͋ΔϑΝϯμϝ
ϯλϧՁ֨Λൃ‫͢ݟ‬ΔɼՁ֨ൃ‫ػݟ‬ೳΛ࣋ͭ͜ͱ͕‫ظ‬଴͞Ε͓ͯΓɼͦͷͨΊɼϑΝϯμϝϯλϧՁ͔֨Βେ͖͘ဃ཭͍ͯ͠ͳ͍Ձ֨ͰऔҾ͞ΕΔ͜ͱ͕‫ظ‬଴͞Ε͍ͯΔɽͦΕ͕ୡ੒͞Εͨঢ়ଶΛޮ཰ੑ͕ߴ͍ͱΑͿɽຊ࿦จͰऔΓѻ͏ɼۚ༥ࢢ৔ͷࠞཚΛ๷͙‫੍ن‬ɾ੍౓ɼ͓ΑͼऔҾࢢ৔ؒͷ‫ڝ‬૪͸ɼ͜ΕΒͷ‫ػ‬ೳΛΑΓߴΊɼࢢ৔ΛΑΓޮ཰తͳ΋ͷʹ
͢ΔͨΊʹଘࡏɾߦΘΕ͍ͯΔ΋ͷͰ͋ΔͨΊɼ͜ΕΒͷཧղ͸ෆՄܽͰ͋Δɽਓྨ͸‫ݹ‬୅ਓͷͱ͖ΑΓɼߴ౓ͳ໾ׂ෼୲ʹΑΓɼଞͷੜ෺Λ྇կ͖ͯͨ͠ɽ‫ڕ‬ΛऔΔͷ͕ಘҙͳ΋ͷ͸‫ڕ‬ΛऔΓɼ໦ͷ࣮ΛूΊΔͷ͕ಘҙͳ΋ͷ͸໦ͷ࣮ΛूΊɼ෺ʑަ‫׵‬Λߦ͏͜ͱʹΑΓಘҙͳ͜ͱʹूத͠໾ׂ෼୲ͨ͠ɽ࣌ʹ͸ɼ‫ͱͨͬ͘·͕ڕ‬Εͣɼ໦ͷ࣮Λ΋Βٌͬͯ͑Λ͠ͷ͍ͩͰ͋Ζ͏ɽͦͷͱ͖͸ɼࣄ‫ڕͯͬͳʹޙ‬Λࠩ͠ग़͠෺ʑަ‫׵‬Λ੒ཱͤͨ͞ɽ໦ͷ࣮Λ΋ΒͬͨआΓΛࣔͨ͢Ίʹɼ෺ମࣗମʹ͸Ձ஋͕ແ͍͕Ծ૝తʹՁ
஋͕͋ΔͱօͰ໿ଋͨ͠෺ͱ໦ͷ࣮Λ͍ͬͨΜަ‫͠׵‬ɼͦͷ෺Λฦͯ͠΋Β͏ࡍʹ‫ڕ‬Λ౉͢ͱ͍͏͜ͱ͕ߦΘΕͨͰ͋Ζ͏ɽ͜Ε͕͓ۚͰ͋Δɽ͓͕ۚ஥հ͢Δ͜ͱʹΑΓɼଟ͘ͷछྨͷ෺΍αʔϏεͷަ‫͕׵‬εϜʔζʹͳΓɼߴ౓ͳ໾ׂ෼୲Λࢧ͑ͨɽ͞Βʹ࣌ؒΛӽ͑ͨՁ஋ͷަ‫׵‬ɼա‫ڈ‬໾ׂ෼୲Ͱ‫׆‬༂ͨ͠ਓ͕ະདྷ໾ׂ෼୲Ͱ‫׆‬༂͢ΔͩΖ͏ਓʹɼ‫׆‬༂͕࣮‫͢ݱ‬ΔલʹՁ஋Λ౉͢͜ͱΛՄೳͱͨ͠ɽ
ਤ 2.1 ʹ͸̏ਓͷొ৔ਓ෺͕͍ΔɽA ͞Μ͸ੲେ‫׆‬༂͠օʹՁ஋Λఏ‫ͨͨ͠ڙ‬Ί͓ۚΛ͍ͬͺ͍͍࣋ͬͯΔɽB ͞Μ͸৽͘͠‫ۀړ‬Λ࢝Ί͍ͨͱߟ͍͑ͯͯɼମྗ΋΍Δ‫ؾ‬΋͋Γ͍ͬͺ͍‫ڕ‬Λऔ͖ͬͯͦ͏͕ͩɼಓ۩΋͓ۚ΋ແ͍ɽ͜ͷ̎ਓΛ݁ͼ͚ͭΕ͹ A ͞Μͷ͓ۚ͸ɼB ͞Μͷ‫ۀړ‬։࢝ʹΑΔօ΁ͷߩ‫ʹݙ‬ΑΓ༗ޮ‫͞༻׆‬ΕΔ͜ͱʹͳΔɽC ͞Μ͸͜Εʹ‫͖෇ؾ‬ɼA ͞Μʹ B ͞Μ΁͓ۚΛୗͯ͠Έͳ͍͔ͱఏҊ͢ΔɽC ͞Μ͸·͞ʹ͓ۚΛ༥௨͢Δ྆ऀΛ‫͚ͯͭݟ‬Ҿ͖߹ΘͤΔͱ͍͏ۚ༥‫͋Ͱऀۀ‬Δɽͭ·Γۚ༥ͱ͸ɼ͙͢ʹ͓͕ۚඞཁͳਓͱɼ͠͹Β͘͸࢖Θͳ͍ਓΛ݁ͼɼ͓ۚͷ༥௨Λ஥հ͢Δ͜ͱͰ͋ΔɽC ͞ΜͷΑ͏ͳઐ໳తʹ஥հΛߦ͍ͬͯΔਓͷ͓͔͛ͰɼA ͞Μ΋ B ͞Μ΋͓‫͍ޓ‬Λ୳͢࿑ྗ͕গͳͯ͘ࡁΉɼͭ·Γ௿͍ίετͰ͔ͭ୹͍࣌ؒͰ͓ۚΛ༥௨͋͠͏૬खΛ‫ͭݟ‬͚ΒΕΔɽ͜Ε͕ۚ༥ͷ‫ػ‬ೳͷ̍ͭɼྲྀಈੑͰ͋ΔɽA ͞Μ͸౰વɼ͓ۚΛ͋Δఔ౓ͷ‫ظ‬ؒ༥௨͢Δ‫ݟ‬ฦΓΛཁ‫͢ٻ‬Δɽ༥௨͓ͨۚ͠ʹগ্͠৐ͤͯ͠ฦͯ͠ཉ͍͠ͱཔΉ͔ɼऔΕͨ‫Ͱڕ‬ಘ͓ͨۚͷҰ෦Λ͘ΕΔΑ͏པΉͩΖ͏ɽલऀ͕༥ࢿ΍࠴݊ͷߪೖʹ૬౰͠ɼ‫ޙ‬

2.2 ۚ༥ࢢ৔ͷࣾձత໾ׂ
ऀ͕‫Ͳͳࣜג‬Λ௨ͨ͡౤ࢿʹ૬౰͢Δɽ͜ͷ࣌ɼC ͞Μ͕ؒʹೖͬͯͲΕ͘Β͍ͷֹۚΛ্৐ͤ͢΂͖͔ɼͲΕ͘Β͍ͷׂ߹ͷ͓ۚΛ౉͢΂͖͔ܾఆ͢Δɽ͜Ε͕ۚ༥ͷ̎ͭ໨ͷ‫ػ‬ೳͰ͋ΔՁ֨ൃ‫͋Ͱݟ‬Δɽ‫ݱ‬୅ͷۚ༥͸ඇৗʹෳࡶʹͳ͍ͬͯΔ͕ɼຊ࣭తͳ෦෼͸ਤ 2.1 ͷΑ͏ͳߏ଄ʹͳͬͯ
͍Δɽۚ༥͸͓ۚΛ༥௨͢Δ͜ͱʹΑΓ֤࢈‫ۀ‬Λࢧ͑ਓྨ͕‫ͨ͏͋͠ྗڠ‬ΊͷେࣄͳΠϯϑϥɾखஈͰ͋Γɼܾͯۚ͠༥୯ମͰՁ஋ΛੜΈग़ͨ͠Γɼۚ༥ͦΕࣗମ͕໨తʹͳͬͨΓ͢Δ΋ͷͰ͸ͳ͍ɽͦ͏ɼC ͞ΜҰਓͰ͸Ձ஋Λੜ·ͳ͍͕ɼA ͞Μ B ͞ΜʹͱͬͯେࣄͳࠇࢠͰ͋Δɽͯ͞ɼ‫ݱ‬୅ͷ୅දతͳۚ༥ͷ෣୆ͷ̍ͭͰ͋Δ‫ࢢࣜג‬৔ʹ͍ͭͯઆ໌͢Δɽਤ 2.2 Ͱ͸‫ࢢࣜג‬৔ʹ͍ͭͯ؆୯ʹࣔͨ͠ɽ‫ݱ‬୅Ͱ͸͠͹Β͓ۚ͘Λ࢖Θͳ͍ਓʢਤ 2.1 Ͱ͸ A ͞Μʹ૬౰ʣͱͯ͠ɼ௕‫ʹظ‬Θ͓ͨͬͯۚΛੵΈཱͯҾୀ‫ࢧʹޙ‬෷͏೥ۚ‫͕͋Ͳͳۚج‬Δ
͕ɼຊߘͰ͸ৄ͘͠͸ड़΂ͳ͍ɽ͜͜Ͱ͸൴ΒΛ૯শͯ͠౤ࢿՈͱΑͿ͜ͱʹ͢Δɽ·ͣ
ਤ 2.2 ͷ্ͷ̍࣍ࢢ৔Λ‫ͯݟ‬ΈΑ͏ɽ̍࣍ࢢ৔ͱ͸‫ۚࢿ͕ۀا‬Λ৽ͨʹௐୡ͢Δͱ͖ʹ౤ࢿՈ͕‫ۚࢿʹۀا‬Λఏ‫͢ڙ‬Δࢢ৔Ͱ͋Γਤ 2.1 Ͱઆ໌ͨ͠ࢢ৔ͱࣅ͍ͯΔɽ౤ࢿՈ͸࣋ͬ
͍ͯΔ͓ۚΛ༗ޮ‫ͯ͠༻׆‬΋Β͏ͨΊʹ͙͢ʹ͓͕ۚඞཁͳਓʢਤ 2.1 Ͱ͸ B ͞Μʹ૬౰ʣΛ୳͢ɽ୅දతͳͷ͕‫ͩۀا‬ɽ‫ۀا‬͸ࢿۚௐୡ͓ͨۚ͠Ͱઃඋ౤ࢿ΍ਓࡐ࠾༻Λߦͬͨ‫ޙ‬ɼࣾձͷ໾ʹཱͭࣄ‫ۀ‬Λల։͓ۚ͠Λճऩ͢ΔͨΊɼৗʹग़අ͕ઌʹͳΔɽ౤ࢿՈ͸༗๬ͳ‫ۀا‬Λ୳͠ɼ‫ۀا‬͸౤ࢿΛͯ͘͠ΕΔ౤ࢿՈΛ୳͢Θ͚Ͱ͋Δ͕ɼͦΕΛ஥հ͢Δ
ͷ͕ূ݊ձࣾʢਤ 2.1 Ͱ͸ C ͞Μʹ૬౰ʣͰ͋Δɽূ݊ձࣾ͸౤ࢿՈͱ‫ۀا‬Λ૒ํʹ঺հ͢Δ͜ͱͰྲྀಈੑΛ‫͠څڙ‬ɼ·ͨɼ‫ࣜג‬Λ͍͘ΒͰൃߦ͢Δ͔ΛܾΊΔ͜ͱͰՁ֨ൃ‫ݟ‬Λߦ͏ɽ‫ͱࣜג‬͸ࣄ‫ۚࢿۀ‬ͷग़ࢿΛ͞·͟·ͳਓ͔Βड͚ΔͨΊʹൃߦ͢Δ΋ͷͰɼग़ࢿۚʹԠׂͯ͡Γ౰ͯΔɽࣄ‫Ͱۀ‬ಘͨརӹ͸ग़ࢿֹʹԠͯ͡෼͚લͱͯ͠౤ࢿՈʹ഑ΒΕΔʢ഑౰ͱΑͿʣ͕ɼ‫ࣜג‬Λൃߦ͢Ε͹͜ͷ࡞‫ۀ‬͸‫ࣜג‬Λ͍࣋ͬͯΔྔʹൺྫͯ͠഑Ε͹Α͘ɼ෼͔Γ΍͘͢ͳΔɽ‫ࣜג‬ΛશͯखʹೖΕΕ͹ͦͷ‫ۀا‬ͷશग़ࢿऀͱͳΓɼ͢΂ͯͷ഑౰Λಠ઎Ͱ͖Δ͜ͱ͔Βɼ‫ࣜג‬ͷ૯߹‫ܭ‬ͷֹۚʢ࣌Ձ૯ֹͱΑͿʣ͸‫ۀا‬ͷՁ֨ͦͷ΋ͷͰ͋Δɽͯ͞౤ࢿՈ͕ɼ͜ͷ‫͕ۀا‬ଘଓ͍ͯ͠Δؒͣͬͱ‫ࣜג‬Λ࣋ͪଓ͚͍ͨͱࢥ͏͜ͱ͸‫Ͱر‬
͋Δɽ౤ࢿՈʹ΋͓ۚΛ࢖͏࣌‫͖͕ͯظ‬ଞͷ౤ࢿՈʹ‫ࣜג‬Λసച͍ͨ͠ͱ͖͕དྷΔͰ͋Ζ
͏ɽ΋͠ɼసച͕༰қͰͳͦ͞͏ͳΒɼ̍࣍ࢢ৔Ͱ‫͔ۀا‬Β‫ࣜג‬Λߪೖ͢ΔͷΛ᪳᪯͢Δ
Ͱ͋Ζ͏͠ɼඇৗʹ͍҆Ձ֨Ͱ͔͠‫ࣜג‬Λങ͓͏ͱ͠ͳ͍Ͱ͋Ζ͏ɽͦ͏͢Δͱ‫ࣄ͕ۀا‬‫ۚࢿۀ‬ΛಘΔͷ͕ࠔ೉ͱͳΓɼۚ༥ͷ‫ػ‬ೳ͕ఀ଺ͯ͠͠·͏ɽͭ·Γɼ౤ࢿՈಉ࢜ͷసചࢢ৔ʢ͜ΕΛ̎࣍ࢢ৔ͱΑͿʣ͕ߴ͍ྲྀಈੑΛఏ‫ͯ͠ڙ‬௿ίετͰ͍ͭͰ΋సചͰ͖Δ͜ͱ͸ɼ̍࣍ࢢ৔Ͱ‫͕ۀا‬ඞཁͳࣄ‫ۚࢿۀ‬ΛಘΔͷʹඇৗʹॏཁͳͷͰ͋Δɽ
ͯ࣍͞ʹɼ̎࣍ࢢ৔ΛΈͯΈΑ͏ɽਤ 2.2 ͷԼʹࣔͨ͠Α͏ʹ౤ࢿՈಉ࢜ͷ‫ࣜג‬ͷసച͸औҾॴͰߦΘΕΔɽऔҾॴͰ‫ࣜג‬ΛऔҾͰ͖ΔΑ͏ʹ͢Δ͜ͱΛ্৔ͱΑͿͨΊɼ̎࣍

23

24

ୈ 2 ষ ۚ༥‫ڀݚ‬ͷ֓‫گ‬ࢢ৔͸্৔ࢢ৔ͱ΋Α͹ΕΔɽऔҾॴΛհͯ͠౤ࢿՈಉ͕͍࢜͘ΒͰചങ͍͔ͨ͠஫จͱ
͍͏‫Ͱܗ‬ද‫͢ݱ‬Δ͜ͱʹΑͬͯՁ֨ൃ‫͞ݱ࣮͕ݟ‬Εɼ౤ࢿՈ͕େ੎ࢀՃ͢Δ͜ͱʹΑΓసച͠΍͘͢ͳΓྲྀಈੑ͕ఏ‫͞ڙ‬ΕΔ*1 ɽ̎࣍ࢢ৔ʹ͓͍ͯ͸Ձ֨ൃ‫ݟ‬΋ྲྀಈੑ‫څڙ‬΋ɼऔҾॴΛհͯ͠͸͍Δ͕ɼ౤ࢿՈಉ࢜Ͱߦ͏ɽ΄ͱΜͲͷ̎࣍ࢢ৔Ͱ͸సച͚ͩΛ໨తʹ୹‫ࣜגͰؒظ‬Λ࢓ೖΕసച͢Δਓ͕͍Δɽ͜͜Ͱ͸͜͏͍͏ਓΛ౤‫ػ‬ՈͱΑͿ͜ͱʹ͢
Δ*2 ɽ౤‫ػ‬Ո͕ߴස౓ʹചങ͢Δ͜ͱʹΑΓɼ౤ࢿՈ͸͍ͭͰ΋సചͨ͠Γɼ͍ͭͰ΋౤ࢿΛ࢝ΊͨΓͰ͖Δɽ͔͠΋ɼ౤‫ػ‬Ոͷ‫ڝ‬૪͕ܹ͚͠Ε͹ܹ͍͠΄Ͳ௿͍ίετͰͷసച͕ՄೳͱͳΔɽ͜Ε͸ྫ͑͹த‫ݹ‬඼ͷങऔΓՁ֨ͱൢചՁ֨ͷ͕ࠩɼத‫ݹ‬඼औΓѻ͍‫ऀۀ‬ؒͷ‫ڝ‬૪͕ܹ͚͠Ε͹ܹ͍͠΄Ͳখ͘͞ͳΓɼ௿͍ίετͰௐୡɾసച͕Ͱ͖ΔΑ͏ʹͳΔ͜ͱͱࣅ͍ͯΔɽ͜ͷΑ͏ʹ౤‫ػ‬Ո͸ྲྀಈੑΛ‫͠څڙ‬ɼ౤ࢿՈ͸ͦͷྲྀಈੑΛ‫ڗ‬ड͍ͯ͠Δɽ
ͳ͓ɼ·Εʹɼ‫ࣜג‬Λ୹‫Ͱؒظ‬ചങΛ͓ͯۚ͠ΛՔ͙͜ͱ͸ΪϟϯϒϧΈ͍ͨͳ΋ͷͰࣾձͷ໾ʹશ͍ͨͬͯ͘ͳ͍ͱ‫͏ݴ‬ਓ͕͍Δ͕ɼ͜͜·Ͱগ͠௕Ίʹઆ໌ͨ͠Α͏ʹɼͦΜͳ͜ͱ͸ܾͯ͠ͳ͍ɽ൴Β͸ɼͨͱ͑൴Βࣗ਎͸ۚ໥͚ͷ͜ͱ͔͠ߟ͍͑ͯͳ͔ͬͨͱ
ͯ͠΋ɼ̎࣍ࢢ৔Ͱྲྀಈੑ‫ػ‬ೳΛ‫ࣜג͠څڙ‬ͷసചͷ௿ίετԽʹߩ‫͠ݙ‬ɼͦΕ͕̍࣍ࢢ৔΁ͷ౤ࢿՈͷࢀՃͷ༰қ͞Λ΋ͨΒ͠ɼ͞·͟·ͳ‫͕ۀا‬ੜ·ΕΔ͜ͱʹͭͳ͕͍ͬͯ
Δɽ൴Β͕͍ͳ͚Ε͹ɼ‫ۀا‬ͷࢿۚௐୡ͸΋ͬͱࠔ೉ͱͳΓɼਓྨ͕͜͜·Ͱ༷ʑͳࣄ‫ۀ‬ΛੜΈग़͢͜ͱ͸ܾͯ͠Ͱ͖ͳ͔ͬͨͰ͋Ζ͏ͱ͍ͬͯ΋‫Ͱ͍͗͢ݴ‬͸ͳ͍ɽ͜ͷΑ͏ʹɼۚ༥ࢢ৔ʹ͸Ձ֨ൃ‫ػݟ‬ೳͱྲྀಈੑ‫ػڅڙ‬ೳ͕͋Γɼ͜ΕΒʹΑͬͯࣾձʹՁ஋Λఏ‫͍ͯ͠ڙ‬Δɽຊ࿦จͰऔΓѻ͏ɼۚ༥ࢢ৔ͷࠞཚΛ๷͙‫੍ن‬ɾ੍౓ɼ͓ΑͼऔҾࢢ৔ؒͷ‫ڝ‬૪͸ɼ͜ΕΒͷ‫ػ‬ೳΛΑΓߴΊΔͨΊʹଘࡏɾߦΘΕ͍ͯΔ΋ͷͰ͋Γɼࣾձʹͱͬͯ‫ۃ‬Ίͯॏཁͳ࿦఺Ͱ͋Δ͜ͱΛ‫ڧ‬ௐ͓͖͍ͯͨ͠ɽ

*1 ̎࣍ࢢ৔ͷྲྀಈੑ͸ॏཁͳ‫ྖڀݚ‬ҬͰ͋ΓΑ͘‫͞ڀݚ‬Ε͍ͯΔ [ଠా 11]*2 ౤ࢿՈͱ౤‫ػ‬Ոͷఆٛ͸͞·͟·Ͱ͋Δ͕Ҏ‫͜ޙ‬ͷఆٛͰ࢖͏

25

2.2 ۚ༥ࢢ৔ͷࣾձత໾ׂ

䛂㔠⼥䛃㻌䛩䛠䛻䛚㔠䛜ᚲせ䛺ே䛸䠈䛧䜀䜙䛟౑䜟䛺䛔ே䜢䜐䛩䜆㻌㻭䛥䜣㻌㻌 ᫇኱ά㌍䛾⪁ே㻌㻌 䛚㔠䜢ከ䛟ᣢ䛳䛶䛔䜛㻌㻌 䛧䜀䜙䛟౑䛔㐨䛜䛺䛔㻌㻮䛥䜣㻌㻌 ᪂䛯䛻⁺ᴗ䜢ጞ䜑䛯䛔㻌㻌 㐨ල䜒䛚㔠䜒ᣢ䛳䛶䛔䛺䛔㻌㻌 యຊ䛸䝲䝹Ẽ䛿䛒䜛㻌᥈䛧䛶䛟䜛㻌

᥈䛧䛶䛟䜛㻌㻯䛥䜣㻌㻌 䛂㻮䛥䜣䛿௒䛚㔠䛜䛒䜜䜀䠈኱ά㌍䛧䜎䛩䜘䠊㻌㻌 㻌 㻭䛥䜣䠈䛭䛾䛧䜀䜙䛟౑䜟䛺䛔䛚㔠䠈ク䛧䛶䜏䜎䛫䜣䛛䠛䛃㻌㻭䛥䜣䛿”ศ䛡๓䇿䜢ཷ䛡ྲྀ䜚䠈㻮䛥䜣䛿ᨭᡶ䛖䠊䠟䛥䜣䛿ᑡ䛧ᡭᩘᩱ䜢䜒䜙䛖㻌䠟䛥䜣䞉䞉㔠⼥ᴗ⪅㻌
ਤ 2.1

ۚ༥ͷ໾ׂ

26

ୈ 2 ষ ۚ༥‫ڀݚ‬ͷ֓‫گ‬

䠍ḟᕷሙ㻌

ドๆ఍♫㻌
ᰴᘧ㻌

㻌
ᢞ㈨ᐙ㻌
㻌
䠎ḟᕷሙ㻌

㻌
௻ᴗ㻌
㻌

஦ᴗ㈨㔠㻌

㓄ᙜ䠄ศ䛡๓䠅㻌▷ᮇ㛫䛷௙ධ䜜䞉㌿኎㻌
ᢞᶵᐙ㻌

㈙䛖㻌
ᢞ㈨䜢ጞ䜑䛯䛔㻌
ᢞ㈨ᐙ㻌㓄ᙜ㻌䠄ศ䛡๓䠅㻌

௰௓㻌

ὶືᛶ㻌
ாཷ㻌

ὶືᛶ㻌
౪⤥㻌
㻌
ᰴᘧ㻌
㻌
㻌
౯᱁Ⓨぢ㻌
㻌
ྲྀᘬᡤ㻌

኎䜛㻌
ὶືᛶ㻌
ாཷ㻌

௻ᴗ㻌
ਤ 2.2

‫ࢢࣜג‬৔ʹ͓͚Δۚ༥ͷ‫ػ‬ೳᢞ㈨䜢䜔䜑䛯䛔㻌
ᢞ㈨ᐙ㻌

2.3 ޮ཰తࢢ৔Ծઆ

2.3 ޮ཰తࢢ৔Ծઆ
ۚ༥ࢢ৔ͷ‫ڀݚ‬͸ɼୈ 2.2 અͰड़΂ͨΑ͏ͳۚ༥ࢢ৔ʹ‫ظ‬଴͞ΕΔ‫ػ‬ೳ͔Βɼۚ༥ࢢ৔
ͷੑ࣭ʹؔ͢ΔԾઆΛཱͯɼͦͷԾઆʹ͍ͭͯ‫ݕ‬౼͢ΔͨΊͷ࣮ূ෼ੳΛߦ͏ͱ͍͏ΞϓϩʔνΛͱΔ͜ͱ͕ଟ͍ɽ෺ཧֶͳͲͰ͸࣮ূσʔλΛ‫͔ͯݟ‬ΒԾઆΛཱͯΔ৔߹͕ଟ͍
͕ɼͦ͏Ͱ͸ͳ͘ɼ·ͣԾઆΛཱ͔ͯͯΒͦΕΛ࣮ূ͢Δͱ͍͏ॱ൪͕ଟ͍ͷͰ͋Δɽͳ
͓ɼୈ 2.4 અͰड़΂ΔΑ͏ʹɼ࣮ূσʔλΛ‫͔ͯݟ‬ΒԾઆΛཱͯΔख๏Λͱͬͨ৔߹ɼۚ
༥޻ֶ΍‫ࡁܦ‬෺ཧֶͱΑ͹ΕΔ͜ͱ͕ଟ͍ɽ
ͦΕΒͷԾઆͷͳ͔Ͱɼ΋ͬͱ΋੝Μʹٞ࿦͞Ε͍ͯΔ΋ͷ͕ޮ཰తࢢ৔Ծઆ [Malkiel70] Ͱ͋Δɽୈ 2.2 અͰड़΂ͨΑ͏ʹɼͦ΋ͦ΋ۚ༥ࢢ৔͸ɼࢢ৔ࢀՃऀͨͪͷऔҾΛ௨ͯ͡ϑΝϯμϝϯλϧՁ֨Λൃ‫͢ݟ‬ΔɼՁ֨ൃ‫ػݟ‬ೳΛ࣋ͭ͜ͱ͕‫ظ‬଴͞Ε͓ͯΓɼͦͷͨΊɼϑΝϯμϝϯλϧՁ͔֨Βେ͖͘ဃ཭͍ͯ͠ͳ͍Ձ֨ͰऔҾ͞ΕΔ͜ͱ͕‫ظ‬଴͞Ε͍ͯΔɽͦΕ͕ୡ੒͞Εͨঢ়ଶΛޮ཰ੑ͕ߴ͍ͱΑͿɽޮ཰తࢢ৔Ծઆ͸ɼ࣮ࡍͷۚ༥ࢢ৔ͷޮ཰ੑ͕ߴ͍ঢ়ଶͰҡ࣋͞Ε͍ͯΔͱ͍͏ԾઆͰ͋Δɽޮ཰తࢢ৔Ծઆ͸ɼ‫ʹޙ‬ड़΂ΔΑ͏ʹɼۚ༥ࢢ৔ͷޮ཰ੑ΍ΞϊϚϦʔͱ͍ͬͨՁ֨‫ܗ‬੒ͷੑ࣭ͷٞ࿦ΛਂΊ͚ͨͩͰͳ͘ɼۚ༥޻ֶ͕࡞Γग़ͨ͠ϚΫϩϞσϧͷ୯७ͳ৔߹ͷԾఆͱͯ͠ଟ͘࢖ΘΕΔͳͲɼ
େ͖ͳߩ‫ݙ‬Λͨ͠ɽҰํͰɼଟ͘ͷ൷൑΋͋Δ*3 ɽ
ਤ 2.3 ͸ϑΝϯμϝϯλϧՁ֨ͱࢢ৔Ձ֨ʢ‫ג‬Ձʣͷ࣌ؒਪҠͷ໛ࣜਤͰ͋Δɽ͜͜Ͱ͸‫ࣜג‬Λྫʹઆ໌͢Δ͕ɼଞͷࢿ࢈ʢ࠴݊΍ෆಈ࢈ɼ·ͨ͸ۚͳͲͷ঎඼΋‫ؚ‬Ίࢢ৔औҾ͞ΕΔ΋ͷશͯʣͰ΋ɼຊ࣭తʹ͸ಉ͡ߟ͑ํΛ͢Δɽ‫ࣜג‬ͷՁ֨ʢ‫ג‬Ձʣʷશ‫਺ࣜג‬ʢൃߦࡁ‫਺ࣜג‬ʣ͸࣌Ձ૯ֹͱΑ͹Εɼ͜Ε͕ࢢ৔Ձ֨ʢࢢ৔Ͱଌఆ͞Εͨ‫ۀا‬ͷՁ஋ʣͰ͋Δɽ·ͨɼࢢ৔Ձ֨͸ผʹ͸ϑΝϯμϝϯλϧՁ͕֨ଘࡏ͢Δͱߟ͑ɼ 1 ࣌ؒ΍ 1 ෼ͱ͍ͬͨ‫׆ۀا‬ಈͷ࣌ؒ࣠ʹൺ΂ͯ୹͍࣌ؒ࣠Ͱ͸ಈ͔ͳ͍ͱߟ͑ΒΕ͍ͯΔɽҰํɼࢢ৔Ձ֨͸‫׆ۀا‬ಈͱ͸ؔ܎ͳ͘ɼࢢ৔ʢऔҾॴͳͲʣʹ͓͍ͯͱͯ΋୹͍࣌ؒͰมಈ͢
Δɽޮ཰తࢢ৔ԾઆͰ͸ɼϑΝϯμϝϯλϧՁ֨ͱࢢ৔Ձ֨ͷࠩΛϊΠζͱߟ͑Δɽͦ͠
ͯ߹ཧతͳ౤ࢿՈͱ͍͏΋ͷΛఆٛ͠ɼ߹ཧతͳ౤ࢿՈ͸ϑΝϯμϝϯλϧՁ֨Λ߹ཧతʹଌఆͰ͖ɼࢢ৔Ձ͕֨ϑΝϯμϝϯλϧՁ֨ΑΓߴ͍ͱ͖ʹചΓɼ‫ࢢʹٯ‬৔Ձ͕֨ϑΝϯμϝϯλϧՁ֨ΑΓ͍҆ͱ͖ʹങ͏͜ͱͰɼऩӹΛಘΑ͏ͱ͢Δɽ[Malkiel 70] ͸ɼޮ཰ੑͷ౓߹͍Λ̏ͭͷஈ֊ʹ෼ྨ͠ɼ࣮ࡍͷۚ༥ࢢ৔͕Ͳͷஈ֊ͷޮ཰ੑΛ࣋ͭͷ͔Λ࣮ূ෼ੳ͢Δ͜ͱ͕ɼۚ༥ࢢ৔‫ڀݚ‬ͷ̍ͭͷେ͖ͳςʔϚͱͳͬͨɽ̏ͭͷஈ֊ͱ͸‫ॱ͍ڧ‬ʹɼ‫౓ڧ‬ͷޮ཰ੑ (Strong Form)ɼ४‫౓ڧ‬ͷޮ཰ੑ (Semi-strong Form)ɼऑ౓ͷޮ཰ੑ*3 ୅දతͳ൷൑ͷྫͱͯ͠ [Shiller 00]ɽͳ͓ɼ[Shiller 00] ͷஶऀɼϩόʔτɾγϥʔ͸ޮ཰తࢢ৔Ծઆ

Λএ͑ͨϢʔδϯɾϑΝʔϚ ( [Malkiel 70] ͷୈ̎ஶऀ) ͱಉ͡ 2013 ೥ʹϊʔϕϧ‫ֶࡁܦ‬৆Λड৆ͨ͜͠ͱ͔Β΋ɼޮ཰తࢢ৔Ծઆ͸େ͖ͳޭ੷͕͋Δͱͱ΋ʹɼଟ͘ͷ൷൑͕͋Δ͜ͱ΋෼͔Δɽ

27

28

ୈ 2 ষ ۚ༥‫ڀݚ‬ͷ֓‫گ‬(Weak Form) Ͱ͋Δɽ‫౓ڧ‬ͷޮ཰ੑͰ͸ɼ͍͔ͳΔ৘ใΛ༻͍ͯ΋ऩӹΛ্͛ΒΕͳ͍ͱ͍͏΋ͷͰ͋Δɽ‫ܦ‬ӦऀͳͲͷ‫ۀا‬ͷ಺෦ͷ΋ͷ͔͠஌Γ͑ͣɼ͔ͭ‫׆ۀا‬ಈʹॏେͳӨ‫ڹ‬Λ‫͢΅ٴ‬Α͏ͳ৘ใΛ৘ใ͸ΠϯαΠμʔ৘ใͱΑͿɽΠϯαΠμʔ৘ใΛ༻͍ͨ‫ࣜג‬ͷऔҾ͸ɼ৘ใͷඇରশੑΛ༻͍ͨෆެਖ਼ͳ঎औҾͩͱͯ͠ɼ೔ຊΛ‫ؚ‬Ήଟ͘ͷࠃʹ͓͍ͯ๏཯Ͱ‫͞ࢭې‬Ε͍ͯΔɽ‫౓ڧ‬ͷޮ཰ੑΛ࣋ͭࢢ৔Ͱ͸ɼ߹ཧతͳ౤ࢿՈ͸͜ͷΑ͏ͳΠϯαΠμʔ৘ใΛ΋ৗʹॠ࣌ʹ೺Ѳͯ͠ϑΝϯμϝϯλϧՁ֨Λਖ਼֬ʹࢉग़Ͱ͖͍ͯΔ͜ͱͱͳΔɽ࣮ࡍʹ͸ΠϯαΠμʔ৘ใͷެ։௚‫ࢢʹޙ‬৔Ձ͕֨‫ٸ‬ม͢Δ͜ͱ͕ଟ͘‫؍‬ଌ͞Ε͍ͯΔͨΊɼ͜ͷ‫౓ڧ‬ͷޮ཰ੑ͸੒ཱ͍ͯ͠ͳ͍ͱߟ͑ΒΕ͍ͯΔ͜ͱ͕ଟ͍ɽ࣮ࡍɼΠϯαΠμʔ৘ใΛ༻͍ͨҧ๏ͳऔҾͰҧ๏ͳऩӹΛಘΔࣄ݅͸‫ޙ‬Λઈͨͣ [‫ ࡚ٶ‬13]ɼ͜ͷ͜ͱ͔Β΋‫౓ڧ‬ͷޮ཰ੑ͕੒ཱ͍ͯ͠Δͱ͸ߟ͑ʹ͍͘ɽ४‫౓ڧ‬ͷޮ཰ੑͰ͸ɼΠϯαΠμʔ৘ใΛআ͘ެ։͞Εͨ৘ใΛ༻͍ͯ΋ऩӹΛ্͛ΒΕͳ͍ͱ͍͏΋ͷͰ͋Δɽ͜ͷޮ཰ੑͷ΋ͱͰ͸ɼ͍͘Βͦͷ‫ۀا‬ͷ‫׆‬ಈΛ෼ੳ͠ɼऩӹΛ༧૝ͨ͠ͱͯ͠΋ɼͦΕΒͷ৘ใ͸ଞͷ߹ཧతͳ౤ࢿՈ͸͢Ͱʹ͢΂ͯ஌͓ͬͯΓɼ͢Ͱʹࢢ৔Ձ֨͸ϑΝϯμϝϯλϧՁ֨ʹऩଋ͍ͯ͠ΔͨΊɼऩӹ͕ಘΒΕͳ͍ͱ͍͏΋ͷ
Ͱ͋Δɽ४‫౓ڧ‬ͷޮ཰ੑ͸੒ཱ͍ͯ͠Δͱ͢Δ‫ڀݚ‬΋͋Δ͕ɼ[Fama 92] ʹ͓͍ͯɼ࣌Ձ
૯ֹͷઈରֹ͕ۚൺֱతখ͍͞‫ۀا‬΍ɼࣗ‫ࢿݾ‬ຊʹൺ΂࣌Ձ૯ֹ͕খ͍͞‫͕ۀا‬ɼͦͷ‫ޙ‬ͷࢢ৔Ձ֨ͷ্ঢ͕ଞͷ‫ʹۀا‬ൺ΂౷‫ܭ‬తʹ༗ҙʹେ͖͔ͬͨ͜ͱ͕ࣔ͞Εͨ͜ͱͳͲ͔
Βɼ४‫౓ڧ‬ͷޮ཰ੑ΋੒ཱ͍ͯ͠ͳ͍ͱ͢Δओு΋ଟ͍ɽ͜ΕΒͷΑ͏ͳൺֱత୯७ͳ਺
஋Λ༻͍ͯɼࢢ৔Ձ֨ͷ্ঢ͕ൺֱతେ͖͍‫ۀا‬Λબ΂Δ͜ͱΛΞϊϚϦʔͱΑͿ৔߹
͕͋ΔɽΞϊϚϦʔ͕ͳͥൃੜ͢Δͷ͔Λٞ࿦͢Δ‫ڀݚ‬΋ଟ͍ɽͨͱ͑͹ɼ࣌Ձ૯ֹ͕
খ͍͞ձࣾ͸ձࣾͷ‫ن‬໛͕খ͍͞ͷͰ౗࢈ͷ֬཰͕ൺֱతߴ͘ϦεΫ͕ߴ͍ͨΊɼͦͷϦεΫͷ‫ݟ‬ฦΓʹ‫ࣜג‬౤ࢿʹΑΔऩӹ͕ಘΒΕΔɼͱ͍͏ղऍ͕ͳ͞ΕͨΓ͢Δ [Fama92, Carhart 97]ɽͦͯ͠ɼϦεΫ͋ͨΓͷ౤ࢿऩӹͱ͍͏ҙຯͰ͸ɼͨͱ͑ΞϊϚϦʔ͕͋ͬͨͱͯ͠΋४‫౓ڧ‬ͷޮ཰ੑ͕੒ཱ͍ͯ͠Δͱ͍͏ٞ࿦΋͋Δɽ
ऑ౓ͷޮ཰ੑͰ͸ɼա‫ڈ‬ͷࢢ৔Ձ͔֨Βະདྷͷࢢ৔Ձ֨Λ༧ଌͰ͖ͳ͍ͱ͍͏΋ͷͰ͋Δɽա‫ڈ‬ͷࢢ৔Ձ֨ͷਪҠΛ෼ੳͯ͠ऩӹΛಘΑ͏ͱ͢ΔઓུΛςΫχΧϧઓུʢνϟʔτઓུʣͱΑ͹ΕΔɽऑ౓ͷޮ཰ੑͰ͸ɼςΫχΧϧઓུ͸‫ػ‬ೳ͠ͳ͍ɽ͍ͬΆ͏ɼ‫ۀا‬‫׆‬ಈΛௐ΂ɼ‫ۀا‬ऩӹΛ༧ଌ͠ϑΝϯμϝϯλϧՁ֨Λ‫ܭ‬ଌͯ͠ɼࢢ৔Ձ֨ͱͷࠩΛ౤ࢿऩӹͷ‫ػ‬ձͱ͢ΔϑΝϯμϝϯλϧઓུ͸‫ػ‬ೳ͢Δɽऑ౓ͷޮ཰ੑͷ΋ͱͰ͸ɼ߹ཧతͳ
౤ࢿՈ͸ϑΝϯμϝϯλϧઓུΛ༻͍ͯ౤ࢿऩӹΛ্͛ɼςΫχΧϧઓུΛ༻͍ͨ౤ࢿՈ
͸౤ࢿऩӹΛ্͛ΒΕͳ͍ͨΊɼ͕࣌ؒͨͯ͹ɼςΫχΧϧઓུΛͱΔ౤ࢿՈ͸‫ͯͬݮ‬͍͖ɼ߹ཧతͳ౤ࢿՈ͕૿͍͑ͯ͘ͱߟ͑Δ‫ڀݚ‬΋͋Δ [Friedman 53]ɽ[Carhart 97] Ͱ͸ɼա‫ ڈ‬1 ೥ؒͷ‫ג‬Ձ͕ൺֱత্ঢͨ͠‫ۀا‬͸ɼͦͷ‫ޙ‬΋‫ג‬Ձ͕ൺֱత্ঢ͍ͯͨ͜͠
ͱΛ‫͚ͨͭݟ‬ɽ͜ΕΛ΋ͬͯɼऑ౓ͷޮ཰ੑ͸੒ཱ͍ͯ͠ͳ͍ͱ͢Δٞ࿦΋͋Δ͕ɼҰํ

2.3 ޮ཰తࢢ৔Ծઆ
Ͱɼ͜ͷΞϊϚϦʔ΋ɼϑΝϯμϝϯλϧՁ֨ͷมԽʹରͯ͠ࢢ৔Ձ͕֨ͦΕʹۙͮ͘ͷʹ͕͔͔࣌ؒΔͨΊɼऑ౓ͷޮ཰ੑ͸੒ཱ͍ͯ͠Δͱ͍͏ٞ࿦΋͋Δɽͦͷଞʹ΋ΞϊϚϦʔ͸ଟ਺ൃ‫͞ݟ‬Ε͍ͯΔɽͨͱ͑͹ɼ[Lev 96, Chan 01] Ͱ͸ઃඋ౤ࢿΛଟ͍ͯ͘͠Δ‫ۀا‬͸‫ג‬Ձ͕ൺֱత্ঢ͍ͯͨ͜͠ͱΛใࠂ͍ͯ͠Δɽ͜ͷΑ͏ʹΞϊϚϦʔ͕ൃ‫͞ݟ‬ΕΔͨͼʹɼޮ཰ੑ่͕Εͨͱ͍͏ҙ‫ͱݟ‬ɼϦεΫ͕ߴ͍͔Β (ϦεΫϓϨϛΞϜ͕͋Δɼͱ͍͏ද‫ݱ‬Λ͢Δ͜ͱ΋͋Δ) ϦεΫ͋ͨΓϦλʔϯͰ͸ޮ཰ੑ͸ഁΕ͍ͯͳ͍ɼͱ͔ɼࢢ৔Ձ͕֨ϑΝϯμϝϯλϧՁ֨ʹۙͮ࣌ؒ͘Λߟྀ͢Δͱޮ཰ੑ͸ഁΕ͍ͯͳ͍ͳͲͷҙ‫ݱ͕ݟ‬Εɼٞ࿦͕ଓ͍͍ͯΔɽ͜ͷΑ͏ʹଘࡏ͢Δͱ෼ੳ͞ΕͨΞϊϚϦʔ͕ɼ਺೥‫ޙ‬ͷࢢ৔Ձ֨ͷσʔλΛ༻͍ͯ෼ੳ͢Δͱ‫ٯ‬ͷ݁ՌͱͳΔ͜ͱ΋গͳ͘ͳ͘ɼΞϊϚϦʔ୳͠ͷ‫ʹڀݚ‬ର͢Δ൷൑ͱͳ͍ͬͯΔɽ࣮ࡍʹޮ཰తࢢ৔Ծઆͷߟ͑ํͰઆ໌ͮ͠Β͍‫ݱ‬৅ͷྫͱͯ͠ɼόϒϧͱΞϯμʔγϡʔτͷྫ͕‫͛ڍ‬ΒΕΔɽޮ཰తࢢ৔Ծઆ΁ͷ൷൑ͱͯ͠ɼόϒϧ͸௕‫ʹؒظ‬Θͨͬͯࢢ৔Ձ͕֨ϑΝϯμϝϯλϧՁ֨Λେ্͖͘ճΔঢ়ଶ͕ଓ͍͓ͯΓɼ߹ཧతͳ౤ࢿՈ
͕ࢧ഑తͳΒ͜ͷΑ͏ͳՁ֨ͰऔҾ͞Εͳ͍͸ͣͰ͋Δɼͱ͍͏΋ͷ͕͋Δ [Bradford

90, Shiller 00, Shiller 02, Soros 03, Allen 06, ޿ా 09]ɽޮ཰తࢢ৔ԾઆΛࢧ࣋͢ΔਓͨͪͷதͰ΋ɼͦ΋ͦ΋όϒϧͷଘࡏΛೝΊͳ͍ɼ͢ͳΘͪɼϑΝϯμϝϯλϧՁ֨΋্ঢ͠
͍ͯΔ͔Β໰୊ͳ͍ͱओு͢Δਓͨͪͱɼਤ 2.4 ͷΑ͏ʹɼόϒϧ࣌͸ࢢ৔Ձ͕֨ϑΝϯμϝϯλϧՁ֨Λେ্͖͘ճΔঢ়ଶ͕ଓ͍͍ͯΔ͜ͱΛೝΊͭͭ΋ɼ௕‫ؒظ‬ϊΠζʹΑͬͯɼͭ·Γ߹ཧతͰͳ͍ແೳͳτϨʔμʔ͚͕ͨͪͩऔҾ͍ͯ͠Δঢ়ଶͰ͋Δͱઆ໌͢Δ
ਓͨͪʹ෼͔Ε͍ͯΔɽ͔͠͠ɼޮ཰తࢢ৔Ծઆ͕൱ఆ͍ͯ͠ΔςΫχΧϧ౤ࢿՈͷ૿ՃʹΑͬͯՁ্֨ঢʢԼམʣ͕ॿ௕͞Ε͍ͯΔͱߟ͑Δ΄͏͕આ໌͠΍͍͢ͱ͍͏ओு͕͋
Γɼ͜ΕΛࢧ࣋͢Δ࣮ূ෼ੳ΋͋Δ [Frankel 90, ࢁຊ 11, Yamamoto 13]ɽ
ਤ 2.5 Ͱ͸ɼࢢ৔Ձ͕֨େ͖͘Լམͨ͋͠ͱɼ্ঢ͢Δ͜ͱ͕༗ҙʹଟ͍͜ͱ [Bremer

91, Bremer 97, Benou 03] Λޮ཰తࢢ৔Ծઆ͕ͲͷΑ͏ʹղऍ͍ͯ͠Δ͔Λਤࣔͨ͠΋ͷ
Ͱ͋Δɽࢢ৔Ձ֨ͷେ͖ͳԼམ͸ɼྫ͑͹‫ۀا‬ͷอ༗ࢿ࢈͕ఱࡂʹΑΓେ‫ن‬໛ʹফࣦͨ͠৔߹ͳͲɼ୹࣌ؒͰ໌Β͔ʹϑΝϯμϝϯλϧՁ֨Λ‫غ‬ଛ͠ϑΝϯμϝϯλϧՁ֨ͷ‫ٸ‬མʹΑͬͯ΋ͨΒ͞ΕΔͱߟ͑ΔɽϑΝϯμϝϯλϧՁ֨ͷ‫ٸ‬མ‫ޙ‬͸ɼϑΝϯμϝϯλϧՁ্͕֨ঢ͠΍͘͢ɼ͜ͷΑ͏ͳ‫ݱ‬৅͕͓͖Δͱઆ໌͞ΕΔʢਤ 2.5 ࠨʣɽҰํɼςΫχΧϧ౤ࢿՈͷ૿ՃΛԾఆ͠ɼϑΝϯμϝϯλϧՁ֨ͷ‫ٸ‬མ͕̍౓͚͓͖ͩͦͷ‫ޙ‬ͷϑΝϯμ
ϝϯλϧՁ֨͸ҰఆͰ͋Γɼࢢ৔Ձ֨‫ٸ‬མ࣌ʹ͸ςΫχΧϧ౤ࢿՈ͕૿Ճ͠ϑΝϯμϝϯ
λϧՁ֨ΛԼճΔͱ͜Ζ·ͰՁ͕֨Լམ͠ɼԼམ‫ޙ‬ͷϑΝϯμϝϯλϧՁ֨΁ࢢ৔Ձ͕֨໭ͬͯ͘Δɼ͍Θ͍ΔΞϯμʔγϡʔτͰ͋Δͱߟ͑ͨ΄͏͕આ໌͠΍͍͢ʢਤ 2.5 ӈʣͱ͍͏ओு΋͋Δɽ‫ޙ‬ͷষͰड़΂ΔΑ͏ʹ‫ऀޙ‬ͷߟ͑ํͳΒ͹ɼਓ޻ࢢ৔‫͍͓ͯʹڀݚ‬΋࠶‫͞ͳ͕ݱ‬Ε͍ͯΔ [Yagi 12b, Mizuta 13f]ɽ
ຊ࿦จͰ͸ɼޮ཰తࢢ৔ԾઆΑΓ΋આ໌͠΍͍͢Ծఆʹ‫͍ͯͮج‬ਓ޻ࢢ৔ϞσϧΛߏங

29

30

ୈ 2 ষ ۚ༥‫ڀݚ‬ͷ֓‫گ‬͢Δɽͦͯ͠ɼۚ༥ࢢ৔ͷ࣮຿Ͱٞ࿦ͱͳ͍ͬͯΔɼ֤छͷ‫੍ن‬ɾ੍౓ɼ͓Αͼࢢ৔෼அԽͷ෼ੳΛߦ͍ɼऔҾ੍౓΍‫੍ن‬ͷมߋʹؔ͢ΔҙࢥܾఆΛࢧԉ͢Δ͜ͱΛ࠷େͷ໨తͱ
͢Δɽͳ͓ɼ౤ࢿͷ࣮຿ՈͷؒͰ͸ɼޮ཰తࢢ৔Ծઆ͕̍ͭͷ஋͔͠ଘࡏ͠ͳ͍ͱԾఆ͢Δ
ϑΝϯμϝϯλϧՁ֨͸ɼ౤ࢿՈ͝ͱʹͦͷ༧૝஋͕େ͖͘ҟͳΓ͔ͳΓͷ෯͕͋Δͱߟ͑ΒΕ͍ͯΔ [Frankel 90, Allen 90]ɽ·ͨɼ౤ࢿՈ͝ͱͷ౤ࢿ໨త΍อ༗ࢿۚͳͲʹΑΓͦͷ౤ࢿՈʹͱͬͯͷϑΝϯμϝϯλϧՁ͕֨ɼͭ·Γɼͦͷ‫ۀا‬Λอ༗͢ΔՁ஋͕ɼҟͳΔͱ΋ߟ͑ΒΕ͍ͯΔɽ·ͨϑΝϯυͷӡ༻ऀͰ͋Δδϣʔδɾιϩε͸ɼϑΝϯμϝ
ϯλϧՁ֨͸ࢢ৔Ձ֨ͷؔ਺ͱͳ͍ͬͯΔ৔߹͕͋Γɼࢢ৔Ձ֨ͷ্ঢʹΑͬͯϑΝϯμϝϯλϧՁ্͕֨ঢ͢ΔΑ͏ͳ‫ۀا‬ͷ৔߹ɼࢢ৔Ձ֨ͷ্ঢˠϑΝϯμϝϯλϧՁ֨ͷ্ঢˠࢢ৔Ձ֨ͷ্ঢˠɼɼɼͱ͍ͬͨɼϙδςΟϒɾϑΟʔυόοΫʢιϩε͸ࣗ‫ڧݾ‬ԽϓϩηεͱΑΜͩʣ͕ൃੜ͢Δͱओுͨ͠ [Soros 03]ɽ͜ͷΑ͏ʹ౤ࢿͷ࣮຿ՈͷؒͰ͸ɼޮ཰తࢢ৔Ծઆͷߟ͑ํ͸શ໘తʹड͚ೖΕΒΕ͍ͯΔͱ͸‫͍͕͍ͨݴ‬ɽͱ͸͍͑࣍અͰ
ड़΂Δɼ࣮຿Ո΋ଟ͘༻͍Δۚ༥޻ֶͷՁ֨มಈϞσϧ͸ɼՁ֨มಈϞσϧͷ୯७ͳ৔߹
ͱͯ͠ޮ཰తࢢ৔ԾઆΛ༻͍Δ͜ͱ͕ଟ͘ɼ࣮຿Ո΋ޮ཰తࢢ৔Ծઆͷߩ‫ݙ‬ͷԸ‫ܙ‬Λड͚
͍ͯΔɽ

31

2.3 ޮ཰తࢢ৔Ծઆ

䝜䜲䝈䝣䜯䞁䝎䝯䞁䝍䝹౯᱁

ᕷሙ౯᱁
䠄ᰴ౯䠅
᫬㛫
ਤ 2.3

ޮ཰తࢢ৔ԾઆʹΑΔϑΝϯμϝϯλϧՁ֨ͱࢢ৔Ձ֨ʢ‫ג‬Ձʣͷؔ܎ɽ

32

ୈ 2 ষ ۚ༥‫ڀݚ‬ͷ֓‫گ‬

䝜䜲䝈

ᕷሙ౯᱁
䠄ᰴ౯䠅
䝣䜯䞁䝎䝯䞁䝍䝹౯᱁ਤ 2.4ޮ཰తࢢ৔ԾઆͰ͸આ໌ͮ͠Β͍Ձ֨ਪҠͷྫͱͯ͠ɼόϒϧ‫ݱ‬৅ɽ੺͍ઢ͸ϑΝϯμϝϯλϧՁ֨ɽ௕‫ʹؒظ‬ΘͨͬͯϑΝϯμϝϯλϧՁ֨Λେ্͖͘ճΔՁ֨ͰऔҾ͞ΕΔͱղऍ͢Δɽ

33

2.3 ޮ཰తࢢ৔Ծઆ

䝣䜯䞁䝎䝯䞁䝍䝹౯᱁䝣䜯䞁䝎䝯䞁䝍䝹౯᱁

ᕷሙ౯᱁
䠄ᰴ౯䠅
ਤ 2.5

ᕷሙ౯᱁
䠄ᰴ౯䠅

䜰䞁䝎䞊䝅䝳䞊䝖

ޮ཰తࢢ৔ԾઆͰ͸આ໌ͮ͠Β͍Ձ֨ਪҠͷྫͱͯ͠ɼΞϯμʔγϡʔτ‫ݱ‬৅ɽ੺͍ઢ͸ϑΝϯμϝϯλϧՁ֨ɽ୹࣌ؒͰେ͖͘Լམͨ͠ࡍϦό΢ϯυ͕ଟ͘‫؍‬ଌ͞ΕΔɽʢࠨʣޮ཰తࢢ৔ԾઆͰ͸ϑΝϯμϝϯλϧՁ͕֨‫ٸ‬མͨ͠‫ޙ‬ɼ্ঢ͠΍͍͢ͱղऍ͢Δɽ(ӈ) ଞͷઆ໌ͱͯ͠ɼϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌͸ɼࢢ৔Ձ͕֨‫ٸ‬མ‫ޙ‬ͷϑΝϯμϝϯλϧՁ֨ΑΓ΋͞ΒʹԼམ͢Δͱ͍͏ɼΞϯμʔγϡʔτ͕͓͖ɼͦ
ͷ‫ޙ‬ͷ্ঢ͸‫ٸ‬མ‫ޙ‬ͷϑΝϯμϝϯλϧՁ֨ʹ໭Δͱ͍͏΋ͷ͕͋Γɼͪ͜Βͷ΄͏͕ࣗવͳઆ໌Ͱ͋Δͱ͍͏ओு͕͋Δɽ

34

ୈ 2 ষ ۚ༥‫ڀݚ‬ͷ֓‫گ‬

2.4 ۚ༥ࢢ৔ͷ࣮ূతϞσϧ (ۚ༥޻ֶͱ‫ࡁܦ‬෺ཧ)ۚ༥޻ֶ͸ɼ౤ࢿͷ࣮຿Ոͷཁ๬ʹԠͨ͡ɼ࣮຿ʹ࢖͑ΔϞσϧͷఏ‫ڙ‬Λߦ͍ͬͯΔɽ͜͜Ͱ͸ɼࢢ৔Ձ֨ͷมಈཧ༝ͳͲΛղ໌͢Δͱ͍ͬͨ͜ͱͰ͸ͳ͘ɼ࣮຿Ո͕౤ࢿΛߦ͏ࡍʹ࢖͑ΔϦεΫ؅ཧͷಓ۩ͱͯ͠ൃల͖ͯͨ͠໘͕େ͖͍ɽϞσϧΛઌʹ࡞ΓɼͦΕ͕࣮ࡍʹ౰ͯ͸·Δ͔Ͳ͏͔Λ‫ݕ‬౼͢ΔͷͰ͸ͳ͘ɼ෺ཧֶͳͲͷଟ͘ͷ৔߹ͱಉ༷ʹɼ࣮ূσʔλͷ෼ੳΛߦ͍ɼͦΕΛද͢ϞσϧΛ࡞Δͱ͍͏ΞϓϩʔνΛͱΔɽͦͷࡍɼ౤ࢿՈ͸ͲͷΑ͏ͳ౤ࢿΛ͍ͯ͠Δ͔ͱ͔ɼͳͥͦͷΑ͏ͳՁ֨มಈʹͳΔͷ͔ɼͳͲ͸໰Θͣɼࢢ৔Ձ֨ͷมಈͦͷ΋ͷΛϞσϧԽ͢Δɽͭ·Γɼ౤ࢿՈߦಈͱ͍ͬͨϛΫϩϓϩ
ηε͸औΓѻΘͣɼͦͷ݁ՌͷੵΈॏͶͰ͋ΔϚΫϩྔͰ͋Δࢢ৔Ձ֨Λ௚઀ϞσϧԽ͢Δɽ
ୈ 2.3 અͰड़΂ͨଟ͘ͷ৔߹ͷۚ༥ࢢ৔‫ͱڀݚ‬ൺ΂ɼ͜ͷΑ͏ͳΞϓϩʔνͷҧ͍͕͋ΔͨΊɼۚ༥޻ֶͱผͷֶ໰ྖҬͰ͋Δ͔ͷΑ͏ͳ໊લͰΑ͹Ε͍ͯΔɽ͜ͷΑ͏ʹಉۚ͡༥ࢢ৔Λର৅ʹͨ͠‫ڀݚ‬෼໺Ͱ͋ͬͯ΋Ξϓϩʔν͕ҧ͏৔߹͸ɼผͷֶ໰ྖҬͰ͋Δ
͔ͷΑ͏ͳ໊લ͕͚ͭΒΕ͍ͯΔɽۚ༥޻ֶҎ֎ʹ΋ɼ࣍ʹड़΂Δ‫ࡁܦ‬෺ཧֶ΍ɼୈ 2.5
અͰ঺հ͢Δɼߦಈ‫ֶࡁܦ‬ɼ࣮‫໊͍ͨͬͱֶࡁܦݧ‬শ͕͋Δɽ͜Ε͸ྫ͑͹ɼ෺࣭ͷ‫ࢹڊ‬తͳੑ࣭Λ‫ڀݚ‬ର৅ʹ͍ͯ͠Δ෺ੑ෺ཧֶ͕ɼཧ࿦ɼ࣮‫ݧ‬ɼγϛϡϨʔγϣϯͱख๏͕ҟͳ͍ͬͯͯ΋ɼ·ͨɼྔࢠྗֶͷ஌‫ݟ‬ΛੵΈ্͛Δߟ͑ํͰ࡞ΒΕͨཧ࿦Ͱ΋ɼ‫ݧܦ‬ଇ͔Β‫ࢹڊ‬తͳৼΔ෣͍Λ‫ه‬ड़͢Δߟ͑ํͰ͋ͬͯ΋ಉ͡ɼ෺ੑ෺ཧֶͱΑ͹ΕΔͷͱ͸ɼେ͖͘ҟͳΔɽ
‫ࡁܦ‬෺ཧֶ͸ɼࢢ৔Ձ֨ͷ౷‫ܭ‬తੑ࣭Λ໌Β͔ʹ͠ϞσϧԽ͠Α͏ͱ͢Δ‫͕ڀݚ‬ଟ͍ʢྫ͑͹ [Sato 12]ʣɽ·ͨɼ‫ࡁܦ‬෺ཧֶͷҰ෦Ͱ͸ɼΤʔδΣϯτɾϕʔεɾγϛϡϨʔγϣϯΛ༻͍ͯɼ౷‫ܭ‬తͳࢢ৔Ձ֨ͷ౷‫ܭ‬తੑ࣭Λઆ໌͢Δ࠷খ‫ݶ‬ͷϛΫϩϓϩηεΛ௥‫͢ٻ‬Δ‫ڀݚ‬෼໺΋͋Γ [ࢁా 11, Yamada 09]ɼͪ͜Βʹؔͯ͠͸޿͍ҙຯͰͷਓ޻ࢢ৔‫ݚ‬‫͍͑ͱڀ‬ΔͰ͋Ζ͏͠ɼਓ޻ࢢ৔‫ڀݚ‬͸‫ࡁܦ‬෺ཧֶͰ͋Δͱ͍͏ଊ͑ํ΋͋Δɽ͍ͣΕʹͤΑɼ͜ΕΒͷ໊শͷྖҬ͸໌֬ͳ΋ͷͰ͸ͳ͍ɽͯ͞ɼۚ༥޻ֶͰ༗໊ͳϞσϧͱͯ͠ GARCH Ϟσϧ͕͋Δ [Bollerslev 86]ɽGARCH
ϞσϧͰ͸ɼ࣌ࠁ t ʹ͓͚Δࢢ৔Ձ֨ͷಅམ཰ ut ΛҎԼͷΑ͏ʹ͋ΒΘ͢ɽ

ut = σ t  t(2.1)͜͜Ͱɼt ͸ਖ਼‫ن‬෼෍ཚ਺ɼσt ͸ɼ

σt2 = α0 +

q

i=1

αi u2t−i +p2
βi σt−i

(2.2)

i=1

Ͱ͋Δɽ࣮ࡍͷۚ༥ࢢ৔ͷσʔλΛ༻͍࣮ͨূ‫ʹڀݚ‬Αͬͯɼαi ɼβi Λ‫ٻ‬ΊΔͱ༗ҙʹਖ਼

35

2.4 ۚ༥ࢢ৔ͷ࣮ূతϞσϧ (ۚ༥޻ֶͱ‫ࡁܦ‬෺ཧ)
Ͱ͋Δ͜ͱ͕෼͔ͬͨɽσt ͸ࢢ৔Ձ֨ͷಅམ཰ ut ͷ̍ඪ४ภࠩΛࣔ͢΋ͷͰ͋ΓɼϘϥςΟϦςΟͱΑ͹ΕΔɽϘϥςΟϦςΟ͸ࢢ৔Ձ֨ͷมԽͷେ͖͞ΛਤΔई౓ͱ࣮ͯ͠຿తʹΑ͘༻͍ΒΕΔɽ
ͦͷϘϥςΟϦςΟ͕ఆ਺Ͱͳ࣌ؒ͘ʹґଘ͠ɼ͔͠΋ϘϥςΟϦςΟ্͕ঢ͢Δͱ‫ܧ‬ଓ͠΍͍͢ͱ͍͏ɼϘϥςΟϦςΟɾΫϥελϦϯάͱ͍͏‫ݱ‬৅͕͋Δͱ͍͏͜ͱΛࣔͨ͠ [Mandelbrot 72, Cont 01, Sewell 06]ɽͳ͓ɼϘϥςΟϦςΟɾΫϥελϦϯάͷΑ
͏ʹɼࢢ৔Ձ֨ͷಅམ཰ͳͲϚΫϩྔͷ౷‫ܭ‬తͳੑ࣭ΛɼελΠϥΠζυɾϑΝΫτͱΑͿ [Sewell 06]ɽϘϥςΟϦςΟɾΫϥελϦϯάͷ΄͔ʹࢢ৔Ձ֨ͷಅམ཰ͷ෼෍ͷઑ
౓*4 ͕༗ҙʹਖ਼Ͱ͋Δͱ͍͏ɼϑΝοτɾςʔϧ͕͋Δ [Mandelbrot 63, Cont 01, Sewell06]ɽͦͷଞʹ΋ଟ਺ͷελΠϥΠζυɾϑΝΫτ͕ൃ‫͞ݟ‬Ε͍ͯΔ͕ɼ͜ΕΒ̎ͭ΄Ͳʹ͸҆ఆͯ͠ଘࡏ͓ͯ͠Βͣɼࢿ࢈ʢ‫ࣜג‬ɼ࠴݊ɼҝସͳͲʣͷҧ͍΍஍Ҭͷҧ͍ɼ‫ܭ‬ଌ࣌‫ظ‬ͷҧ͍ʹΑͬͯଘࡏ͠ͳ͍৔߹͕͋Δ͜ͱ͕ใࠂ͞Ε͍ͯΔ΋ͷ͕ଟ͍ɽ‫͑ݴʹٯ‬͹ɼϑΝοτɾςʔϧͱϘϥςΟϦςΟɾΫϥελϦϯά͸͍ͣΕͷࢿ࢈Ͱ΋͍ͣΕͷ஍ҬͰ΋͍ͣΕͷ࣌‫Ͱظ‬΋༗ҙʹଘࡏ͢Δ͜ͱ͕஌ΒΕ͓ͯΓɼ͋Δఔ౓ීวతʹଘࡏ͢Δ͜ͱ
͕෼͔͍ͬͯΔɽͨͩ͠ɼͦͷ౷‫ྔܭ‬ͷ஋͸େখ͞·͟·͋Γɼීวతͳ਺஋͸ଘࡏ͍ͯ͠ͳ͍ɽϑΝοτɾςʔϧʹ͍ͭͯ͸ɼ࣮ূ෼ੳͰΑ͘‫؍‬ଌ͞ΕΔಅམ཰ͷ෼෍ͷઑ౓͸

1 ∼ 100 ఔ౓Ͱ͋ΓɼϘϥςΟϦςΟɾΫϥελϦϯάʹ͍ͭͯ͸ɼ࣮ূ෼ੳͰΑ͘‫؍‬ଌ͞ΕΔಅམ཰ͷࣗ‫ݾ‬૬ؔ͸ 0.01 ∼ 0.2 ఔ౓ͱɼ͔ͳΓ͹Β͖͕ͭ͋Δ [Sewell 06]ɽͯ͞ɼGARCH ϞσϧͳͲͷࢢ৔Ձ֨ͷϞσϧʹΑͬͯɼอ༗͍ͯ͠Δࢿ࢈ͷՁ͕֨ͲΕ͘Β͍ͷଛࣦΛͲͷ͘Β͍ͷ֬཰ͰඃΔͷ͔೺ѲͰ͖ΔΑ͏ʹͳΓɼ౤ࢿͷ࣮຿ՈͷؒͰɼϦεΫࢦඪͱͯ͠࢖ΘΕ͍ͯΔɽϘϥςΟϦςΟͱฒΜͰΑ͘࢖ΘΕΔϦεΫࢦඪʹɼValue at Risk ͕͋Δ (ৄ͍͠ղઆॻ੶ͱͯ͠ [Choudhry 13])ɽValue at Risk ͱ͸ࢢ৔Ձ֨ͷ 95% ΍ 99% ఺ͷಅམ཰ͷ͜ͱͰ͋Δɽࢢ৔Ձ֨ͷಅམ཰͸ਖ਼‫ن‬෼෍Ͱ͸ͳ͘ϑΝοτɾςʔϧͰ͋ΔͨΊɼϘϥςΟϦςΟ͚͔ͩΒ͸ਪఆͰ͖ͳ͍஋ͱͳΔɽValueat Risk ͸ϘϥςΟϦςΟΑΓ΋‫ࣄͳك‬৅ͷϦεΫΛ೺Ѳ͢ΔͨΊʹΑ͘༻͍ΒΕɼͦͷ‫ʹࢉܭ‬͸ GARCH ϞσϧͳͲͰਪఆͨ͠෼෍͕Α͘༻͍ΒΕΔɽ
ۚ༥޻ֶͷେ͖ͳޭ੷ͱͯ͠ɼϞμϯɾϙʔτϑΥϦΦཧ࿦͕͋Δ [Markowitz 52,

Sharpe 64, Lintner 65]ɽࢿ࢈Λෳ਺૊Έ߹ΘͤͨΓɼෳ਺ͷ‫ۀا‬ͷ‫ࣜג‬Λ૊Έ߹ΘͤͨΓ͢ΔͳͲͯ͠౤ࢿͨ͠΋ͷશମΛϙʔτϑΥϦΦͱΑͿɽͲͷΑ͏ͳࢿ࢈΍‫ۀا‬ͷ૊Έ߹Θͤͷ࣌ʹɼϙʔτϑΥϦΦͷՁ஋ͷಅམʢϦλʔϯʣͱ༧ଌ͞ΕΔϦλʔϯͷৼΕ෯ʢϦεΫʣ͕࠷దͳ΋ͷʹͳΔ͔Λɼա‫ڈ‬ͷࢢ৔Ձ֨ͷσʔλΛ༻͍ͯ෼ੳ͢Δཧ࿦Ͱ͋
Δɽࢢ৔Ձ֨ͷಅམ཰͕‫ٯ‬૬ؔͷ΋ͷΛ૊Έ߹ΘͤΔͱɼϙʔτϑΥϦΦͷϦεΫ͸௿Լ*4 ͜͜Ͱͷઑ౓ͷఆٛ͸ɼਖ਼‫ن‬෼෍Ͱ 0 ͱͳΔఆٛͰ͋Δɽ͢ͳΘͪɼn ‫ݸ‬ͷσʔλ xi (i = 1, , , n) ͕͋Δnͱ͖ɼxi ͷฏ‫ۉ‬Λ X ɼඪ४ภࠩΛ S ͱ͢Δͱઑ౓ K ͸ɼK = 1/(nS 4 ) ×(x − X)4 − 3ɼͱ
i=1 i



͢ΔఆٛΛ࢖༻ͨ͠ɽ

36

ୈ 2 ষ ۚ༥‫ڀݚ‬ͷ֓‫گ‬͢Δɽਤ 2.6 ͸ɼࢿ࢈ A ͱࢿ࢈ B Λ͞·͟·ͳൺ཰Ͱอ༗ͨ͠৔߹ͷɼϦεΫͱϦλʔϯʢਤ಺Ͱ͸‫ظ‬଴ऩӹ཰ʣΛ͍ࣔͯ͠ΔɽϦεΫΛ࠷খʹ͍ͨ͠౤ࢿՈ͸఺ D ͷ౤ࢿൺ཰ΛબͼɼϦλʔϯΛ࠷େʹ͍ͨ͠৔߹͸ɼ͢΂ͯࢿ࢈ A ʹ౤ࢿ͠ɼϦεΫ͋ͨΓͷϦλʔϯΛ࠷େԽ͍ͨ͠౤ࢿՈ͸఺ E ΛબͿɽ͜ͷΑ͏ʹɼ౤ࢿͷ࣮຿ՈͨͪʹͱͬͯศརͳπʔϧͰ͋Δɽ͜͜·Ͱ‫͖ͨͯݟ‬Α͏ʹɼۚ༥޻ֶ͸ϚΫϩྔͰ͋Δࢢ৔Ձ֨Λ෼ੳ͠ɼࢢ৔Ձ֨ʹؔ
͢Δ౷‫ྔܭ‬΍ಛ௃Λநग़͠ɼࢢ৔Ձ֨ͷಈ͖Λ௚઀ϞσϧԽ͢Δɽͭ·ΓɼϚΫϩྔͷ‫؍‬ଌʹΑͬͯϚΫϩྔͦͷ΋ͷΛϞσϧԽ͢ΔɽͦͷͨΊɼͳͥՁ֨มಈ͕ͦͷΑ͏ʹͳΔͷ͔ɼϛΫϩͰ͋Δ౤ࢿՈ͸ͲͷΑ͏ͳಛੑΛ͔࣋ͭͳͲʹ͸৮Εͳ͍ɽϛΫϩͷ෼ੳ΍ɼۚ༥ࢢ৔ʹજΉૉաఔ΍ϝΧχζϜͷղ໌ɼϛΫϩͱϚΫϩͷؔ܎ੑͳͲͷ෼ੳ͸ߦΘͳ͍ɽ୺తʹ‫͑ݴ‬͹ɼศརͳπʔϧͰ͋Δ͕ͳͥͦ͏ͳͷ͔͸෼͔Βͳ͍ɼͱ͍͏΋ͷͰ͋Δɽۙ೥ɼۚ༥‫͜ى͕ػة‬Δͱۚ༥޻ֶ͕‫ݪ‬ҼͰ͋Δͱͯ͠൷൑͞ΕΔ৔߹͕͋Δɽ2008೥ͷ͍Θ͍ΔϦʔϚϯɾγϣοΫͰ΋Ұ෦Ͱ൷൑͕ల։͞Εͨʢྫ͑͹ɼ[NHK 12]ʣɽ͜
Ε·Ͱड़΂͖ͯͨΑ͏ʹɼۚ༥޻ֶ͸͋͘·Ͱա‫ڈ‬ͷσʔλ͔ΒΘ͔ΔϚΫϩ౷‫ྔܭ‬Λࣔͨ͠΋ͷͰ͋ΓɼϚΫϩతͳੑ࣭͕ະདྷ΋ҡ࣋͞ΕΔ͔Ͳ͏͔·Ͱ͸෼ੳͨ͠΋ͷͰ͸ͳ͍ɽੑ࣭ͷཧ༝Λղ͖໌͔͍ͯ͠ͳ͍ͷͰɼීวతͳੑ࣭ͳͷ͔Ұ࣌తͳ΋ͷͳͷ͔͸౰વ۠ผͰ͖ͳ͍ɽͦͷΑ͏ͳ͜ͱΛཧղͤͣʹɼۚ༥޻ֶ͕ਪఆͨ͠Ϟσϧ͕ৗʹ੒ཱ
͢Δͱա৴ͨ͠ɼۚ༥޻ֶͷຊ࣭Λཧղͤͣʹ࢖༻͍࣮ͯͨ͠຿Ոͷ࢖͍ํͷ໰୊Ͱ͋Γɼۚ༥޻ֶͦͷ΋ͷֶ͕໰తʹແҙຯͰ͋Δͱ͔ؒҧ͍ͬͯΔͱ͍͏൷൑͸͋ͨΒͳ͍ɽ[Taleb 10] ͷஶऀͰ͋ΔφγϜɾχίϥεɾλϨϒ͸ɼ͜ͷΑ͏ͳۚ༥޻ֶ΁ͷཧղෆ଍ͷ౤ࢿͷ࣮຿Ոʹର͠ɼʮۚ༥޻ֶͷϞσϧΛઈରͰ͋Δͱ৴͍ͯ͡Δ͜ͱ͸ɼࣗ෼͸ա‫ڈ‬ͷσʔλ͔ΒࢮΜͩ͜ͱ͕ͳ͍ɼΏ͑ʹɼࣗ෼͸ෆࢮ਎ͩɼͱ݁࿦෇͚͍ͯΔΑ͏ͳ΋ͷͩɽʯͱ෼͔Γ΍͘͢આ໌͍ͯ͠Δɽ

37

2.4 ۚ༥ࢢ৔ͷ࣮ূతϞσϧ (ۚ༥޻ֶͱ‫ࡁܦ‬෺ཧ)

ண᝿
䝸䝍䞊䞁
㈨⏘A

E
D

↓䝸䝇䜽
㈨⏘C

㈨⏘B
䝸䝇䜽
䠄䝸䝍䞊䞁䛾᣺䜜ᖜ䠅

ਤ 2.6

ϞμϯɾϙʔτϑΥϦΦཧ࿦ͷߟ͑ํ (Πϝʔδਤ)

38

ୈ 2 ষ ۚ༥‫ڀݚ‬ͷ֓‫گ‬

2.5 ߦಈ‫ֶࡁܦ‬ɾ࣮‫ֶࡁܦݧ‬ߦಈ‫ֶࡁܦ‬ɾ࣮‫Ͱֶࡁܦݧ‬͸ɼ౤ࢿՈ΁ͷΞϯέʔτ΍ඃ‫ऀݧ‬ΛूΊ࣮ͨ‫ݧ‬Λ௨ͯ͡ɼ౤ࢿՈͷߦಈΛ໌Β͔ʹ͠Α͏ͱ͢Δɽୈ 2.5 અͰड़΂ͨۚ༥޻ֶͰѻΘΕ͍ͯͳ͍ɼ౤
ࢿՈͱ͍͏ϛΫϩ‫ݱ‬৅ͷϝΧχζϜͷղ໌ʹয఺Λ͋ͯͨ΋ͷͰ͋Δɽ
ߦಈ‫ظॳͰֶࡁܦ‬ͷ୅දతͳ‫[ ͯ͠ͱڀݚ‬Kahneman 79] ͕͋Δɽඃ‫΁ऀݧ‬ͷΞϯέʔτΛ΋͍ͪͯɼͦ΋ͦ΋ਓؒ͸ɼಘΛ͍ͯ͠Δͱ͖͸҆શࡦΛɼଛΛ͍ͯ͠Δͱ͖͸‫ݥة‬ͳউෛʹͰͯ͠·͏܏޲͕͋Δ͜ͱΛ໌Β͔ʹͨ͠ɽ·ͨɼ100% อোΛաେධՁͯ͠͠
·͏͜ͱ΍ɼ౤ࢿΛ࢝Ίͨ࣌ͷ౤ࢿֹ͔ۚΒͷ૿‫ݮ‬Λෆඞཁʹॏཁࢹͯ͠͠·͏܏޲΋ൃ‫ͨ͠ݟ‬ɽ
࣮‫Ͱֶࡁܦݧ‬͸ɼྫ͑͹ɼ[Hommes 07] Ͱ͸ɼ࣮‫ʹ಺ࣨݧ‬Սۭͷࢿ࢈ΛऔҾ͢ΔՍۭͷऔҾࢢ৔Λ༻ҙ͠ɼඃ‫ʹऀݧ‬ϑΝϯμϝϯλϧՁ֨Λ‫ͯ͠ͱͨ͑ڭ‬΋ඃ‫ͪͨऀݧ‬͸ͦΕͱ͸ؔ܎ͳ͍Ձ֨ͰऔҾͯ͠རӹΛಘΑ͏ͱ͢Δ܏޲͕͋Δ͜ͱΛࣔͨ͠ɽ·ͨɼ࣮ࡍͷࢢ৔ͷ౤ࢿՈ΁ͷΞϯέʔτௐࠪΛߦ͍ɼϑΝϯμϝϯλϧՁ֨ʹ‫͍ͮج‬ͨ౤ࢿख๏ʢϑΝϯμϝϯλϧઓུʣͱɼա‫ڈ‬ͷࢢ৔Ձ֨Λ༻͍ͨ౤ࢿख๏ʢςΫχΧϧ
ઓུʣͷͲͪΒ͔ɼ·ͨ͸྆ํΛ༻͍͍ͯΔͱ౴͑Δ౤ࢿՈ͕ଟ͘ɼͦͷଞͷख๏Λ༻͍͍ͯΔͱ౴͑Δ౤ࢿՈ͸গͳ͍͜ͱ͕໌Β͔ʹͳͬͨ [Frankel 90, Allen 90, Menkhoﬀ07]ɽ͔͠΋ɼࢢ৔Ձ͕֨‫ݦ‬ஶʹ্ঢͯ͠όϒϧ͕‫ܗ‬੒͞Ε͍ͯͨͷͰ͸ͳ͍͔ͱࢦఠ͞
Ε͍ͯͨ࣌‫͍͓ͯʹظ‬͸ɼςΫχΧϧઓུΛ༻͍͍ͯΔͱ౴͑ͨ౤ࢿՈ͕૿Ճ͢Δ͜ͱ͕
෼͔͓ͬͯΓɼࢢ৔σʔλΛ༻͍࣮ͨূ‫Ͱڀݚ‬΋͜ΕΛࢧ࣋͢Δ݁Ռ͕ಘΒΕ͍ͯΔ [ࢁຊ 11, Yamamoto 13]ɽ͜ΕΒͷ݁Ռ͸ɼϑΝϯμϝϯλϧՁ֨ͷଘࡏΛԾఆ͠߹ཧతͳ౤ࢿՈ͕ࢧ഑తͰ͋
ΓɼςΫχΧϧઓུΛͱΔ౤ࢿՈ͸ऩӹΛ্͛ΒΕͣ‫ݮ‬গ͍ͯ͘͠ [Friedman 53] ͱͨ͠ޮ཰తࢢ৔Ծઆͷߟ͑Λ൱ఆ͢Δ΋ͷͰ͋Δɽͦͯ͜͠ΕΒͷ݁ՌΛ༻͍Ε͹ɼޮ཰తࢢ
৔ԾઆͰ͸ “આ໌ͮ͠Β͔ͬͨ”ɼόϒϧ΍ΞϯμʔγϡʔτΛ “໌շʹઆ໌” Ͱ͖Δͱ͍
͏ओு͕͋Δ [޿ా 09]ɽͱ͸͍͑ɼߦಈ‫ֶࡁܦ‬ɾ࣮‫ֶࡁܦݧ‬͸ɼۚ༥޻ֶͷΑ͏ʹϚΫϩ‫ݱ‬৅Λแ‫ׅ‬తʹઆ໌͢
ΔΑ͏ͳཧ࿦ΛଧཱͪͯΔ͜ͱ͸Ͱ͖͓ͯΒͣɼ۩ମతʹ࣮຿ʹ໾ཱͭπʔϧΛఏ‫͢ڙ‬Δ
ʹࢸ͍ͬͯͳ͍ɽߦಈ‫ֶࡁܦ‬ɾ࣮‫ֶࡁܦݧ‬͸ɼ߹ཧతͳ౤ࢿՈΛԾఆ͢Δͱઆ໌ͮ͠Β͍‫ݱ‬৅ͷϛΫϩϝΧχζϜͷղ໌ʹେ͖͘ߩ‫͕ͨ͠ݙ‬ɼۚ༥ࢢ৔ͷશମΛแ‫ׅ‬తʹઆ໌͠ɼޮ཰తࢢ৔Ծઆ΍ۚ༥޻ֶʹ‫׬‬શʹͱͬͯ୅ΘΔ΋ͷͰ͸ͳ͍ɽ͜Ε͸ɼ෺ੑ෺ཧͰྫ͑
Ε͹ɼྔࢠྗֶʹ‫Ͱํ͑ߟ͍ͨͮج‬ϛΫϩ‫ݱ‬৅Λղ໌͠Α͏ͱ͢Δख๏ͱɼ‫ࢹڊ‬తͳ‫؍‬ଌ͔ΒϞσϧΛ૊ΈཱͯΑ͏ͱ͢Δख๏͕ɼͲͪΒ͔͕ؒҧ͍ͬͯΔͱ͍͏͜ͱͰ͸ͳ͘ɼ͓ͷ͓ͷ௕ॴ୹ॴΛ͓‫ͪ࣋ʹ͍ޓ‬૬ิతͳख๏Ͱ͋Δ͜ͱͱࣅ͍ͯΔɽ

2.6 ਓ޻ࢢ৔γϛϡϨʔγϣϯ

2.6 ਓ޻ࢢ৔γϛϡϨʔγϣϯ͜͜Ͱ͸ɼຊ࿦จͰ࢖༻͢Δख๏Ͱ͋Δɼਓ޻ࢢ৔γϛϡϨʔγϣϯʹ͍ͭͯड़΂Δɽਓ޻ࢢ৔Ϟσϧͷ۩ମతͳߏஙํ๏ʹ͍ͭͯ͸ୈ 3 ষɼୈ 4 ষͰৄ͘͠ड़΂Δ͕ɼ͜͜Ͱ
͸؆୯ʹɼͲͷΑ͏ͳ࢖ΘΕํΛ͍ͯ͠Δ͔ͱ͍͏͜ͱͱɼ͜Ε·Ͱड़΂͖ͯͨଞͷख๏ͰಘΒΕͨ݁ՌΛͲͷΑ͏ʹऔΓࠐΜͰ͍Δ͔Λड़΂Δɽਓ޻ࢢ৔γϛϡϨʔγϣϯ͸ਤ 2.7 Ͱࣔ͢Α͏ʹɼ౤ࢿՈΛ‫Ͱ಺ػࢉܭ‬໛฿ͨ͠ΤʔδΣϯτʢଟ͘ͷ৔߹͸ෳ਺ʣͱɼಉ͘͡‫Ͱ಺ػࢉܭ‬໛฿ͨ͠औҾॴΛ༻ҙ͢Δɽ͍ͣΕ΋ɼ‫͋ʹ಺ػࢉܭ‬ΔͷͰɼ‫ͨ݁͠׬Ͱ͚ͩػࢉܭ‬γϛϡϨʔγϣϯͱͳΔɽਓ޻ࢢ৔γ
ϛϡϨʔγϣϯ͸ɼ͜Ε·Ͱઆ໌͖ͯͨ͠ख๏Ͱ͸Ͱ͖ͳ͔ͬͨɼϛΫϩͰ͋Δ౤ࢿՈͷৼΔ෣͍ͷੵΈ্͛ʹΑͬͯɼϚΫϩͰ͋Δࢢ৔Ձ֨ͷ‫ܗ‬੒Λ‫؍‬ଌ͢Δ͜ͱ͕Ͱ͖Δɽͭ·Γɼ།ҰɼϛΫϩͱϚΫϩͷ૬‫༻࡞ޓ‬Λ͖ͪΜͱऔΓѻ͑Δख๏ͱͳΔɽਓ޻ࢢ৔γ
ϛϡϨʔγϣϯΛ༻͍ͯߦ͏‫ڀݚ‬՝୊͸େ͖͘෼͚ͯɼଟ͘ͷࢢ৔Ͱ‫ڞ‬௨ͯ͠‫͍ͯͬ͜ى‬ΔϚΫϩ‫ݱ‬৅ΛϛΫϩϨϕϧͰϝΧχζϜΛղ໌͢Δ͜ͱͱɼۚ༥ࢢ৔Ͱ࣮ࡍʹ໰୊ͱͳ͍ͬͯΔϛΫϩɾϚΫϩ૬‫༻࡞ޓ‬ͷ෼ੳͷɼ̎ͭʹ෼͚ΒΕΔɽ

1 ͭ໨ͷɼࢢ৔‫ڞ‬௨ͷϚΫϩ‫ݱ‬৅ΛϛΫϩϨϕϧͰϝΧχζϜΛղ໌͢Δ͜ͱ͸ɼྫ͑͹ɼۚ༥޻ֶ͕໌Β͔ʹͨ͠ࢢ৔Ձ֨ͷ౷‫ܭ‬తੑ࣭ɼελΠϥΠζυɾϑΝΫτΛ࠶‫ݱ‬͢ΔͨΊʹɼ࠷খ‫ݶ‬ͷϛΫϩϝΧχζϜ͸ԿͰ͋Δ͔ͱ͍͏‫ߦ͕ڀݚ‬ΘΕ͍ͯΔɽྫ͑͹ɼ[ࢁా 11, Yamada 09] Ͱ͸ɼա‫ڈ‬ͷࢢ৔Ձ֨ͷಅམ཰্͕͕͍ͬͯΕ͹কདྷ΋্͕ΓɼԼ͕͍ͬͯΕ͹Լ͕ΔͰ͋Ζ͏ͱ༧ଌ͢ΔɼςΫχΧϧઓུͰ΋ಛʹॱுΓઓུ*5 ͷΤʔδΣϯτ͍͑͞Ε͹ϑΝοτɾςʔϧ͕࠶‫͞ݱ‬ΕɼଞͷΤʔδΣϯτͷ஫จִ͕ؒ୹
͘ͳΕ͹ࣗ෼ͷ஫จͷִؒ΋୹͘͢ΔΑ͏ʹ͢Ε͹ɼϘϥςΟϦςΟɾΫϥελϦϯά΋
࠶‫͖Ͱݱ‬Δ͜ͱ͕ࣔͨ͠ɽ͜Εʹ͍ͭͯ͸ɼୈ 3 ষͰ΋ৄ͘͠ड़΂Δ͕ɼޮ཰తࢢ৔Ծઆ͕Ծఆ͢Δ߹ཧతͳ౤ࢿՈΛҰ੾ೖΕͳͯ͘΋ɼࢢ৔Ձ֨ͷ౷‫ܭ‬తੑ࣭Λ࠶‫͢ݱ‬Δ͜ͱ͕Ͱ͖ɼ‫ʹٯ‬ɼޮ཰తࢢ৔Ծઆ͕ࢧ഑తʹ͸ଘࡏ͠ͳ͍ͱओு͢ΔςΫχΧϧઓུͷ౤ࢿՈ͕͍ͳ͍ͱɼओཁͳελΠϥΠζυɾϑΝΫτ͕࠶‫͞ݱ‬Εͳ͍ՄೳੑΛࣔͨ͜͠ͱ͸ɼֶज़తʹେ͖ͳߩ‫͋Ͱݙ‬Δɽ͜ͷΑ͏ʹɼਓ޻ࢢ৔Ϟσϧ͸ϛΫϩϨϕϧͰ͋Δ౤ࢿՈ͕Ͳ
ͷΑ͏ͳ΋ͷͰ͋Δ͔ͷ෼ੳͷ̍ͭͷํ๏Λఏ͍ࣔͯ͠Δɽ

2 ͭ໨ͷɼۚ༥ࢢ৔Ͱ࣮ࡍʹ໰୊ͱͳ͍ͬͯΔϛΫϩɾϚΫϩ૬‫༻࡞ޓ‬ͷ෼ੳͰ͸ɼྫ͑͹ɼ͜Ε·ͰʹߦΘΕͨ͜ͱ͕ͳ͍ۚ༥ࢢ৔ͷ੍౓΍‫੍ن‬ͷมߋ͕͋ͬͨ৔߹΍ɼ͜Ε·Ͱʹ΄ͱΜͲ໰୊ͱ͞Εͯ͜ͳ͔ͬͨछྨͷಛघͳ౤ࢿՈͷଘࡏ͕ଟ͘ͳͬͨ৔߹ɼ࠷

*5 ςΫχΧϧઓུʹ͸େ͖͘෼͚ͯॱுΓͱ‫ٯ‬ுΓ͕͋ΔɽॱுΓͱ͸ɼࢢ৔Ձ্͕֨ঢʢԼམʣ͍ͯ͠Ε͹ങ͏ʢചΔʣ͜ͱͰ͋Γɼ‫ٯ‬ுΓͱ͸ࢢ৔Ձ্͕֨ঢʢԼམʣ͍ͯ͠Ε͹ചΔʢങ͏ʣ͜ͱͰ͋Δɽ

39

40

ୈ 2 ষ ۚ༥‫ڀݚ‬ͷ֓‫گ‬ۙొ৔ͨ͠ߴස౓औҾͷ૿Ճ*6 ͳͲ͕ɼࢢ৔Ձ֨ͷ‫ܗ‬੒ʹͲͷΑ͏ͳӨ‫ڹ‬Λ༩͑Δ͔Λௐ΂Δ΋ͷͰ͋Δɽͦ΋ͦ΋ۚ༥ࢢ৔͸ɼࢢ৔ࢀՃऀͨͪͷऔҾΛ௨࣮ͯ͡ଶՁ஋Ͱ͋Δ
ϑΝϯμϝϯλϧՁ֨Λൃ‫͢ݟ‬ΔɼՁ֨ൃ‫ػݟ‬ೳΛ࣋ͭ͜ͱ͕‫ظ‬଴͞Ε͓ͯΓɼͦͷͨΊɼϑΝϯμϝϯλϧՁ͔֨Βେ͖͘ဃ཭͍ͯ͠ͳ͍Ձ֨ͰऔҾ͞ΕΔ͜ͱ͕‫ظ‬଴͞Ε͍ͯΔɽࢢ৔Ձ֨͸औҾ͞ΕΔ΋ͷͷՁ஋ଌఆͱ͍͏Ձ֨ൃ‫ݟ‬ϝΧχζϜͷ݁ՌͰ͋Δ͕ɼ
ϑΝϯμϝϯλϧՁ֨ͱ͔͍཭͠ଓ͚ͨΓɼ·ͨɼࢢ৔Ձ͕֨ཚߴԼͨ͠Γ͢ΔͳͲͷۚ༥‫͜ى͕ػة‬Δ͜ͱ͸ɼආ͚Δ΂͖͜ͱͰ͋ΔɽͦͷͨΊͷɼ͜Ε·Ͱʹͳ͍‫੍ن‬ɾ੍౓ͷઃ‫ܭ‬΍ɼ͜Ε·Ͱʹͳ͍౤ࢿՈɼऔҾख๏͕༩͑ΔӨ‫ڹ‬ΛγϛϡϨʔγϣϯͰ͋Β͔͡Ί஌ΓɼͲͷΑ͏ͳӨ‫͋“ ͕ڹ‬ΓಘΔͷ͔” Λࣄલʹ஌Δ͜ͱ͸ͱͯ΋༗ӹͰ͋Δɽ
͜͜Ͱɼ“͋ΓಘΔ” ͱ‫ڧ‬ௐ͍ͯ͠Δͷʹ͸ҙຯ͕͋Δɽਓ޻ࢢ৔γϛϡϨʔγϣϯ͸‫ݱ‬ஈ֊Ͱ͸ɼະདྷΛਖ਼֬ʹ༧ଌ͢ΔೳྗΛ͍࣋ͬͯͳ͍ɽ͜Ε͸ଞͷࣾձ‫ݱ‬৅ΛγϛϡϨʔγϣϯ͢ΔɼࣾձγϛϡϨʔγϣϯશൠʹ‫͑ݴ‬Δ [ग़‫ ޱ‬09]ɽΉ͠ΖࣾձγϛϡϨʔγϣϯͰ͸ɼ‫͜ى‬ΓಘΔγφϦΦΛଟ͘࡞Γग़ͯ͠ɼͦ͜Ͱ‫؍‬ଌ͞ΕΔϛΫϩɾϚΫϩͷ૬‫͔༻࡞ޓ‬Βɼ͜Ε·Ͱʹߟ͑ΒΕͯ͜ͳ͔ͬͨϝΧχζϜͰͷ‫ݱ‬৅΍ࣾձతͳ෭࡞༻Λ͋Β͔͡Ί‫͕ͱ͓͚ͯͭ͘͜ݟ‬ɼॏཁͳ໾ׂͱͳΔɽ͜ͷΑ͏ʹ͋ΓಘΔࣾձΛ͋Β͔͡Ίௐ΂্͛Δ͜ͱΛɼ[࿨ઘ 12a] Ͱ͸Մೳੈքϒϥ΢δϯάͱΑΜͩɽਤ 2.8 ʹਓ޻ࢢ৔γϛϡϨʔγϣϯ͕ಘҙͳྖҬΛࣔͨ͠ɽۚ༥޻ֶ
΍ͦͷଞͷ࣮ূ෼ੳ͸ɼա‫ݱ͖ͨىڈ‬৅ͷҰ෦Λ෼ੳͰ͖Δɽա‫ݱ͖ͨىڈ‬৅Λશͯ໢ཏ
͍ͯ͠Δͱ͸‫ݶ‬Βͳ͍͕ɼ࣮ࡍʹ‫ͱ͖ͨ͜ى‬ΛऔΓѻ͍ͬͯΔ͜ͱ͸อো͞Ε͍ͯΔɽҰํɼਓ޻ࢢ৔͸͜Ε͔Β‫͜ى‬Δ‫ݱ‬৅ΛऔΓѻ͏͜ͱ͕Ͱ͖Δ͜ͱ͕‫ڧ‬ΈͰ͋Δɽ͔͠͠ɼ
ͦΕ͕ຊ౰ʹ͜Ε͔Β‫͖ى‬Δ‫ݱ‬৅ͳͷ͔͸ɼਓ޻ࢢ৔γϛϡϨʔγϣϯ͚͔ͩΒ͸෼͔Βͳ͍ɽ͋͘·Ͱ͋ΓಘΔ‫ݱ‬৅Λଟ͘ग़ྗ͢Δ͜ͱΛಘҙͱ͢Δɽ·ͨɼۚ༥޻ֶ΍ͦͷଞͷ࣮ূ෼ੳ͕औΓ͜΅ͨ͠ա‫ݱ͖ͨىڈ‬৅Λ෼ੳͰ͖Δ৔߹΋͋ΔͰ͋Ζ͏ɽ΋ͪΖΜɼࢢ৔‫ڞ‬௨ͷϚΫϩ‫ݱ‬৅ΛϛΫϩϨϕϧͰϝΧχζϜΛղ໌͢Δͱ͍ͬͨɼۚ༥޻ֶͰऔΓѻ͍͑ͯΔ‫ݱ‬৅ΛɼϚΫϩɾϛΫϩ૬‫ʹ༻࡞ޓ‬౿ΈࠐΜͰ෼ੳ͢Δ͜ͱ΋‫ڧ‬ΈͱͳΔɽ
ͯ͞ɼۚ༥ࢢ৔ͷ‫੍ن‬ɾ੍౓Ͱ͸ɼಋೖͨ࣌͠ʹࢢ৔Ձ֨ͷ‫ܗ‬੒ʹͲͷΑ͏ͳӨ‫ڹ‬Λ༩͑Δ͔ٞ࿦͞ΕΔɽਓ޻ࢢ৔γϛϡϨʔγϣϯ͕༻͍ΒΕΔલ͸ɼ“͓ͦΒ͘͜͏͍͏Ө‫͕͋ڹ‬ΔͷͰ͸ͳ͍͔” ͱ͍͏෼ੳ͕ͳ͞Εͳ͍͔ɼ·ͨ͸෼ੳ͞ΕΔʹͯ͠΋ࣅͨΑ͏ͳ‫੍ن‬ɾ੍౓͕ಋೖ͞Εͨࡍͷ࣮ূ෼ੳ΍ɼ෼ੳ͍ͨ͠‫੍ن‬ɾ੍౓Ҏ֎ͷ‫͕ڥ؀‬େ͖͘ҟ
ͳΔ‫Ͱڥ؀‬ͷ࣮ূ෼ੳ͔͠ߦ͑ͳ͍͜ͱ͕ଟ͘ɼ७ਮͳ‫੍ن‬ɾ੍౓ͷಋೖޮՌ͕ࣄલʹ͸͖ͬΓ͢Δ͜ͱ͸΄ͱΜͲͳ͔ͬͨɽਓ޻ࢢ৔γϛϡϨʔγϣϯ͸ͦͷಋೖͷ७ਮͳޮՌΛ‫ݟ‬Δ͜ͱ͕Ͱ͖Δ͏͑ɼա‫ʹڈ‬ಋೖ͞Εͨ͜ͱ͕ͳ͍΋ͷ΋෼ੳ͢Δ͜ͱ͕Ͱ͖ΔɽͨͩͦͷޮՌ͸࣮֬ͳ༧૝Ͱ͸ͳ͍ɽ͞·͟·ͳέʔεͰͷγϛϡϨʔγϣϯΛߦ͍ɼ͜*6 ࣮ূ෼ੳͱͯ͠ɼ[தࢁ 13]

2.6 ਓ޻ࢢ৔γϛϡϨʔγϣϯ
Ε·Ͱ༧૝͞Ε͍ͯͳ͔ͬͨϝΧχζϜͰͷ‫ݱ‬৅΍ࣾձతͳ෭࡞༻Λ‫͖͓͚ͯͭݟ‬ɼͦΕͷ஌‫ݟ‬ΛՃ͑ͯɼಋೖͷੋඇΛ‫ݕ‬౼͢ΔͷͰ͋Δɽ‫ݴ‬ΘΕͯΈΕ͹౰ͨΓલ͕ͩɼγϛϡϨʔγϣϯ͕ͦΕΛࣔ͢·Ͱ͸୭΋ओ୊ʹऔΓ্͛ͳ͔ͬͨɼ“ίϩϯϒεͷཛ” తͳ‫ݱ‬৅΍ϝΧχζϜΛɼ‫੍ن‬ɾ੍౓ͷಋೖٞ࿦ʹೖΕΔ͜ͱ͕ɼਓ޻ࢢ৔γϛϡϨʔγϣϯͷେ͖ͳ໾ׂͱͳΔɽ͢ͳΘͪɼͦΕΒͷಋೖʹΑͬͯɼ͋ΓಘΔੈքΛ͋Β͔͡Ί୳ࡧ͓ͯ͘͠ɼՄೳੈքϒϥ΢δϯάΛߦ͓ͬͯ͘͜ͱͰɼಋೖͷੋඇͷٞ࿦͕٬‫؍‬తͰਂ͍΋ͷͱͳ͍ͬͯ͘ɽ
ͯ͞ɼਓ޻ࢢ৔γϛϡϨʔγϣϯ͸‫ػࢉܭ‬ͷதͰߦΘΕɼ௨ৗ͸࣮ࡍͷࢢ৔ͷσʔλ͸ೖྗ͞Εͳ͍ɽͦͷͨΊɼϞσϧ͕࣮ࡍͷࢢ৔Ͱ‫͜ى‬ΓಘΔੈքΛγϛϡϨʔγϣϯͯ͠
͍Δ͜ͱΛɼਓ޻ࢢ৔γϛϡϨʔγϣϯͷੈք͚ͩͰࣔ͢͜ͱ͸Ͱ͖ͣɼ͜Ε·Ͱड़΂͖ͯͨଞͷख๏Ͱղ໌͞Ε࣮ͨࡍͷࢢ৔ʹ͍ͭͯͷ஌‫ݟ‬Λ༻͍ͨ෼ੳ͕ෆՄܽͰ͋Δɽ
ਤ 2.9 ͸ਓ޻ࢢ৔γϛϡϨʔγϣϯͱଞͷख๏ͱͷؔ܎Λࣔͨ͠΋ͷͰ͋Δɽਓ޻ࢢ৔
Ϟσϧ͸ɼগͳ͘ͱ΋ɼۚ༥޻ֶ͕ͲͷΑ͏ͳࢿ࢈Ͱ΋ɼͲͷΑ͏ͳ࣌‫Ͱظ‬΋ଘࡏ͢Δ
Ͱ͋Ζ͏ͱ໌Β͔ʹ͖ͯͨ͠ɼϚΫϩ‫ݱ‬৅ͷੑ࣭Ͱ͋ΔϑΝοτɾςʔϧͱϘϥςΟϦ
ςΟɾΫϥελϦϯάͱ͍͏ελΠϥΠζυɾϑΝΫτΛ࠶‫͢ݱ‬Δඞཁ͕͋Δɽͦͯ͠ɼ
ϚΫϩ‫ݱ‬৅Ͱ͋Δࢢ৔Ձ֨ͷੑ࣭Λ࠶‫͖Ͱݱ‬Ε͹ɼΤʔδΣϯτ෦෼ͷϛΫϩϞσϧ͸ͳΜͰ΋Α͍ͱ͍͏༁Ͱ͸ͳ͍ɽߦಈ‫ֶࡁܦ‬΍࣮‫໌ֶ͕ࡁܦݧ‬Β͔ʹ͖ͯͨ͠Α͏ͳ౤ࢿՈ
૾ͱ͋Δఔ౓ͷ੔߹ੑΛ࣋ͭඞཁੑ͕͋Δɽ͜ΕΒͱ͔͚཭ΕͨΤʔδΣϯτϞσϧͰϚΫϩ‫ݱ‬৅Λ࠶‫ͯ͠ͱͨ͠ݱ‬΋ɼϛΫϩɾϚΫϩ૬‫༻࡞ޓ‬ϝΧχζϜΛ෼ੳ͢Δࡍɼ࣮ࡍͷࢢ৔ͱରԠ෇͚ͨ͠ղऍ΍ҙຯ͚͕ͮͰ͖ͳ͘ͳͬͯ͠·͏͔ΒͰ͋Δɽ͜ΕΒͷཁૉΛຬͨͨ͠ɼϚΫϩ‫ݱ‬৅ɼϛΫϩ‫ݱ‬৅ͱ΋ʹɼۚ༥޻ֶ΍ߦಈ‫໌Ͱֶࡁܦ‬Β͔ʹͳͬͨ஌‫ݟ‬Λ͔ͭͬͯଥ౰ͳ΋ͷͱ͢Δ͜ͱʹΑͬͯॳΊͯɼ࣮ࡍͷࢢ৔ʹରԠͨ͠ϚΫϩɾϛΫϩ૬‫༻࡞ޓ‬Λٞ࿦͢Δ͜ͱ͕Ͱ͖Δɽͦͯ͠ɼະ஌ͷ‫ڥ؀‬Λ࣮‫͠ݧ‬ɼՄೳੈքϒϥ΢δϯά
Λߦ͍ɼ࣮ࡍͷۚ༥ࢢ৔Ͱͷ੍౓ઃ‫ܭ‬ɾ੓ࡦͷٞ࿦ʹɼ‫ݟ‬མͱ͞Ε͍ͯͨ‫ܦ‬࿏Ͱͷ‫ݱ‬৅΍෭࡞༻Λఏࣔ͢Δ͜ͱ͕ɼਓ޻ࢢ৔γϛϡϨʔγϣϯ‫ڀݚ‬ͷେ͖ͳ໾ׂͷ̍ͭͰ͋Δɽ

41

42

ୈ 2 ষ ۚ༥‫ڀݚ‬ͷ֓‫گ‬

ὀᩥᩘ㔞
ὀᩥ౯᱁

䜶䞊䝆䜵䞁䝖

ᯫ✵
ྲྀᘬᡤ
౯᱁Ỵᐃ
䝯䜹䝙䝈䝮
ਤ 2.7

ਓ޻ࢢ৔Ϟσϧ

ྲྀᘬ౯᱁䠄ᕷሙ౯᱁䠅
䛾Ỵᐃ

43

2.6 ਓ޻ࢢ৔γϛϡϨʔγϣϯ㐣ཤ㉳䛝䛯⌧㇟䛣䜜䛛䜙㉳䛝䜛⌧㇟

㔠⼥ᕤᏛ
ᐇドศᯒ

ேᕤᕷሙ
ਤ 2.8

ਓ޻ࢢ৔γϛϡϨʔγϣϯ͕ಘҙͳྖҬ

44

ୈ 2 ষ ۚ༥‫ڀݚ‬ͷ֓‫گ‬ᮍ▱䛾⎔ቃ䜢ᐇ㦂ྍ⬟ୡ⏺䝤䝷䜴䝆䞁䜾䝬䜽䝻⌧㇟䠄౯᱁ኚື䠅

┦஫స⏝䛾ゎ᫂䝭䜽䝻⌧㇟䠄ᢞ㈨ᐙ⾜ື䠅

ேᕤᕷሙ
䝰䝕䝹໬
㐨ලసᡂ
㔠⼥ᕤᏛ

䝰䝕䝹䛾
ጇᙜᛶ

䝯䜹䝙䝈䝮
䛾ゎ᫂

⾜ື⤒῭Ꮫ
⾜
䜶
䝇䝍䜲䝷䜲䝈䝗 䜶䞊䝆䜵䞁䝖
ᐇ
ᐇ㦂⤒῭Ꮫ
䝰䝕䝹
䝣䜯䜽䝖
ਤ 2.9

ਓ޻ࢢ৔෼໺͔Β‫ͨݟ‬पล෼໺ͱͷؔ܎

2.7 ·ͱΊ

2.7 ·ͱΊຊষͰ͸·ͣɼۚ༥ࢢ৔ͷ‫ڀݚ‬͸‫ظ‬଴͞ΕΔ‫ػ‬ೳ͔Βɼۚ༥ࢢ৔ͷੑ࣭ʹؔ͢ΔԾઆΛཱͯɼͦͷԾઆʹ͍ͭͯ‫ݕ‬౼͢ΔͨΊͷ࣮ূ෼ੳΛߦ͏ͱ͍͏ΞϓϩʔνΛͱΔ͜ͱ͕ଟ͘ɼ୅දతͳԾઆͱͯ͠ޮ཰తࢢ৔ԾઆΛऔΓ্͛ͨɽ ޮ཰తࢢ৔Ծઆ͸ۚ༥ࢢ৔ͷޮ཰ੑ΍ΞϊϚϦʔͱ͍ͬͨϚΫϩͰ͋ΔՁ֨‫ܗ‬੒ͷੑ࣭ͷٞ࿦ΛਂΊ͚ͨͩͰͳ͘ɼۚ༥
޻ֶ͕࡞Γग़ͨ͠ϚΫϩϞσϧͷ୯७ͳ৔߹ͷԾఆͱͯ͠ଟ͘࢖ΘΕΔͳͲɼେ͖ͳߩ‫ݙ‬Λͨ͠ɽҰํɼόϒϧ΍ΞϯμʔγϡʔτͳͲ໌շʹ͸આ໌Ͱ͖ͳ͍‫ݱ‬৅͕͍͔ͭ͋͘
Γɼ൷൑Λཋͼ͖ͯͨɽۚ༥޻ֶ͸ϚΫϩ‫ݱ‬৅Ͱ͋Δࢢ৔Ձ֨ͷੑ࣭Λ࣮ূ෼ੳ͠ɼϚΫϩ‫ݱ‬৅Λ௚઀ϞσϧԽ
͢Δ͜ͱΛߦ͍ɼۚ༥ࢢ৔ͷ࣮຿Ոͷ‫׆‬ಈʹ໾ཱͭಓ۩ΛੜΈग़͖ͯͨ͠ɽҰํɼߦಈ‫ܦ‬ࡁֶ΍࣮‫ֶࡁܦݧ‬͸ඃ‫ऀݧ‬΍࣮ࡍͷۚ༥ࢢ৔Ͱͷ౤ࢿՈ΁ͷΞϯέʔτௐࠪ΍ඃ‫ऀݧ‬Λ༻͍ͨԾ૝ࢢ৔Ͱͷ࣮‫ʹݧ‬ΑΓɼۚ༥ࢢ৔ͰͷϛΫϩͰ͋Δ౤ࢿՈ͕ͲͷΑ͏ͳੑ࣭Λ͍࣋ͬͯΔͷ͔Λ໌Β͔ʹ͠Α͏ͱ͍ͯ͠Δɽ͜ΕΒͷख๏͸ɼϚΫϩͱϛΫϩͦΕͧΕͷੑ࣭ͷղ໌Λߦ͍ͬͯΔɽҰํɼਓ޻ࢢ৔
γϛϡϨʔγϣϯͰ͸ɼ͜ΕΒͷख๏Ͱ͸Ͱ͖ͳ͔ͬͨɼϛΫϩͰ͋Δ౤ࢿՈͷৼΔ෣͍ͷੵΈ্͛ʹΑͬͯɼϚΫϩͰ͋Δࢢ৔Ձ֨ͷ‫ܗ‬੒Λ‫؍‬ଌ͢Δ͜ͱ͕Ͱ͖Δɽͭ·Γɼ།ҰɼϛΫϩͱϚΫϩͷ૬‫༻࡞ޓ‬Λ͖ͪΜͱऔΓѻ͑Δख๏ͱͳΔɽ
ۚ༥ࢢ৔ͷ‫੍ن‬ɾ੍౓Ͱ͸ɼಋೖͨ࣌͠ʹࢢ৔Ձ֨ͷ‫ܗ‬੒ʹͲͷΑ͏ͳӨ‫ڹ‬Λ༩͑Δ͔
ٞ࿦͞ΕΔɽਓ޻ࢢ৔γϛϡϨʔγϣϯ͸ͦͷಋೖͷ७ਮͳޮՌΛ‫ݟ‬Δ͜ͱ͕Ͱ͖Δ͏͑ɼա‫ʹڈ‬ಋೖ͞Εͨ͜ͱ͕ͳ͍΋ͷ΋෼ੳ͢Δ͜ͱ͕Ͱ͖ΔɽͨͩͦͷޮՌ͸࣮֬ͳ༧૝Ͱ͸ͳ͍ɽ͞·͟·ͳέʔεͰͷγϛϡϨʔγϣϯΛߦ͍ɼ͜Ε·Ͱ༧૝͞Ε͍ͯͳ͔ͬͨɼ“͋ΓಘΔ” ϝΧχζϜͰͷ‫ݱ‬৅Λ‫͕ͱ͓͚ͯͭ͘͜ݟ‬ɼਓ޻ࢢ৔γϛϡϨʔγϣϯͷେ͖ͳ໾ׂͱͳΔɽ
ਓ޻ࢢ৔γϛϡϨʔγϣϯ͸‫ػࢉܭ‬ͷதͰߦΘΕΔɽͦͷͨΊɼϞσϧ͕࣮ࡍͷࢢ৔Ͱ‫͜ى‬ΓಘΔੈքΛγϛϡϨʔγϣϯ͍ͯ͠Δ͜ͱΛɼਓ޻ࢢ৔γϛϡϨʔγϣϯͷੈք͚ͩͰࣔ͢͜ͱ͸Ͱ͖ͣɼଞͷख๏Ͱղ໌͞Ε࣮ͨࡍͷࢢ৔ʹ͍ͭͯͷ஌‫ݟ‬Λ༻͍ͨ෼ੳ͕
ෆՄܽͰ͋Δɽਓ޻ࢢ৔ͷϞσϧԽͷ࿦఺ʹؔͯ͠͸ଓ͘ɼୈ II ෦Ͱৄ͘͠ड़΂Δɽ

45

ୈ II ෦ਓ޻ࢢ৔Ϟσϧͷઃఆ

49

ୈ3ষ

ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱ
ϞσϧԽͷબ୒࣠
3.1 ͸͡Ίʹ͜͜Ͱ͸ɼਓ޻ࢢ৔ϞσϧΛߏங͢Δʹ͋ͨΓɼͲͷΑ͏ͳߟ͑ํͰߏங͞ΕɼϞσϧͷઃఆʹ࢖༻໨తʹԠͯ͡ͲͷΑ͏ͳબ୒͕࣠͋Δͷ͔Λड़΂Δɽୈ 2 ষͰड़΂ͨΑ͏ʹɼਓ޻ࢢ৔Ϟσϧ͸ଞख๏ͰಘΒΕͨ஌‫ʹݟ‬΋ͱ͍ͮͯߏங͞Εɼଥ౰Ͱ͋Δ͔Ͳ͏͔ߟ࡯͞ΕΔɽ·ͣɼ͜ΕΒଥ౰ੑʹ͍ͭͯड़΂ɼͦͷ‫ޙ‬ɼΤʔδΣϯτͷϞσϧԽʹ͍ͭͯɼͲͷΑ͏ͳ౤ࢿઓུͰϞσϧԽ͢΂͖͔Λड़΂Δɽͦͯ͠ɼΤʔδΣϯτ͸ֶश͢΂͖͔Ͳ͏͔ड़΂ɼൃ஫਺ྔͷܾΊํʹ͍ͭͯड़΂Δɽ·ͨɼՁܾ֨ఆϝΧχζϜʢՍۭͷऔҾॴʣͷϞσϧԽʹ͍ͭͯड़΂Δɽ

50

ୈ 3 ষ ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱϞσϧԽͷબ୒࣠

3.2 ଥ౰ੑʹ͍ͭͯਓ޻ࢢ৔Ϟσϧͷଥ౰ੑ͸ɼਤ 3.1 ʹࣔͨ͠Α͏ʹɼҎԼͷ̏఺ʹ͍ͭͯ‫ݕ‬౼͞ΕΔ΂
͖Ͱ͋Δͱߟ͑ΒΕΔɽଥ౰ੑ (1) ‫࣮ݱ‬ͷϚΫϩ‫ݱ‬৅Ͱ͋Δࢢ৔Ձ֨ͷ౷‫ܭ‬తੑ࣭Λ࠶‫ݱ‬ଥ౰ੑ (2) ϛΫϩϞσϧͰ͋ΔΤʔδΣϯτ͸‫࣮ݱ‬ͷ౤ࢿՈ૾ͱ੔߹
ଥ౰ੑ (3) ௐࠪ໨తʹԠͨ͡ద੾ͳෳࡶ͞
ଥ౰ੑ (2) ʹؔͯ͠͸ୈ 3.3 અҎ߱Ͱৄ͘͠ड़΂Δɽ·ͨଥ౰ੑ (3) ʹؔͯ͠΋ৄࡉͳ‫ݸ‬ผٞ࿦͸ୈ 3.3 અҎ߱Ͱߦ͍ɼ͜͜Ͱ͸ߟ͑ํΛड़΂Δɽ“ଥ౰ੑ (1) ‫࣮ݱ‬ͷϚΫϩ‫ݱ‬৅Ͱ͋Δࢢ৔Ձ֨ͷ౷‫ܭ‬తੑ࣭Λ࠶‫ͯؔ͠ʹ ”ݱ‬ड़΂Δɽਓ޻ࢢ৔Ϟσϧ͸ීวతʹଘࡏ͢ΔϚΫϩ‫ݱ‬৅Λ࠶‫͋Ͱ͖΂͢ݱ‬Δͱߟ͑ΒΕΔɽਓ޻ࢢ৔γϛϡϨʔγϣϯͰ͸ਤ 3.1 ʹࣔ͢Α͏ʹɼϚΫϩ‫ݱ‬৅Ͱ͋Δࢢ৔Ձ֨ͷಅམ཰΍ചങ਺ྔΛϞσϧԽ͠ͳ͍ɽ͋͘·Ͱɼ౤ࢿՈΛ໛ͨ͠ “ΤʔδΣϯτ” ͱऔҾॴΛ໛ͨ͠ “Ձܾ֨ఆϝΧχζϜ” ͱ͍ͬͨϛΫϩϝΧχζϜΛϞσϧԽ͠ɼͦͷϛΫϩϝΧχζϜͷ
૬‫༻࡞ޓ‬ͷੵΈ্͛ͱͯ͠ϚΫϩ‫ݱ‬৅͕ग़ྗ͞ΕΔɽͦͷͨΊɼϛΫϩϝΧχζϜͷϞσ
ϧԽ͸‫࣮ݱ‬ͷࢢ৔ʹଈͨ͠΋ͷͱ͠ɼ݁Ռͱͯ͠ग़ྗ͞ΕΔϚΫϩ‫ݱ‬৅͸‫࣮ݱ‬ͷࢢ৔Λ࠶‫͞ݱ‬ΕΔΑ͏ʹ࡞Δඞཁ͕͋Δɽ
͔͠͠ɼීวతͰ͸ͳ͘ಛఆͷ࣌‫ظ‬΍ࢿ࢈ɼ஍ҬͰग़‫͢ݱ‬ΔϚΫϩతੑ࣭͢΂ͯΛ࠶‫ݱ‬͢Δ͜ͱ͸໨తͰ͸ͳ͍ɽௐࠪ໨తʹԠͯ͡ɼண໨͢Δ‫ݱ‬৅ͷ࣌ؒεέʔϧ΍஍Ҭ΍ࢿ࢈Ͱग़‫͢ݱ‬ΔϚΫϩͷੑ࣭ͷ࠶‫ݱ‬͸ඞਢͰ͋Δ͕ɼௐࠪ໨తͱ͸௚઀ؔ܎ͷͳ͍ϚΫϩͷੑ࣭ͷ࠶‫ݱ‬͸ඞਢͰ͸ͳ͍ɽඞཁҎ্ʹଟ͘ͷϚΫϩతੑ࣭ΛҰͭͷϞσϧͰ࠶‫͠ݱ‬Α͏ͱ͢Δͱɼա৒ʹෳࡶͳϞσϧΛ΋ͨΒ͠ɼ‫͘͠ৄʹޙ‬ड़΂Δଥ౰ੑ (3) ʹ൓͢Δ‫ڪ‬Ε͕͋
Δɽྫ͑͹ɼ਺ϲ݄͘Β͍ͷ‫ݱ‬৅ʹண໨͍ͯ͠Δͷʹɼ1 ඵҎԼͷ࣌ؒεέʔϧͰग़‫͢ݱ‬ΔϚΫϩ‫ݱ‬৅ͷ࠶‫ݱ‬͸ඞਢͰ͸ͳ͍ɽ‫ʹٯ‬ɼ਺ඵఔ౓ͷ͍Θ͍ΔϚΠΫϩετϥΫνϟʔʹண໨͍ͯ͠Δͱ͖ʹɼ਺೔Ҏ্ʹΘͨͬͯग़‫͢ݱ‬ΔϚΫϩ‫ݱ‬৅ͷ࠶‫ݱ‬͸ඞਢͰ͸ͳ͍ɽͯ͞ɼୈ 2 ষͰ΋ड़΂ͨΑ͏ʹɼࢢ৔Ձ֨΍ࢢ৔Ͱͷചങ਺ྔʢग़དྷߴʣͷ౷‫ܭ‬తੑ࣭͸ελΠϥΠζυɾϑΝΫτͱΑ͹Εɼଟ͘ൃ‫͞ݟ‬Ε͍ͯΔɽ[Sewell 06] ͳͲଟ͘ͷ‫Ͱڀݚ‬ड़΂ΒΕ͍ͯΔΑ͏ʹɼۚ༥ࢢ৔͸ෆ҆ఆͰ͋Γɼ҆ఆతʹɼͲͷΑ͏ͳ࣌‫ʹظ‬΋༗ҙʹ‫؍‬ଌ͞ΕΔελΠϥΠζυɾϑΝΫτ͸ҎԼͷ 2 ͔ͭ͠ͳ͍ɽ͢ͳΘͪɼϑΝοτɾςʔϧ [Mandelbrot 63, Cont 01, Sewell 06] ͱϘϥςΟϦςΟɾΫϥελϦϯά [Mandelbrot

72, Cont 01, Sewell 06] Ͱ͋Δɽ͔͠΋ɼ͜ΕΒ͸౷‫ྔܭ‬ͷ༗ҙʹਖ਼Ͱ͋Δ͜ͱ͚͕ͩ҆ఆͯ͠‫؍‬ଌ͞Εɼ஋ͦͷ΋ͷ͸ɼ࣌‫ʹظ‬ΑͬͯҟͳΔɽϑΝοτɾςʔϧʹ͍ͭͯ͸ɼ࣮

51

3.2 ଥ౰ੑʹ͍ͭͯূ෼ੳͰΑ͘‫؍‬ଌ͞ΕΔಅམ཰ͷ෼෍ͷઑ౓*1 ͸ 1 ∼ 100 ఔ౓Ͱ͋ΓɼϘϥςΟϦςΟɾΫϥελϦϯάʹ͍ͭͯ͸ɼ࣮ূ෼ੳͰΑ͘‫؍‬ଌ͞ΕΔಅམ཰ͷࣗ‫ݾ‬૬ؔ͸ 0.01 ∼ 0.2
ఔ౓ͱɼ͔ͳΓ͹Β͖͕ͭ͋Δ [Sewell 06]ɽ͢ͳΘͪɼۚ༥ࢢ৔ʹ‫ڞ‬௨͢Δੑ࣭Λ෼ੳର
৅ͱ͢Δਓ޻ࢢ৔͕࠶‫͖΂͢ݱ‬͸ɼ͜ΕΒͷ౷‫͕ྔܭ‬༗ҙʹਖ਼Ͱ͋Δ͜ͱͰ͋ͬͯɼಛఆ
ͷ஋ʹ͚ۙͮΔ͜ͱ͸ຊ࣭తͰ͸ͳ͍ɽϑΝοτɾςʔϧ͸ɼࢢ৔Ձ֨ͷಅམ཰ͷ෼෍͕ਖ਼‫ن‬෼෍Ͱ͸ͳ͘੄͕ް͍ɼ͢ͳΘͪɼઑ౓͕ਖ਼Ͱ͋Δ͜ͱͰ͋Δɽਖ਼‫ن‬෼෍Ͱ༧૝͞ΕΔΑΓ΋ɼେ͖ͳ্ঢɾԼམ͕ଟ͍͜ͱ
Λ͍ࣔͯ͠ΔɽϑΝοτɾςʔϧ͸΄ͱΜͲͷۚ༥ࢿ࢈ɼ࣌ؒεέʔϧɼ஍Ҭ΍࣌‫ʹظ‬ଘࡏ͍ͯ͠Δ͜ͱ͕஌ΒΕ͍ͯΔɽ͔͠͠ͳ͕Βɼઑ౓ͷ஋ͷେ͖͞͸ɼ͓ͷ͓ͷҟͳΓɼ҆ఆ͍ͯ͠ͳ͍ɽ
ϘϥςΟϦςΟɾΫϥελϦϯά͸ࢢ৔Ձ֨ͷಅམ཰ͷ 2 ৐͕ɼେ͖ͳϥάͰ΋ࣗ‫ݾ‬૬ؔ܎਺͕༗ҙʹਖ਼Ͱ͋Δ͜ͱͰ͋Δɽϥά͕খ͍͞΄͏͕ࣗ‫ݾ‬૬ؔ܎਺͸େ͖͍͕ɼͦΕͰ΋͍͍ͤͥ 0.2 ఔ౓Ͱ͋Γɼϥά͕େ͖͘ͳΔͱ༗ҙʹਖ਼Ͱ͋Δͱ͸͍͑ɼ0.01 ͔Βେ͖ͯ͘΋ 0.1 ఔ౓Ͱ͋Δɽ͢ͳΘͪɼਓ޻ࢢ৔Ϟσϧ͕ϘϥςΟϦςΟɾΫϥελϦϯά
Λ࠶‫͔͏Ͳ͔ͨ͠ݱ‬ٞ࿦͢Δ৔߹ɼࣗ‫ݾ‬૬ؔ܎਺͕େ͖͗͢Δͱɼ͔͑ͬͯɼ࣮ࡍͷۚ༥ࢢ৔Λ࠶‫͍ͯ͠ݱ‬Δͱ͸͍͍͕͍ͨɽϑΝοτɾςʔϧಉ༷ɼ஋ͷେ͖͞͸҆ఆ͍ͯ͠ͳ
͍ͨΊಛఆͷ஋ʹ͚ۙͮΔ͜ͱ͕໰୊Ͱ͸ͳ͘ɼଥ౰ͳ஋ͷ෯ʹೖ͍ͬͯΔ͔Ͳ͏͔͸‫ݕ‬౼͢΂͖͜ͱͰ͋Δɽ

“ଥ౰ੑ (3) ௐࠪ໨తʹԠͨ͡ద੾ͳෳࡶ͞” ʹ͍ͭͯड़΂ΔɽϞσϧ͕Ͳͷఔ౓ෳࡶͰ͋Δ΂͖͔͸ɼௐࠪ໨తʹΑͬͯҟͳΔɽγϛϡϨʔγϣϯ݁Ռ͕ɼఆྔతʹ΋‫࣮ݱ‬ͷۚ༥ࢢ৔ʹۙ͘ͳΔΑ͏ʹ͢Δ͜ͱ͕໨తͰ͋Ε͹ɼෳࡶͳϞσϧ͕ඞཁͱͳΔɽ‫࣮ݱ‬ͷۚ༥ࢢ৔Ͱ‫͍͖ͯى‬Δ‫ݱ‬৅Ͱؔ࿈͢ΔཁૉΛͰ͖Δ͚ͩ໢ཏ͢ΔΑ͏ʹϞσϧԽΛߦ͍ɼ‫ͱ࣮ݱ‬ಉ͜͡ͱ͕γϛϡϨʔγϣϯͰ΋‫͕ͱ͜͢͜ى‬໨తͱͳΔɽྫ͑͹ɼ࣮ࡍͷۚ༥ࢢ৔Ͱա‫͖ͨىʹڈ‬ΠϕϯτΛ஧࣮ʹ࠶‫ͯ͠ݱ‬ɼԿ͕‫͍͖ͨͯى‬ͷ͔Λ෼ੳ͢Δ৔߹͕͋͛
ΒΕΔɽҰํͰɼ‫࣮ݱ‬Λ஧࣮ʹ࠶‫͢ݱ‬Δͱ͍͏ΑΓ͸ɼະདྷʹ‫͜ى‬ΔՄೳੑ͕͋Δ‫ݱ‬৅Λௐ΂্͛ɼͦΕΒͷ‫ݱ‬৅ͷൃੜϝΧχζϜΛ෼ੳͯ͠஌ࣝΛಘΔௐࠪͷ৔߹ɼϞσϧ͕ෳࡶ͗͢
Δͱؔ࿈͢Δཁૉ͕ଟ͘ͳΓ͗ͯ͢ɼൃੜϝΧχζϜͷཧղΛ๦͛ͯ͠·͏ɽຊ‫Ͱڀݚ‬͸ɼ‫࣮ݱ‬ͷۚ༥ࢢ৔Ͱٞ࿦͞Ε͍ͯΔ‫੍ن‬ɾ੍౓ΛऔΓѻ͏͕ɼۚ༥ࢢ৔Ͱ͜Ε͔Β࣮ࡍʹ͓͜Δ‫ݱ‬৅Λఆྔతʹ΋஧࣮ʹ࠶‫͢ݱ‬Δ͜ͱ͕໨తͰ͸ͳ͘ɼͦΕΒͷ‫੍ن‬ɾ੍౓͕Ͳ
ͷΑ͏ͳϝΧχζϜͰՁ֨‫ܗ‬੒ʹӨ‫ڹ‬Λ༩͑ɼͲͷΑ͏ͳ͜ͱ͕‫͜ى‬ΓಘΔͷ͔ͱ͍͏஌
ࣝ֫ಘ͕໨తͰ͋ΔɽͦͷͨΊຊ‫Ͱڀݚ‬͸ɼՁܾ֨ఆϝΧχζϜ͸‫࣮ݱ‬ͷ‫੍ن‬ɾ੍౓Λ࣮*1 ͜͜Ͱͷઑ౓ͷఆٛ͸ɼਖ਼‫ن‬෼෍Ͱ 0 ͱͳΔఆٛͰ͋Δɽ͢ͳΘͪɼn ‫ݸ‬ͷσʔλ xi (i = 1, , , n) ͕͋Δnͱ͖ɼxi ͷฏ‫ۉ‬Λ X ɼඪ४ภࠩΛ S ͱ͢Δͱઑ౓ K ͸ɼK = 1/(nS 4 ) ×(x − X)4 − 3ɼͱ
i=1 i



͢ΔఆٛΛ࢖༻ͨ͠ɽ

52

ୈ 3 ষ ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱϞσϧԽͷબ୒࣠
૷͢ΔͨΊɼ‫࣮ݱ‬ͷऔҾॴʢऔҾࢢ৔ʣΛඞཁͳൣғ಺Ͱ஧࣮ʹ࠶‫͠ݱ‬ɼΤʔδΣϯτ͸
ଥ౰ੑ (1),(2) Λຬͨ͢ൣғ಺ͰɼͳΔ΂͘γϯϓϧͳϞσϧΛ໨ࢦͨ͠ɽ
ෳࡶͳਓ޻ࢢ৔Ϟσϧʹରͯ͠ɼϞσϧ͕ෳࡶʹͳΔͱύϥϝʔλ͕૿͑ϞσϧͷධՁ͕ࠔ೉ʹͳΔͱ͍͏൷൑͕͋Δ [Chen 12]ɽύϥϝʔλ͕૿͑Δ΄Ͳ͞·͟·ͳग़ྗ͕ͩ
ͤΔΑ͏ʹͳΓɼϞσϧΛ࡞ͬͨਓ͕ಋ͖͍ͨ݁Ռ΁ዞҙతʹಋͨ͘Ίͷύϥϝʔλઃఆ͕ߦΘΕΔ‫ڪ‬Ε͕͋ΔɽγϯϓϧͰύϥϝʔλ͕গͳ͍Ϟσϧ΄Ͳɼύϥϝʔλௐ੔ʹΑͬͯಛఆͷ݁Ռʹಋ͘͜ͱ͕ࠔ೉Ͱ͋ΔͨΊධՁ͕༰қͱͳΔɽዞҙతͰͳ͍ʹͯ͠΋ɼྫ͑͹ɼ਺೔ఔ౓ͷ࣌ؒεέʔϧͷ‫ݱ‬৅Λ‫ݟ‬Α͏ͱ͍ͯ͠Δͷʹ਺ϛϦඵͱ͍ͬͨ࣌
ؒεέʔϧͷελΠϥΠζυɾϑΝΫτΛ࠶‫͢ݱ‬ΔͨΊ͚ͩʹύϥϝʔλΛ૿΍ͨ͠ͱ͢Δɽύϥϝʔλ͸૿΍͞ͳͯ͘΋਺೔ఔ౓ͷ࣌ؒεέʔϧͷελΠϥΠζυɾϑΝΫτ͸
࠶‫͞ݱ‬Ε͍ͯΔͱ͢Δɽ͜ͷ༨‫ͳܭ‬ύϥϝʔλௐ੔ʹΑͬͯɼ‫ʹ࣮ݱ‬͸ඇৗʹ‫͜ى‬Γʹ͍͘௕࣌ؒɾ୹࣌ؒεέʔϧͷ૬‫ʹ༻࡞ޓ‬ΑΔ‫ݱ‬৅Λ‫͔͏·ͯ͜͠͠ى‬΋͠Εͳ͍ɽͦͷΑ͏ͳ‫ݱ‬৅͸͜ͷௐࠪʹ͓͍ͯ͸ຊ࣭తͰͳ͘ɼ༨‫ͳܭ‬Մೳੑʹ͍ͭͯ‫ݕ‬౼ͯ͠͠·͏‫ڪ‬Ε͕͋Δɽͳ͓ɼ௕࣌ؒɾ୹࣌ؒεέʔϧͱ΋ʹॏཁͰ͋ΔΑ͏ͳ‫ݱ‬৅ͷ෼ੳͰ͋ΔͳΒ͹ɼ͜ͷΑ͏ͳύϥϝʔλ͸ඞཁͰ͋Δ͜ͱ͸͍͏·Ͱ΋ແ͍ɽͦͷ৔߹Ͱ΋ɼ௕࣌ؒεέʔϧ͚ͩͰͷγϛϡϨʔγϣϯ݁Ռɼ୹࣌ؒεέʔϧͰͷγϛϡϨʔγϣϯ݁ՌΛΑ͘‫͞ڀݚ‬Ε্ͨͰɼͦͷΑ͏ͳ૬‫͜ى͕༻࡞ޓ‬ΓಘΔͷ͔Ͳ͏͔৻ॏʹ‫ݕ‬౼͠ɼύϥϝʔλͷ૿ՃͷੋඇΛ‫ݕ‬౼͢΂͖ͩͱߟ͑ΒΕΔɽ
࣍અҎ߱ɼ۩ମతʹͲͷΑ͏ʹϛΫϩʢΤʔδΣϯτ͓ΑͼՁܾ֨ఆϝΧχζϜʣΛϞσϦϯά͢Δ͔Λड़΂Δɽ͢ͳΘͪɼ“ଥ౰ੑ (2) ϛΫϩϞσϧͰ͋ΔΤʔδΣϯτ͸‫ݱ‬࣮ͷ౤ࢿՈ૾ͱ੔߹” ʹ͍ͭͯड़΂͍ͯ͘ɽͦ͜Ͱ͸ɼ“ଥ౰ੑ (1) ‫࣮ݱ‬ͷϚΫϩ‫ݱ‬৅Ͱ͋Δࢢ৔Ձ֨ͷ౷‫ܭ‬తੑ࣭Λ࠶‫ͭͭ͠ ”ݱ‬ɼ“ଥ౰ੑ (3) ௐࠪ໨తʹԠͨ͡ద੾ͳෳࡶ͞”ʹཹҙ͢Δ͜ͱͱͳΔɽ͢ͳΘͪɼਖ਼֬ʹ‫੍ن‬ɾ੍౓͕࣮૷Ͱ͖ΔՁܾ֨ఆϝΧχζϜͷ
ϞσϧΛ࡞੒͢ΔҰํɼ෼ੳର৅ʹͱͬͯຊ࣭తͳϚΫϩΛ࠶‫͖ͯͰݱ‬ɼ͔ͭ‫ʹ࣮ݱ‬ଈ͠
͍ͯΔΤʔδΣϯτϞσϧͷ͏ͪɼͳΔ΂͘γϯϓϧͳΤʔδΣϯτϞσϧΛ୳͢ɼͱ͍
͏͜ͱΛߦ͍ͬͯ͘ɽ

53

3.2 ଥ౰ੑʹ͍ͭͯጇᙜᛶ(1)⌧ᐇ䛾䝬䜽䝻䜢䠄ᚲせ䛺㒊ศ䠅෌⌧䝇䝍䜲䝷䜲䝈䝗䞉䝣䜯䜽䝖䜢෌⌧䝣䜯䝑䝖䞉䝔䞊䝹
䝪䝷䝔䜱䝸䝔䜱䞉䜽䝷䝇䝍䝸䞁䜾䛭䛾௚┠ⓗ䛻ᛂ䛨䛶෌⌧䛩䜛䜒䛾
ጇᙜᛶ(2)
ᐇド➼䛷ゎ᫂䛥䜜䛯䝭䜽䝻䛻䛒䜟䛫䜛

䝣䜯䞁䝎䝯䞁䝍䝹ᢞ㈨ᐙ
䝔䜽䝙䜹䝹䠄㡰ᙇ䜚䠅ᢞ㈨ᐙ
ਤ 3.1

䝬䜽䝻 ĸ๓ᥦ䜢⨨䛛䛺䛔౯᱁ኚື㻌 㻌 㻌 㔠⼥ᕤᏛ
኎㈙ᩘ㔞

✚䜏ୖ䛢
䝭䜽䝻 ĸ䝰䝕䝹໬䜶䞊䝆䜵䞁䝖䠄ᢞ㈨ᐙ䠅౯᱁Ỵᐃ䝯䜹䝙䝈䝮䠄ྲྀᘬᡤ䠅ጇᙜᛶ(3)
ㄪᰝ┠ⓗ䛻ᛂ䛨䛯㐺ษ䛺」㞧䛥

ਓ޻ࢢ৔Ϟσϧͷ̏ͭͷଥ౰ੑ

54

ୈ 3 ষ ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱϞσϧԽͷબ୒࣠

3.3 ΤʔδΣϯτͷՁ֨ͷ༧૝ํ๏ʢ౤ࢿઓུʣ
͜͜Ͱ͸౤ࢿՈΛ໛ͨ͠ΤʔδΣϯτ͕ͲͷΑ͏ʹऔҾ͞Ε͍ͯΔࢿ࢈ͷՁ֨Λ༧૝͢
Δ͔ɼ͢ͳΘͪ౤ࢿઓུʹ͍ͭͯͲͷΑ͏ʹϞσϧԽ͢Δ͔ʹ͍ͭͯड़΂ΔɽΤʔδΣϯτ͕ͱΓಘΔઓུ͸ແ‫ʹݶ‬ଘࡏ͢Δɽ͔͠͠ຊ‫Ͱڀݚ‬͸ɼલઅͰड़΂ͨΑ͏ʹɼΈͩΓʹઓུΛ૿΍͢͜ͱ͸ߦΘͣɼϚΫϩ‫ݱ‬৅Λ࠶‫͢ݱ‬Δʹຊ࣭తͳઓུͷΈΛ࣮૷͢Δɽ

Nature ʹ‫͞ࡌܝ‬Εͨ [Lux 99] Ͱ͸ɼΤʔδΣϯτ͕ͱΔઓུΛϑΝϯμϝϯλϧઓུͱςΫχΧϧઓུͷ̎ͭʹू໿͢Δ͜ͱʹΑΓɼൺֱతγϯϓϧͳϞσϧͰॏཁͳελΠϥΠζυɾϑΝΫτͰ͋ΔϘϥςΟϦςΟɾΫϥελϦϯάΛ࠶‫ͨ͠ݱ‬ɽ͜ͷ‫ʹڀݚ‬ΑΓɼΤʔδΣϯτ͕ͱΔ౤ࢿઓུ͸͜ΕΒ 2 ͭΛ࣠ʹ࣮૷͞ΕΔΑ͏ʹͳͬͨɽਤ 3.2 ͸ɼ͜ΕΒ̎ͭͷઓུΛ໛ࣜతʹ͋ΒΘͨ͠΋ͷͰ͋ΔɽϑΝϯμϝϯλϧઓུ͸ɼࢢ৔Ձ֨ͱϑΝϯμϝϯλϧՁ֨Λൺֱ͠ɼࢢ৔Ձ֨ͷ΄͏͕ߴ͚Ε͹ࢢ৔ͰऔҾ͞Ε͍ͯΔࢿ࢈ΛചΓɼ͚҆Ε͹ങ͏ઓུͰ͋ΔɽҰํɼςΫχΧϧઓུ͸ա‫ڈ‬ͷࢢ৔Ձ֨ͱൺ΂্ͯঢ͍ͯ͠Ε͹ങ͍ɼԼམ͍ͯ͠Ε͹ചΔઓུͰ͋Δɽͳ͓ɼҰൠతʹςΫχΧ
ϧઓུ͸ա‫ڈ‬ͷࢢ৔Ձ֨Λ༻͍ͨ౤ࢿઓུ͢΂ͯΛ͞͠ɼྫ͑͹ɼࢢ৔Ձ͕֨Լམʢ্ঢʣ
͍ͯ͠Ε͹ങ͍ʢചΓʣͱ͍ͬͨ “‫ٯ‬ுΓઓུ” ΋‫ؚ‬ΜͰ͍Δɽ͔͠͠ɼຊ࿦จͰ͸ࢢ৔Ձ্͕֨ঢʢԼམʣ͍ͯ͠Ε͹ങ͏ʢചΔʣɼ“ॱுΓઓུ” ͷΈΛऔΓѻ͏ɽ‫Ͱޙ‬ड़΂ΔΑ͏ʹɼॱுΓઓུͷΈ͕ɼελΠϥΠζυɾϑΝΫτΛ࠶‫͢ݱ‬ΔͷʹඞཁͰ͋Δ͜ͱ͕
෼͔͍ͬͯΔ͔ΒͰ͋Δɽ
ਤ 3.2(a) ͸ɼϑΝϯμϝϯλϧઓུͱςΫχΧϧઓུʢॱுΓઓུʣͷ౤ࢿ൑அ͕‫ٯ‬ʹͳͬͨέʔεͰ͋Δɽࢢ৔Ձ͕֨ϑΝϯμϝϯλϧՁ֨Λ্ճ͓ͬͯΓɼࢢ৔Ձ্͕֨ঢ͍ͯ͠ΔͨΊɼϑΝϯμϝϯλϧઓུ͸ചΓ൑அɼςΫχΧϧઓུ͸ങ͍൑அͱͳΔɽ(b) ͷέʔε΋྆ઓུͷ൑அ͕‫͓ͯͬͳʹٯ‬Γɼ(a) ͱ͸‫ʹٯ‬ɼϑΝϯμϝϯλϧઓུ͕ങ͍ɼςΫχΧϧઓུ͕ചΓ൑அͱͳ͍ͬͯΔɽ(c)ɼ(d) ͷέʔεͷΑ͏ʹɼಉ͡൑அʹͳΔ৔߹΋͋Γɼྫ͑͹ (c) ͷ৔߹ɼࢢ৔Ձ͕֨ϑΝϯμϝϯλϧՁ֨ΛԼճ͓ͬͯΓɼࢢ৔Ձ্͕֨ঢ͍ͯ͠Δ৔߹ɼ྆ઓུͱ΋ങ͍൑அͱͳΔɽ(d) ͸͜ͷ‫ٯ‬ͷέʔεͰ྆ઓུ͕ചΓ൑அͱͳ͍ͬͯΔɽ

[Lux 99] Ͱ͸ɼͳͥ͜ͷ 2 ઓུʹͨ͠ͷ͔͸ٞ࿦͞Ε͍ͯͳ͍ɽͦͷ‫ޙ‬ͷ‫͍͓ʹڀݚ‬ͯ΋͜ͷ࿦఺͸͋·Γٞ࿦͞Ε͍ͯͳ͍ɽ࣮‫ʹͲͳֶࡁܦݧ‬ΑͬͯߦΘΕͨΞϯέʔτΛ༻͍ͨ‫ڀݚ‬΍ඃ‫ऀݧ‬Λର৅ʹߦ࣮ͬͨ‫ʹڀݚݧ‬Αͬͯɼ͜ͷ 2 ઓུΛ࢖༻͢Δଥ౰ੑ͕ࣔ
͞Ε͍ͯΔͱߟ͑ΒΕΔ͜ͱΛड़΂Δɽ࣮ࡍͷۚ༥ࢢ৔Ͱͷ౤ࢿՈΛର৅ʹߦͬͨଟ͘ͷΞϯέʔτௐࠪʹ͓͍ͯɼͲͷΑ͏ͳ౤ࢿઓུΛ࢖༻͍ͯ͠Δ͔ਘͶͨͱ͜Ζɼଟ͘ͷ౤ࢿՈ͕ϑΝϯμϝϯλϧઓུ͔ςΫχΧϧઓུ·ͨ͸ͦͷ྆ํΛ࢖༻͍ͯ͠Δͱ౴͑ͨ (༏ΕͨϨϏϡʔͱͯ͠ [Menkhoﬀ

3.3 ΤʔδΣϯτͷՁ֨ͷ༧૝ํ๏ʢ౤ࢿઓུʣ07])ɽਤ 3.3 ͸ [Menkhoﬀ 07] ͷ Table.2 ΛҾ༻ͨ͠΋ͷͰ͋Δɽ͍ͣΕͷΞϯέʔτௐࠪͷ‫͍͓ͯʹڀݚ‬΋ɼϑΝϯμϝϯλϧઓུ͔ςΫχΧϧઓུ͚ͩͰɼগͳ͘ͱ΋൒෼Ҏ্Λ઎Ί͓ͯΓɼ80% Ҏ্ͷߴ͍਺஋Λࣔ͢‫ڀݚ‬΋͋Δɽ͢ͳΘͪɼ‫࣮ݱ‬ͷۚ༥ࢢ৔Ͱͷ౤ࢿՈͨͪͷଟ͘͸ɼ͜ΕΒͷ 2 ઓུΛ࣠ʹ౤ࢿΛߦ͍ͬͯΔ͜ͱ͕Θ͔Δɽඃ‫ʹऀݧ‬ରͯ͠ߦ࣮ͬͨ‫ʹڀݚݧ‬ΑΓɼਓؒ͸ຊདྷతʹςΫχΧϧઓུɼ͔͠΋ॱுΓઓུΛߦ͏͜ͱ͕஌ΒΕ͍ͯΔɽ[‫ڮ‬ຊ 08] ͸ɼඃ‫ʹऀݧ‬ՍۭͷՁ֨ͷਪҠΛ‫ͤݟ‬ɼඃ‫ऀݧ‬ʹͦͷ‫ޙ‬Ձ͕֨Ͳ͏ͳΔ͔Λ༧૝ͤͨ͞ɽਤ 3.4 ͸ [‫ڮ‬ຊ 08] ͷਤ 1 ΛҾ༻ͨ͠΋ͷͰ͋
Δ͕ɼඃ‫ʹऀݧ‬͸͜ͷΑ͏ͳը໘Λ‫ͨͤݟ‬ɽ͜ͷࡍɼදࣔ͞Ε͍ͯΔ΋ͷ͕ՍۭͷՁ֨Ͱ
͋Δ͜ͱɼͦͯͦ͠ͷՁ֨͸‫׬‬શʹϥϯμϜʹಈ͍͍ͯΔʢಅམ཰͸ਖ਼‫ن‬ཚ਺Ͱܾఆʣ͞
Ε͍ͯΔ͜ͱ΋ɼඃ‫ऀݧ‬͸આ໌Λड͚͍ͯΔɽͭ·Γɼදࣔ͞Ε͍ͯΔՁ͕֨ͦͷ‫͏Ͳޙ‬ͳΔ͔͸༧ଌͰ͖Δ΋ͷͰ͸ͳ͍͜ͱΛɼඃ‫ऀݧ‬͸஌Β͞Ε͍ͯΔɽͦΕʹ΋ؔΘΒͣɼଟ͘ͷඃ‫͕ऀݧ‬ɼՁ͕֨ͦͷ‫Ͳޙ‬ͷΑ͏ʹͳΔ͔༧૝͢Δ͜ͱΛࢼΈɼ͔͠΋ͦͷ༧૝͸ॱுΓઓུͰ͋Δ͜ͱ͕෼͔ͬͨɽ͜ͷΑ͏ͳ࣮‫ʹڀݚݧ‬ΑΓɼ͔֬ʹɼਓؒ͸ຊདྷతʹॱுΓઓུΛ༻͍Δ͜ͱ͕ࣔ͞Εͨɽଟ͘ͷ‫ࡁܦ‬෺ཧֶͷ‫ڀݚ‬ʢྫ͑͹ɼ[ࢁా 11, Yamada 09]ʣʹΑͬͯɼςΫχΧϧઓུ
Ͱ͋ΔॱுΓઓུͱɼ஫จִؒʹରͯ͠ͷॱுΓɼͭ·Γ஫จִ͕ؒ‫ͳ͘ڱ‬ΔͱΤʔδΣϯτ΋ߴස౓ʹ஫จ͢ΔΑ͏ʹͳΔɼͱ͍͏ϞσϧԽ͚ͩͰओཁͳελΠϥΠζυɾϑΝΫτͰ͋ΔϑΝοτɾςʔϧͱϘϥςΟϦςΟɾΫϥελϦϯά͕࠶‫͞ݱ‬ΕΔ͜ͱ͕ࣔ͞
Ε͍ͯΔɽ͜Ε·ͰʹɼϑΝϯμϝϯλϧઓུ͚ͩͰ͜ΕΒ͕࠶‫͞ݱ‬ΕΔͱ͍͏‫ڀݚ‬͸ͳ͍ɽͦͷͨΊɼࢢ৔ͷϚΫϩ‫ݱ‬৅Λ࠶‫͢ݱ‬ΔͷʹϑΝϯμϝϯλϧઓུ͸ඞཁͳ͍ͱ͍͏ओு΋͋
Δɽୈ 2 ষͰࣔͨ͠Α͏ʹɼޮ཰తࢢ৔ԾઆʹΑΕ͹ɼϑΝϯμϝϯλϧઓུ͕ओཁͳઓ
ུͰ͋ΓɼςΫχΧϧઓུ͸͍ͨͱͯ͠΋ϊΠζͰ͋ΓɼςΫχΧϧઓུ͸རӹΛ͋͛Δ͜ͱ͕Ͱ͖ͳ͍ͨΊ‫ݮ‬গ͍ͯ͘͠ͱߟ͑ΒΕ͍ͯΔ [Friedman 53]ɽ͔͠͠ɼ͜Ε·Ͱड़΂͖ͯͨΑ͏ͳΞϯέʔτΛ༻͍ͨ‫Ͱڀݚ‬͸ɼςΫχΧϧઓུΛ࢖༻͍ͯ͠Δͱਃࠂ͢Δ
౤ࢿՈ͸࣮ࡍʹଟ͘ଘࡏ͠ɼ࣮‫Ͱڀݚݧ‬͸ਓؒ͸ຊདྷతʹςΫχΧϧઓུΛ༻͍Δ͜ͱ͕ࣔ͞Εɼ‫ࡁܦ‬෺ཧֶ͸ςΫχΧϧઓུͷΈͰελΠϥΠζυɾϑΝΫτ͕࠶‫͞ݱ‬ΕϚΫϩ‫ݱ‬৅Λ࠶‫͖Ͱݱ‬Δ͜ͱΛ͍ࣔͯ͠ΔɽͦͷͨΊɼਓ޻ࢢ৔ͷΤʔδΣϯτͷϞσϧԽʹ͓͍ͯ͸ɼςΫχΧϧઓུ͸ඞཁͰ͋ΓɼϑΝϯμϝϯλϧઓུ͸ɼඞͣ͠΋ඞཁͰ͸ͳ͍ͱߟ͑ΒΕΔɽͱ͸͍͑ɼΞϯέʔτௐ͕͍ࠪࣔͯ͠ΔΑ͏ʹϑΝϯμϝϯλϧઓུΛߦ͍ͬͯΔͱਃ
ࠂ͍ͯ͠Δ౤ࢿՈ͸ଟ͘ɼςΫχΧϧઓུΑΓ΋ଟ͘ͷϑΝϯμϝϯλϧ౤ࢿՈͷଘࡏΛࣔ͢‫ڀݚ‬΋ଟ͍ɽࢿ࢈ͷछྨʹΑͬͯ͸ɼϑΝϯμϝϯλϧՁ֨ͷଘࡏ͕ɼͦͷࢿ࢈ͷຊ࣭తͳੑ࣭͔Β໌Β͔ͳ৔߹͕͋Δɽྫ͑͹ɼ࠴݊͸ຬ‫ͳʹظ‬Ε͹Ұఆͷ͋Β͔͡ΊܾΊΒΕֹ͕ͨۚखʹೖΓೖΔͨΊɼ࠴຿ऀ͕ഁ࢈͢ΔՄೳੑ΍ɼҰൠతͳଞͷ࠴݊ࢢ৔Ͱͷ

55

56

ୈ 3 ষ ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱϞσϧԽͷબ୒࣠ۚརͷมಈͳͲͷෆ֬ఆཁૉ͸͋ΔʹͤΑɼͦͷܾΊΒΕֹ͔ͨۚΒฏ‫ۉ‬తͳۚརͳͲ͔
Β‫͖Ͱࢉٯ‬ΔՁ֨෇ۙͰऔҾ͞Ε͍ͯΔ͜ͱ΋ଟ͍ɽͦͷɼԿΒ͔ͷํ๏Ͱ‫͞ࢉٯ‬ΕͨՁ֨ΛϑΝϯμϝϯλϧՁ֨ͱΈͳ͢͜ͱ͸ՄೳͰ͋Ζ͏ɽ·ͨɼ‫͍͓ͯʹࣜג‬͸ɼ‫ࣜג‬ΛશͯखʹೖΕͨ΋ͷ͸औక໾Λަ୅ͤͯ͞શͯͷརӹΛ഑౰͢Δऔక໾ʹೖΕସ͑Δ͜ͱʹΑΓɼશͯͷརӹΛະདྷӬ߷‫Ͱۚݱ‬खʹೖΕΔ͜ͱ͕Ͱ͖Δɽ͜ͷߟ͔͑ΒɼະདྷͷશͯͷརӹΛखʹೖΕΔ͜ͱͷՁ஋Λ‫ͯ͠ࢉܭ‬ϑΝϯμϝϯλϧՁ֨ͱ͢Δ͜ͱ͸ՄೳͰ͋Δ (ྫ͑͹ɼ[Ohlson 95])ɽ
͔͠͠ɼ͍ͣΕͷ৔߹΋ഁ୼͢Δ͔Ͳ͏͔΍ɼະདྷͷརӹ͕Ͳ͏ͳΔ͔ɼ·ͨະདྷͷརӹ͸ͲΕ͘Βׂ͍ΓҾ͔Εͨ΋ͷͰΑ͍ͱ͢Δ͔ɼ·ͨ৔߹ʹΑͬͯ͸ɼങ͏ਓ͕΋ͱ΋ͱߦ͍ͬͯΔࣄ‫͕ͦۀ‬ͷ‫ࣜג‬ձࣾͱ‫͢ྗڠ‬Ε͹෇ՃతͳརӹΛग़ͤΔ৔߹ͳͲങ͏ਓʹΑΔՁ஋ͷҧ͍ͳͲ΋͋ΓɼϑΝϯμϝϯλϧՁ֨͸౤ࢿՈશһ͕߹ҙͨ̍ͭ͠ͷ஋͕‫ݟ‬ग़ͤΔ͜ͱ͸͋Γ͑ͳ͍ɽͭ·ΓɼϑΝϯμϝϯλϧઓུ͸ଟ͘ଘࡏ͢Δͷ͸͔͕֬ͩɼ౤
ࢿՈશһ͕߹ҙͨ̍ͭ͠ͷ஋ʹऩଋ͢ΔΑ͏ͳ΋ͷͰ͸ͳ͘౤ࢿՈ͝ͱʹϑΝϯμϝϯλ
ϧՁ֨͸͹Β͖͕ͭ͋Γɼ໌Β͔ʹϑΝϯμϝϯλϧ͔Βͷେ͖ͳဃ཭͕‫͍ͳ͍͖ͯى‬ൣғͰ͸ͰͨΒΊͳ౤ࢿΛߦ͏ϊΠζɾτϨʔμʔͷΑ͏ͳϞσϧͰे෼࠶‫͍͖ͯͰݱ‬ΔՄ
ೳੑ͢Β͋ΔɽͦͷͨΊɼϑΝϯμϝϯλϧઓུ͸ਓ޻ࢢ৔ϞσϧʹඞͣೖΕͳ͚Ε͹ͳΒͳ͍΋ͷͱ͍͏ΑΓ͸ɼ෼ੳ͢Δର৅ʹΑͬͯ͸ೖΕͯ΋ࠩ͠ࢧ͑ͳ͍ɼͱ͍͏΋ͷͰ
͋Δͱߟ͑Δͷ͕ଥ౰Ͱ͋Ζ͏ɽϑΝϯμϝϯλϧઓུΛೖΕͨ΄͏͕ྑ͍৔߹͸ҎԼͷΑ͏ʹ͍͔ͭ͘ߟ͑ΒΕΔɽ(1) औҾՁ֨ଳΛม͑ͨ͘ͳ͍
(2) ϑΝϯμϝϯλϧՁ֨Λ‫ٸ‬มͤ͞Δ͜ͱʹΑΓࢢ৔ࠞཚΛϞσϧԽ͍ͨ͠(3) ϑΝϯμϝϯλϧՁ֨ͷมԽྔͱࢢ৔Ձ֨ͷมԽྔΛൺֱ͍ͨ͠
(4) ‫ൃޡ‬஫ͳͲͰஶ͘͠ԡ͠Լ͛ΒΕͨࢢ৔Ձ͕֨໭ΔաఔΛ‫͍ͨݟ‬(1) ͸ɼςΫχΧϧઓུͷΈͷ৔߹ɼࢢ৔Ձ͕֨ 10 ഒʹͳͬͨΓ 1/10 ʹͳͬͨΓ͢Δ
͜ͱ͸ଟ͘ൃੜ͢Δ͕ɼԿ͔͠Βͷཧ༝Ͱࢢ৔Ձ֨Λ͋Δਫ४෇ۙʹ͓͖͍ͯͨ͠৔߹͸ϑΝϯμϝϯλϧઓུΛೖΕͯ΋ྑ͍ͱߟ͑ΒΕΔɽྫ͑͹ɼࣅͨΑ͏ͳՁ஋ͷ̎ͭͷࢿ࢈ΛऔҾ͢Δ৔߹΍ɼ͋ΔՁ֨ଳͰͷऔҾ͕લఏͱͳΔ੍౓΍‫੍ن‬Λ෼ੳ͍ͯ͠Δ৔
߹ͳͲ͕ߟ͑ΒΕΔ [ਫా 13c, Mizuta 13d, ਫా 14a, Mizuta 14c]ɽ(2) ͸ࢢ৔ࠞཚΛର৅ͱͨ͠෼ੳΛ͍ͨ͠৔߹ʹ༗ޮͳํ๏Ͱ͋Δ [ീ໦ 12a, ਫా 13b, Mizuta 13e, Mizuta

13f]ɽ࣮ࡍɼۚ༥ࢢ৔Ͱ͸‫ۀا‬ͷอ༗ࢿ࢈͕ఱࡂʹΑΓେ‫ن‬໛ʹফࣦͨ͠৔߹ͳͲϑΝϯμϝϯλϧՁ͕֨‫غ‬ଛ͞ΕϑΝϯμϝϯλϧՁ֨ͷ‫ٸ‬མʹΑͬͯ΋ͨΒ͞ΕΔͱߟ͑Δࢢ৔Ձ֨ͷେ͖ͳԼམ͕͠͹͠͹‫؍‬ଌ͞ΕΔɽ(3) Ͱ͸ɼϑΝϯμϝϯλϧՁ֨ͷมԽྔ͕૿෯͞Εͨ‫ࢢͰܗ‬৔Ձ͕֨‫ܗ‬੒͞Ε͍ͯΔͱ͍͏ԾઆΛௐ΂Δͷʹ༻͍ΒΕΔ (ྫ͑͹ɼ[Chiarella 02, Chiarella 09])ɽ(4) ͸‫ൃޡ‬஫ʹΑΔࢢ৔ࠞཚΛͲͷΑ͏ͳ੍౓ɾ‫੍ن‬ͳΒࠞཚΛେ͖͘͠ͳ͍͔Λ෼ੳ͢Δ৔߹ͳͲʹ༻͍ΒΕΔ [ਫా 13a, Mizuta 14b]ɽ

3.3 ΤʔδΣϯτͷՁ֨ͷ༧૝ํ๏ʢ౤ࢿઓུʣ
͜ΕΒͷཧ༝͸ɼ஫໨͍ͯ͠Δ‫ݱ‬৅ΛγϛϡϨʔγϣϯ͢ΔͨΊͷٕज़తͳཧ༝Ͱ͋
ΔɽϑΝϯμϝϯλϧՁ͕֨ଘࡏ͢Δ͔Ͳ͏͔Λ‫ͨ͠ূݕ‬Γɼޮ཰తࢢ৔ԾઆͷੋඇΛٞ࿦ͨ͠Γ͢ΔͨΊͷ΋ͷͰ͸ͳ͘ɼ͋͘·Ͱɼ͋ͬͨ΄͏͕γϛϡϨʔγϣϯ͠΍͍͔͢Ͳ͏͔ɼͱ͍͏‫͋Ͱ఺؍‬Δɽ
ਤ 3.5 ͸ຊઅͷٞ࿦Λ·ͱΊͨ΋ͷͰ͋ΔɽຊઅͰ͸ਓ޻ࢢ৔ͷΤʔδΣϯτͷϞσϧ
Խʹ͓͍ͯɼΤʔδΣϯτ͕࠾༻͢Δ౤ࢿઓུ͕ϑΝϯμϝϯλϧઓུͱςΫχΧϧઓུͷ 2 ͭΛ࣠ʹٞ࿦͞ΕΔ͜ͱΛड़΂ͨɽ࣮ࡍͷۚ༥ࢢ৔ͷ౤ࢿՈ΁ΞϯέʔτௐࠪΛߦͬͨଟ͘ͷ‫ڀݚ‬͸ɼϑΝϯμϝϯλϧઓུ͔ςΫχΧϧઓུɼ·ͨ͸ͦͷ྆ํΛ༻͍͍ͯΔ
౤ࢿՈ͕গͳ͘ͱ΋൒਺Ҏ্Λ઎Ί͍ͯΔ͜ͱΛࣔͨ͠ɽޮ཰తࢢ৔ԾઆͰ͸ɼϑΝϯμϝϯλϧઓུΛߦ͏౤ࢿՈ͕ࢧ഑తͰ͋ΓɼςΫχΧϧ౤ࢿՈ͸গ਺Ͱ͋Δͱߟ͑Δɽ͠
͔͠ɼߦಈ‫ֶࡁܦ‬ɾ࣮‫Ͱֶࡁܦݧ‬͸ඃ‫ݧ࣮͏ߦʹऀݧ‬Λ௨ͯ͡ɼਓؒ͸ຊདྷతʹςΫχΧ
ϧઓུΛ༻͍Δ͜ͱΛࣔͨ͠ɽ͞Βʹɼ‫ࡁܦ‬෺ཧֶͰ͸ςΫχΧϧઓུͷΈͰελΠϥΠ
ζυɾϑΝΫτΛ࠶‫ݱ‬ɼ͢ͳΘͪۚ༥޻ֶ͕ϞσϧԽͨ͠ϚΫϩ‫ݱ‬৅ͷ࠶‫͖Ͱ͕ݱ‬Δ͜ͱ
Λࣔͨ͠ɽ͜ΕΒͷ݁ՌʹΑΓɼςΫχΧϧઓུ͸ਓ޻ࢢ৔ͷΤʔδΣϯτʹඞཁͰ͋Δ
ͱߟ͑ΒΕɼ·ͨɼϑΝϯμϝϯλϧઓུ͸ඞͣ͠΋ඞཁͳ͍ͱߟ͑ΒΕΔɽ·ͨɼ࠴݊΍‫ࣜג‬ͷఆ͔ٛΒɼ෯͸͋ΔʹͤΑϑΝϯμϝϯλϧՁ֨͸ଘࡏ͢Δͱߟ͑ΒΕΔɽ·ͨɼΞϯέʔτ‫͔ڀݚ‬ΒɼϑΝϯμϝϯλϧઓུΛ࣮ࢪ͍ͯ͠Δ౤ࢿՈ͸ଟ͍ɽͦͷͨΊɼϑΝϯμϝϯλϧઓུ͸ඞཁ͕͋Ε͹࣮૷͞ΕΔ͜ͱ͸໰୊ͳ͍ͱ΋ߟ͑ΒΕΔɽ

57

58

ୈ 3 ষ ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱϞσϧԽͷબ୒࣠

䝔䜽䝙䜹䝹
䠄㡰ᙇ䜚䠅
ᡓ␎
ᕷሙ
౯᱁
(a)

䝣䜯䞁䝎䝯䞁䝍䝹
ᡓ␎䝣䜯䞁䝎䝯䞁䝍䝹
౯᱁

(b)

(c)

(d)

ਤ 3.2

ΤʔδΣϯτͷϞσϧԽʹ༻͍ΒΕΔ̎ͭͷ౤ࢿઓུɼϑΝϯμϝϯλϧઓུͱςΫχΧϧઓུͷ໛ࣜਤ

3.3 ΤʔδΣϯτͷՁ֨ͷ༧૝ํ๏ʢ౤ࢿઓུʣ

ਤ 3.3[Menkhoﬀ 07] ͷ Table.2 ΑΓ

59

60

ୈ 3 ষ ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱϞσϧԽͷબ୒࣠

ਤ 3.4[‫ڮ‬ຊ 08] ͷਤ 1 ΑΓ

61

3.3 ΤʔδΣϯτͷՁ֨ͷ༧૝ํ๏ʢ౤ࢿઓུʣ

ຠ⋡ⓗᕷሙ௬ㄝ䛣䜜䛾䜏䛔䜛䝝䝈୙せ䛺ሙྜ䜒
䝣䜯䞁䝎䝯䞁䝍䝹ᡓ␎୙せᖜ䛿䛒䜛䛜 ୙
Ꮡᅾ
ᰴᘧ䛾ᐃ⩏

䛔䛺䛔
䝝䝈
䜰䞁䜿䞊䝖ㄪᰝ
୺せ䛺
ᡓ␎
⤒῭≀⌮Ꮫ

䝇䝍䜲䝷䜲䝈䝗䞉䝣䜯䜽䝖䜢෌⌧඲㒊㈙䛘䜀฼┈䛿඲䛶⮬ศ䛾䜒䛾
ਤ 3.5

⤯ᑐᚲせ

䝔䜽䝙䜹䝹䠄㡰ᙇ䜚䠅
ᡓ␎
ᚲせ

ே㛫䛾
ᇶᮏ≉ᛶ
⾜ື⤒῭Ꮫ
ᐇ㦂⤒῭Ꮫ

ே䜈䛾ᐇ㦂

ΤʔδΣϯτ͕࠾༻͢Δ౤ࢿઓུ͕ϑΝϯμϝϯλϧઓུͱςΫχΧϧઓུͷ

2 ͭΛ࣠ʹٞ࿦͞ΕΔ͜ͱͷ·ͱΊ62

ୈ 3 ষ ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱϞσϧԽͷબ୒࣠

3.4 ΤʔδΣϯτͷֶशΤʔδΣϯτʹ͓͚Δֶशͱ͸ɼ֤ΤʔδΣϯτ͕ա‫ڈ‬ͷ౤ࢿ੒੷΍ա‫ڈ‬ͷࢢ৔Ձ֨ͷਪҠ͔ΒɼύϥϝʔλΛௐઅͨ͠ΓઓུΛ੾Γସ͑ͨΓ͢Δ͜ͱͰ͋Δɽ౰વɼ౤ࢿ੒੷͕ྑ͘ͳΔ͜ͱΛ໨తͱͯ͜͠ΕΒΛߦ͏ɽֶशΛ௥Ճͯ͠΋৽ͨʹઆ໌ՄೳͱͳΔελΠϥΠζυɾϑΝΫτ͕ແ͍ͱͯ͠ෆཁͩͱ͍͏ओு΋ଟ͍ [Chen 12]ɽ࣮ࡍɼֶश͕࣮
૷͞Ε͍ͯͳ͍γϯϓϧͳਓ޻ࢢ৔ϞσϧͰελΠϥΠζυɾϑΝΫτΛ࠶‫͢ݱ‬Δਓ޻ࢢ৔Ϟσϧ͕ఏএ͞Ε͍ͯΔ (ྫ͑͹ɼ[Chiarella 02, Chiarella 09])ɽ͔࣮͠͠ࡍʹ͸ɼֶश͕࣮૷͞Εͨਓ޻ࢢ৔ͷ΄͏͕ଟ͔ͬͨʢ [Izumi 96, Arthur 97, Lux 99, ࢁా 11, ീ໦

11a, Ohi 11, େҪ 13, ౬ઙ 13, Nakada 13] ͳͲଟ਺ʣɽ͜Ε·Ͱɼֶशʹؔͯ͠ಉҰͷϞσϧͰֶश͋Γɾͳ͠ͷ৔߹Λৄࡉʹൺֱ͠ɼൺֱͷͨΊͷ‫ج‬४ͷఏࣔͳͲ͸ߦΘΕͯ͜ͳ͔͕ͬͨɼ[Mizuta 13f] ͕͸͡Ίͯ͜ΕΒͷٞ࿦Λߦͬͨɽ͜ͷٞ࿦ͷৄࡉ͸ୈ 6 ষͰߦ͏ͱ͠ɼ͜͜Ͱ͸ɼ͜Ε·Ͱଟ͘ͷਓ޻ࢢ৔Ϟσϧ͕ͳֶͥशΛ࣮૷͖ͯͨ͠ͷ͔Λड़΂Δɽۚ༥ࢢ৔ʹ͓͍ͯɼόϒϧ‫ܗ‬੒࣌ʹ͸ֶश͕ॏཁͰ͋Δ͜ͱ͸͞·͟·ͳ‫͔఺؍‬Β஌ΒΕ͍ͯͨɽੈքͰ࠷ॳͷόϒϧͱͯ͠঺հ͞ΕΔ͜ͱ͕ଟ͍ 1637 ೥ͷΦϥϯμͰ‫ى‬ͬͨ͜νϡʔϦοϓՁ֨ͷόϒϧʹ͓͍ͯ΋Ձ্֨ঢʹͭΕϑΝϯμϝϯλϧՁ֨ʹ΋ͱ͍ͮͨചങ͔ΒςΫχΧϧઓུʹΑΔചങ͕ࢧ഑తʹͳ͍ͬͯͬͨͱߟ͑ΒΕ͍ͯΔ [Bradford 90, Shiller 00, Shiller 02, Soros 03, Allen 06, ޿ా 09]ɽ[Hirota 07] ͸ɼඃ‫ݧ‬ऀʹߦ࣮ͬͨ‫ʹݧ‬Αͬͯɼόϒϧ‫ظ‬͸౤ࢿՈ͕ςΫχΧϧઓུʹࣗ৴ΛਂΊςΫχΧϧઓུʹ܏ࣼ͢Δ͜ͱΛࣔͨ͠ɽ[ࢁຊ 11, Yamamoto 13] ͸ɼ࣮ূ෼ੳʹΑͬͯɼࢢ৔Ձ֨
͕ϑΝϯμϝϯλϧՁ͔֨Βဃ཭͢Ε͹͢Δ΄ͲɼςΫχΧϧઓུΛߦ͏౤ࢿՈ͕૿͑Δ
͜ͱΛࣔͨ͠ɽੈքతʹஶ໊ͳ౤ࢿՈͰ͋Δδϣʔδɾιϩε͸ࣗ‫ڧݾ‬ԽϓϩηεΑͿֶशաఔ͕ͦ͜ࢢ৔Ձ֨ͷมಈΛࢧ഑͍ͯ͠Δͱओு͠ɼ࣮ࡍʹͦͷߟ͑ʹ΋ͱ͍ͮͯऔҾͨ݁͠ՌΛ͍ࣔͯ͠Δ [Soros 03]ɽ͜ͷΑ͏ʹ౤ࢿՈ͸ֶशΛ͍ͯ͠Δ͜ͱ͕֤ํ໘͔Β஌ΒΕ͓ͯΓɼͱ͘ʹόϒϧͷ‫ܗ‬੒ʹ͸ॏཁͳϓϩηεͰ͋Δͱߟ͑ΒΕ͖ͯͨɽͦͷͨΊɼଟ͘ͷਓ޻ࢢ৔ϞσϧͰֶश͕࣮૷͞Ε͖ͯͨͷͰ͋Δɽ
ҰํͰɼόϒϧ͸ҰൠతͳελΠϥΠζυɾϑΝΫτͷଌఆ‫ʹؒظ‬ൺ΂Ε͹ɼ୹͍‫ؒظ‬Ͱੜ੒͞Ε่յ͢Δ͜ͱ͕஌ΒΕ͍ͯΔɽਤ 3.6 ͸ɼ͜Ε΋໛ࣜతʹ͋ΒΘͨ͠΋ͷͰ͋
Δɽ͜ͷΑ͏ͳ͜ͱ͸όϒϧ͚ͩͰͳ͘ɼϑΝϯμϝϯλϧՁ͕֨‫্ٸ‬ঢ (‫ٸ‬Լམ) ͨ͠ࡍʹࢢ৔Ձ͕֨ͦΕҎ্ͷ্ঢ (Լམ) Λ͢ΔɼΦʔόʔγϡʔτ (Ξϯμʔγϡʔτ) ʹؔͯ͠΋౰ͯ͸·ΔɽελΠϥΠζυɾϑΝΫτ͸ଌఆ‫ؒظ‬શମʹຬวͳ͓͖͍ͯ͘Δ‫ݱ‬৅Λଊ͑Δ౷‫͋Ͱྔܭ‬Γɼͦͷଌఆ‫ؒظ‬தʹόϒϧ΍Φʔόʔγϡʔτ (Ξϯμʔγϡʔτ) ͕͋ͬͯ΋஋͕มΘΒͳ͍ɽ͢ͳΘͪɼ‫ܭ‬ଌ‫ʹؒظ‬ൺ΂ͯे෼୹͍‫ݱ͖͓ͨʹؒظ‬৅

3.4 ΤʔδΣϯτͷֶश͸‫͖ͯى‬΋‫ͯ͘ͳ͖ى‬΋ͦͷ౷‫͕ྔܭ‬มΘΒͳ͍ɽͭ·ΓɼओཁͳελΠϥΠζυɾϑΝΫτͰ͋ΔϑΝοτɾςʔϧͱϘϥςΟϦςΟɾΫϥελϦϯά͸ɼόϒϧ΍Φʔόʔγϡʔτ͕͋ͬͯ΋ͳͯ͘΋ͦͷ஋͸มΘΒͣɼόϒϧ΍Φʔόʔγϡʔτ͕‫͍͖ͯى‬Δ
͔Ͳ͏͔ͷ෼ੳʹ͸࢖͑ͳ͍ɽ[Mizuta 13f] ͸ɼ࣮ূ෼ੳͰ༻͍ΒΕ͍ͯΔଌఆ‫ʹ಺ؒظ‬όϒϧ͕͔͋ͬͨͲ͏͔Λ൑ఆ͢ΔϋβʔυɾϨʔτ [McQueen 94, Chan 98] Λ༻͍ͯɼਓ޻ࢢ৔Ϟσϧ͕όϒϧ΍Φʔόʔγϡʔτ (Ξϯμʔγϡʔτ) Λ࠶‫͖Ͱݱ‬Δ͔Ͳ͏͔ΛɼֶशΛ࣮૷ͨ͠৔߹ͱ࣮૷͠ͳ͔ͬͨ৔߹Ͱௐ΂ɼֶश͕࣮૷͞Ε͍ͯΔ৔߹ͷΈ࠶‫͞ݱ‬ΕΔ͜ͱΛࣔͨ͠ɽ͜ΕʹΑΓɼόϒϧ΍ΦʔόʔγϡʔτͳͲͷࢢ৔ࠞཚ࣌Λ෼ੳର৅ͱͨ͠γϛϡϨʔγϣϯͰ͸ֶशաఔ͸࣮૷͕ඞཁͰ͋Δ͕ɼࢢ৔͕҆ఆ͍ͯ͠Δ৔߹Λ෼ੳର৅ʹͨ͠৔߹ɼֶश͸࣮૷͠ͳͯ͘Α͍͜ͱΛࣔͨ͠ɽ͜Εʹ͍ͭͯ͸ୈ 6 ষͰৄ͘͠ड़΂Δɽਤ 3.7 ͸ɼόϒϧ࣌ʹ͓͚Δయ‫ܕ‬తͳ౤ࢿՈͷߦಈΛɼ‫ࣜג‬Λྫʹ໛ࣜతʹࣔͨ͠΋ͷͰ͋Δɽ·ͣɼԿΒ͔ͷཧ༝ͰࠓͷՁ֨ΑΓߴ͘ങͬͯ͘ΕΔਓ͕ଟ͍ʹҧ͍ͳ͍ͱ༧૝
͢Δɽͦͷཧ༝͸͞·͟·Ͱ͋Γɼόϒϧ͝ͱʹҟͳΔɽ͜Ε͸όϒϧͷτϦΨʔͱͳΔ
͕ɼͦͷ࣌఺Ͱ͸΋ͬͱ΋Β͍͠ཧ༝Ͱ͋ͬͯɼͦΕ͕όϒϧͷτϦΨʔͰ͋ͬͨ͜ͱ͕
͸͖ͬΓͱ͢Δͷ͸‫͔ͯͬͳʹޙ‬ΒͰ͋ΔɽͦͷΑ͏ʹ༧૝ͨ͠ਓ͕‫ג‬Λങ͍ɼͦͷങ͏ͱ͍͏ߦಈʹΑͬͯ‫ג‬Ձ্͕ঢͨ͠ͱ͢Δɽಉ͡༧૝Λ͍ͯ͠Δਓ͕ଟ͍΄Ͳ͜ͷ‫ݱ‬৅͸͓͖΍͍͢ɽ͜ͷ্ঢ͸ࣗ෼ͷങ͏ͱ͍͏ߦಈʹΑͬͯҾ͖‫͜͞ى‬Εͨ΋ͷͰ͋Δ͕ɼࣗ෼ͷ༧૝͕తதͨ͠ͱߟ͑ɼॳΊͷ༧૝ʹ֬৴Λ࣋ͭΑ͏ʹͳΔɽͦͯ͠ɼॳΊͷ༧૝ʹΑΓ֬৴Λ࣋ͭͨΊ͞Βʹ‫ג‬Λങ͏ͱ͍͏॥‫͕؀‬ੜ·ΕΔɽ࣮ଶͱͯ͠͸ॳΊͷ༧૝͕‫ݕ‬ূ͞Εͨ෼͚Ͱ͸ͳ͍͕ɼ༧૝ͷ݁Ռങ͏ͱ͍͏ߦҝ͸ɼ༧૝͕‫ڧ‬Խ͞ΕΔͱ͍͏ɼϙδςΟϒɾϑΟʔυόοΫΛ༩͍͑ͯΔɽ͜ͷΑ͏ͳϙδςΟϒɾϑΟʔυόοΫʹΑΓɼ॥‫؀‬తͳ౤ࢿՈͷֶश͕ߦΘΕόϒϧ͕ॿ௕͞ΕΔɽۚ༥ࢢ৔ͷ͞·͟·ͳͱ͜ΖͰ‫͖ى‬
͍ͯΔͱߟ͑ΒΕ͍ͯΔɽ
ਤ 3.8 ͸ɼ[NICM 08] ΑΓҾ༻ͨ͠ਤͰ͋Δ͕ɼ2008 ೥ 9 ݄ʹ‫͖ͨى‬ɼ͍Θ͍ΔϦʔϚϯɾγϣοΫ࣌ʹ‫͑ߟͱ͖ͨى‬ΒΕ͍ͯΔࣄ৅ͱҼՌؔ܎Λਤ͍ࣔͯ͠Δɽ੺ͰғΜͩ̎ͭͷ෦෼ͰϙδςΟϒɾϑΟʔυόοΫ͕‫͓͖ͯى‬ΓʢਤதͰ͸ “εύΠϥϧ” ͱද‫ه‬ʣɼઌͷྫͱ͸छྨͷҟͳΔෳ਺ͷϙδςΟϒɾϑΟʔυόοΫ͕͋Δ͜ͱ͕෼͔Δɽόϒϧ΍ۚ༥‫Ͱػة‬͸ɼ͜ͷΑ͏ͳϙδςΟϒɾϑΟʔυόοΫ‫ݱ‬৅͕ॏཁͰ͋Δͱߟ͑ΒΕɼ͜Ε͕Ҿ͖‫͜͞ى‬ΕΔͷ͸౤ࢿՈֶ͕शաఔΛ͔࣋ͭΒͰ͋Δɽਓ޻ࢢ৔Ҏ֎ͷ‫ڀݚ‬ख๏Ͱ͸ɼ͜ͷΑ͏ͳϙδςΟϒɾϑΟʔυόοΫΛѻ͑Δख๏͸΄ͱΜͲͳ͘ɼਓ޻ࢢ৔γ
ϛϡϨʔγϣϯͷߩ‫ظ͕ݙ‬଴͞Ε͍ͯΔɽۚ༥ࢢ৔ʹ͓͍ͯόϒϧ΍ۚ༥‫ػة‬ͷϝΧχζ
Ϝ΍ͦΕΛ๷͙ʹ͸Ͳ͏ͨ͠ΒΑ͍͔ͱ͍ͬͨ‫ڀݚ‬͸‫Ͱ·͏ݴ‬΋ͳࣾ͘ձతʹඇৗʹॏཁ
Ͱ͋Δ͕ɼ͜ͷΑ͏ͳϙδςΟϒɾϑΟʔυόοΫΛѻ͑Δਓ޻ࢢ৔γϛϡϨʔγϣϯ‫ݚ‬‫͕ڀ‬΋ͬͱଟ͘ͳ͞ΕΔ͜ͱ͕ཁ੥͞Ε͍ͯΔͱߟ͑ΒΕΔɽ

63

64

ୈ 3 ষ ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱϞσϧԽͷબ୒࣠䝞䝤䝹䜸䞊䝞䞊䝅䝳䞊䝖
ᕷሙ౯᱁
䠄ᰴ౯䠅

᫬㛫
䝇䝍䜲䝷䜲䝈䝗䞉䝣䜯䜽䝖
ィ ᮇ㛫
ਤ 3.6

όϒϧ͸ҰൠతͳελΠϥΠζυɾϑΝΫτͷଌఆ‫ʹؒظ‬ൺ΂Ε͹ɼ୹͍‫ؒظ‬Ͱੜ੒͞Ε่յ͢Δ͜ͱΛ໛ࣜతʹ͋ΒΘͨ͠

65

3.4 ΤʔδΣϯτͷֶश௒䛾౯᱁䜘䜚
㧗䛟㈙䛳䛶䛟䜜䜛ே䛜ከ䛔䛻㐪䛔䛺䛔ண᝿䛻☜ಙ䜢ᣢ䛴䝫䝆䝔䜱䝤䞉
䝣䜱䞊䝗䝞䝑䜽

ண᝿䛜ᐇ⌧
ਤ 3.7

ᰴ䜢㈙䛖

ᰴ౯ୖ᪼

όϒϧ࣌ʹ͓͚Δయ‫ܕ‬తͳ౤ࢿՈͷߦಈΛɼ‫ࣜג‬Λྫʹ໛ࣜతʹࣔͨ͠

66

ୈ 3 ষ ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱϞσϧԽͷબ୒࣠㻞㻜㻜㻤ᖺ㻥᭶௨㝆䛾㔠⼥༴ᶵ䛾ᵓᅗ㻌ᐇయ⤒῭䞉㞠⏝㻌ᝏ໬㻌㻳㻿㻱༴ᶵ㻌

䝣䜯䝙䞊䝯䜲㻗䝣䝺䝕䜱䝬䝑䜽䊻᭦ṇᡭ⥆㻌ᘏ⁫⋡䛾ୖ᪼㻌䝥䝷䜲䝮༴ᶵ㻌㻹㻮㻿༴ᶵ㻌

䝛䜺䝔䜱䝤䞉䜶䜽㻌
䜲䝔䜱Ⓨ⏕㻌

㼃㼍㻹㼡䊻㻶㻼䝰䝹䜺䞁㻌䝽䝁䝡䜰䊻䜴䜵䝹䝈䞉䝣䜯䞊䝂㻌䛭䛾௚䛾ၟᴗ㖟⾜㻌ၟᴗ㖟⾜༴ᶵ㻌ఫᏯ౯᱁ୗⴠ㻌䜹䞁䝖䝸䞊䝽䜲䝗䊻㻮㻭㻯㻌䝇䝟䜲䝷䝹㻌㻵㻌
䝃䝤䝥䝷䜲䝮༴ᶵ㻌㻩㻭㻮㻿㻙㻯㻰㻻༴ᶵ㻌ᢞ㈨㖟⾜䛾༴ᶵ㻌ドๆ౯᱁䛾㻌
ୗⴠ㻌㻮㻛㻿ㄪᩚ㻌
㻌㻔䝕䜱䝺䝞䝺䝑䝆㻕㻌ホ౯ᦆ䛾Ⓨ⏕㻌ὶືᛶ༴ᶵ㻌㻵㻌
㻩㻭㻮㻯㻼㻔㻿㻵㼂㻕㻌
༴ᶵ㻌
ಖ㝤༴ᶵ㻌
㻩㻯㻰㻿༴ᶵ㻌ὶືᛶ༴ᶵ㻌㻵㻵㻌㻩䝺䝫䞉㈚ᰴ༴ᶵ㻌䝧䜰䊻㻶㻼䝰䝹䜺䞁㻌䝰䝜䝷䜲䞁༴ᶵ㻌䜹䜴䞁䝍䞊䝟䞊䝔䜱㻌䝸䝇䜽䛾ୖ᪼㻌䝯䝸䝹䝸䞁䝏䊻㻮㻭㻯㻌䝂䞊䝹䝗䝬䞁䞉䝃䝑䜽䝇䊻㖟⾜ᣢᰴ఍♫㻌䝰䝹䜺䞁䞉䝇䝍䞁䝺䞊䊻㖟⾜ᣢᰴ఍♫㻌㻌 㻌 㻌 㻌 㻌 㻌 㻌 㻌 㻌 㻌 㻌 㻌 㻌 䊻㻹㼁㻲㻶䛾ฟ㈨ཷධ㻌䝸䞊䝬䞁䊻᭦ṇᡭ⥆㻌㻌 㻌 㻌 㻌 㻌 䊻㔝ᮧ䠄Ḣᕞ䞉୰ᮾ䞉䜰䝆䜰ኴᖹὒ䠅㻌㻌 㻌 㻌 㻌 㻌 䊻䝞䞊䜽䝺䜲䝈䠄໭⡿䠅㻌㻭㻵㻳䊻ᨻᗓ⟶⌮ୗ㻌✵኎䜚䝦䝑䝆㻌䛾ᛴቑ㻌Ỵ῭䝅䝇䝔䝮䜈䛾㈇ᢸቑ㻌䝇䝟䜲䝷䝹㻌㻵㻵㻌㻔ฟᡤ㻕㻌ྛ✀㈨ᩱ䜘䜚㔝ᮧ㈨ᮏᕷሙ◊✲ᡤసᡂ㻌ਤ 3.8[NICM 08] ΑΓҾ༻ɽ2008 ೥ 9 ݄ʹ‫͖ͨى‬ɼ͍Θ͍ΔϦʔϚϯɾγϣοΫ࣌ʹ‫͑ߟͱ͖ͨى‬ΒΕ͍ͯΔࣄ৅ͱҼՌؔ܎

67

3.5 ΤʔδΣϯτͷ஫จ਺ྔɼ‫ۉ‬Ұɾෆ‫ۉ‬ҰੑɼՁܾ֨ఆϝΧχζϜ

3.5 ΤʔδΣϯτͷ஫จ਺ྔɼ‫ۉ‬Ұɾෆ‫ۉ‬ҰੑɼՁܾ֨ఆϝΧχζϜ͜ͷઆͰ͸ɼΤʔδΣϯτϞσϧͷ͏ͪ஫จ਺ྔΛͲͷΑ͏ʹܾΊΔͷ͔ͱ͍͏ΤʔδΣϯτͷ஫จ਺ྔʹ͍ͭͯͱɼΤʔδΣϯτ͕ઓུ͝ͱʹ஫จ಺༰͕‫ۉ‬Ұ (homogeneous)Ͱ਺ମ͔͍͠ͳ͍ϞσϧʢҎ‫ޙ‬ɼ‫ۉ‬ҰϞσϧʣͱಉҰઓུ಺Ͱ΋஫จ಺༰͕ෆ‫ۉ‬Ұ(heterogeneous) Ͱ਺े͔Β਺ઍମͷΤʔδΣϯτ͕͍ΔϞσϧ (Ҏ‫ޙ‬ɼෆ‫ۉ‬ҰϞσϧ) ʹ͍ͭͯɼ͓ΑͼɼՁܾ֨ఆϝΧχζϜʹ͍ͭͯड़΂Δɽ͜ΕΒ͸ඇৗʹີ઀ʹؔ܎͍ͯ͠
ͯผʑʹड़΂Δͷ͕ࠔ೉ͳͨΊɼຊઅͰ·ͱΊͯड़΂Δɽਓ޻ࢢ৔ϞσϧͰ༻͍ΒΕΔࢢ৔Ձ֨ͷܾఆϝΧχζϜ͸͞·͟·ߟ͑ΒΕΔɽେ͖͘෼͚ͯɼࢢ৔Ձ֨ͷಅམ͕ചങ஫จͷध‫ʹڅ‬ൺྫ͢ΔํࣜʢҎԼɼ؆қ‫ܕ‬ʣͱɼ࣮ࡍͷۚ༥ࢢ৔ͷऔҾॴͰߦΘΕ͍ͯΔํࣜΛͦͷ··ಋೖ͢ΔʢҎԼɼ‫ܕ࣮ݱ‬ʣͷ̎ͭʹ෼͚ΒΕΔɽ؆қ‫ܕ‬͸ྫ͑͹ҎԼͷࣜͰ‫͞ݱ‬ΕΔɼ
tt
Δpt = α(Obuy− Osell) = αz t

(3.1)

t
t
͜͜ͰɼΔpt ͸࣌ࠁ t Ͱͷࢢ৔Ձ֨ͷมԽྔɼα ͸ఆ਺ɼObuy
ɼOsell͸ͦΕͧΕ࣌ࠁ t ʹtt− Osellͱ͓͚ΔશΤʔδΣϯτͷങ͍஫จ਺ྔɼചΓ஫จ਺ྔͰ͋Δɽ·ͨ z t ≡ Obuyͨ͠ɽz t ͸ध‫څ‬ͷࠩΛ͋ΒΘ͠ɼࢢ৔Ձ֨ͷಅམ Δpt ͸ध‫څ‬ͷࠩʹൺྫ͢Δ͜ͱΛ͋ΒΘ͍ͯ͠Δɽ
؆қ‫ܕ‬ͷ௕ॴ͸ɼΤʔδΣϯτ͕஫จՁ֨ΛܾΊΔඞཁ͕ͳ͘ɼചΓങ͍ͷผͱ஫จྔ
͚ͩΛܾΊΕ͹Α͍ͷͰɼϞσϧͷύϥϝʔλ͕‫ݮ‬ΒͤΔ͜ͱ͕͋͛ΒΕΔɽ·ͨɼશΤʔδΣϯτͷ஫จྔ͚͕ͩඞཁͳͷͰɼෆ‫ۉ‬ҰϞσϧʹ͢Δඞཁ͕ͳ͘ɼಉҰͷ౤ࢿ൑
அͱͳΔΤʔδΣϯτ͸̍ͭʹ·ͱΊΔ͜ͱ͕Ͱ͖ΔͷͰɼΤʔδΣϯτ͕਺ମͰ΋γϛϡϨʔγϣϯՄೳͰ͋Δ͜ͱ΋͋͛ΒΕΔɽ؆қ‫ܕ‬ͷ୹ॴͱͯ͠͸ɼΤʔδΣϯτ͕஫จ਺ྔΛܾΊͳ͚Ε͹ͳΒͣͦ͜ͷϞσϧԽ͕ඞཁͰ͋Δ͜ͱ͕͋Δɽͭ·Γɼ஫จ਺ྔΛৗʹҰఆͱ͢Δ؆ུԽ͸Ͱ͖ͳ͍ɽ·ͨɼ֤ΤʔδΣϯτ͕࣮ࡍʹͲΕ͚ͩͷ਺ྔΛചങͨ͠ͷ͔͕෼͔Βͳ͍ͨΊɼ֤ΤʔδΣϯτ͕औҾࢿ࢈ΛͲΕ͚ͩͷ਺ྔΛอ༗͍ͯ͠Δ͔ͷ৘ใ͕ͳ͍ɽͦͷͨΊɼॏཁͳϚΫϩ
ࢦඪͰ͋Δചങ਺ྔʢग़དྷߴʣ͕෼͔Βͳ͍ͱͱ΋ʹɼΤʔδΣϯτ͸อ༗਺ྔʹґଘͨ͠౤ࢿઓུ͸ѻ͑ͳ͍͠ɼΤʔδΣϯτ͝ͱͷଛӹ΋෼͔Βͳ͍ɽ͞Βʹɼ؆қ‫ܕ‬͸࣮ࡍͷۚ༥ࢢ৔ͷऔҾॴ͕ߦ͍ͬͯΔࢢ৔Ձܾ֨ఆϝΧχζϜͱେ͖͘ҟͳΔͨΊɼऔҾॴͷ੍౓΍औҾͷ‫ؔ͢ʹ੍ن‬Δௐࠪ͸΄ͱΜͲߦ͑ͳ͍ɽ·ͨɼಉҰͷΤʔδΣϯτ͕ങ͍ͱചΓͷ஫จΛಉ࣌ʹͩ͢ͳͲɼߴස౓औҾͰΑ͘ߦΘΕ͍ͯΔΑ͏ͳ஫จΛ࠶‫͍ͳ͖Ͱݱ‬68

ୈ 3 ষ ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱϞσϧԽͷબ୒࣠ͨΊɼߴස౓औҾͷӨ‫ڹ‬Λ‫ݟ‬Δͱ͍ͬͨௐࠪ͸Ͱ͖ͳ͍ɽ
ͦͷͨΊɼ؆қ‫ܕ‬͸ɼҰൠతͳࢢ৔Ձ֨ͷಛੑΛ‫ݟ‬Δ৔߹ͳͲʹɼϞσϧͷ؆ུԽΛ΋ͨΒͨ͢Ίɼ༏Εͨख๏ͱ͍͑Δɽ࣮ࡍɼελΠϥΠζυɾϑΝΫτΛ࠶‫͢ݱ‬ΔΤʔδΣϯτϞσϧͷ෼ੳ΍ʢྫ͑͹ [Lux 99] ͳͲଟ਺ʣɼόϒϧʹؔ͢Δ෼ੳʢྫ͑͹ [Arthur97] ͳͲଟ਺ʣͳͲɼ޿͘؆ུ‫ܕ‬ͷՁܾ֨ఆϝΧχζϜ͕࢖ΘΕ͍ͯΔɽ
ҰํͰɼ؆қ‫ܕ‬͸࣮ࡍͷۚ༥ࢢ৔ͷՁܾ֨ఆϝΧχζϜͱେ͖͘ҟͳΔͨΊɼࢢ৔Ձ֨
͸ध‫څ‬ͷࠩʹൺྫ͢Δͱ͍͏Ծఆ͸ଥ౰Ͱ͋Δͷ͔Ͳ͏͔ɼ·ͨଥ౰Ͱ͋Δͱͯ͠΋ɼൺྫ܎਺ α ͸ԿͰܾ·Δͷ͔ͱ͍͏ٞ࿦͕ඞཁͰ͋Δɽ͜ͷΑ͏ͳٞ࿦͸͜Ε·Ͱ΄ͱΜͲ͞Εͯͳ͍͕ɼ[ਫా 12b] ʹΑͬͯॳΊͯ͜ͷٞ࿦͕ߦΘΕͨɽ͜ͷٞ࿦ʹؔͯ͠͸ୈ

4 ষͰৄ͘͠ड़΂Δɽͯ͞ɼ࣮ࡍͷۚ༥ࢢ৔ͷऔҾॴͰߦΘΕ͍ͯΔํࣜΛͦͷ··ಋೖ͢Δ‫ܕ࣮ݱ‬ͷ௕ॴɾ୹ॴ͸؆қ‫ܕ‬ͷ΄΅‫͋Ͱٯ‬Δɽ͢ͳΘͪɼ୹ॴ͸ΤʔδΣϯτ͕஫จՁ֨ͳͲ΋ܾΊΔඞཁ͕͋Γɼෆ‫ۉ‬ҰϞσϧʹ͢Δඞཁ͕͋ΔͨΊɼύϥϝʔλ͕૿͑Δ͜ͱͰ͋Δɽ௕ॴ͸ɼ֤ΤʔδΣϯτͷ஫จ਺ྔ͸ҰఆʹͰ͖Δ͜ͱɼ·ͨɼΤʔδΣϯτ͕ଛӹ΍อ༗਺ྔʹґଘͨ͠ઓུΛͱΔ͜ͱ͕ՄೳͰ͋Γɼചങ਺ྔͷ෼ੳ͕Ͱ͖ɼऔҾॴͷ੍౓΍औҾʹ͔͔ΘΔ‫ؔ͢ʹ੍ن‬ΔௐࠪΛͨ͠Γɼߴස౓औҾͷӨ‫ڹ‬Λ෼ੳͨ͠Γ [Wang 13, ‫׎‬13, ‫ ׎‬14, ૲ా 14]ɼϚʔέοτɾΠϯύΫτͷྔΛ‫ੵݟ‬΋ͬͨΓ [Oesch 14]ɼ ‫ͱ࢈ࢿݪ‬σϦόςΟϒؒͷϔοδऔҾΛ෼ੳͨ͠Γ [Ohi 11, Kawakubo 13] ΋ՄೳͰ͋Δɼ͜ͱͳͲ͕͋͛ΒΕΔɽ
‫ʹܕ࣮ݱ‬΋͞·͟·ͳํ͕ࣜଘࡏ͢Δɽ͜͜Ͱ͸ɼಛʹ೔ຊͰଟ͘༻͍ΒΕ͍ͯΔ “൘‫د‬ͤ”(call market) [TSE 13, ౦ূ 12] ͱ “βϥό”(continuous double auction) [Friedman

93, TSE 13, ౦ূ 12] ʹ͍ͭͯड़΂Δɽ
ਤ 3.9 ͸ɼ൘‫ͤد‬ͷ஫จঢ়‫گ‬ͷྫΛ໛ࣜతʹࣔͨ͠΋ͷͰ͋ΔɽചΓɾങ͍ͦΕͧΕͷ஫จͷɼ஫จՁ֨ɼ஫จ਺ྔ͕ू‫͞ܭ‬Εͯදࣔ͞Ε͍ͯΔͷ͕෼͔Δɽ͜ͷΑ͏ͳू‫͞ܭ‬ΕͨදΛ “൘”(order book) ͱΑͼɼ௨ৗ͸Ͳͷ౤ࢿ͔΋ϦΞϧλΠϜʹӾཡՄೳͰ͋Δɽ൘‫Ͱͤدد‬͸ɼ͋Β͔͡ΊܾΊΒΕͨ࣌ࠁ͕͘Δ·Ͱ஫จ͸ॲཧ͞Εͣ൘্ʹ஫จ͕஝ੵ
͞ΕΔɽͦͷ࣌ࠁ͕དྷΔͱɼചΓ஫จʹؔͯ͠͸஫จՁ͕͍֨҆஫จ͔Βॱʹ஫จ਺ྔΛ଍্͍͖͛ͯ͠ɼങ͍஫จʹؔͯ͠͸஫จՁ͕֨ߴ͍΄͏͔Βॱʹ஫จ਺ྔΛ଍্͛ͯ͠
͍͘ɽ଍্͛ͨ͠஫จ਺ྔ͕ɼങ͍஫จͱചΓ஫จͰҰகͨ͠஫จՁ͕֨औҾՁ֨ͱͳΔɽ͜ͷࡍɼ͜͜Ͱܾ·ͬͨऔҾՁ֨ҎԼͷചΓ஫จΛग़͍ͯͨ͠౤ࢿՈͱɼऔҾՁ֨Ҏ্ͷങ͍஫จΛग़ͨ͠౤ࢿՈͷ஫จ͕ࣥߦ͞Εɼ͢΂ͯɼܾఆ͞ΕͨऔҾՁ֨Ͱചങ͕ߦ
ΘΕΔɽ͜ͷํࣜ͸ɼྫ͑͹೔ຊͷ‫ࢢࣜג‬৔ʹ͓͍ͯ͸ɼ̍೔ͷऔҾͷ࢝·Δͱ͖ͱऴΘΔͱ͖ɼͦΕʹன‫ٳ‬Έ͕࢝·Δͱ͖ͱऴΘΔͱ͖ʹ࢖༻͞ΕΔํࣜͰ͋Δɽ
ਤ 3.10 ͸ɼβϥόͷத΋ҹঢ়‫گ‬ͷྫΛ໛ࣜతʹࣔͨ͠΋ͷͰ͋ΔɽβϥόͰ͸૬ର͢
Δ஫จɼͭ·Γɼങ͍஫จͰ͋Ε͹஫จՁ֨ΑΓ΋͍҆Ձ֨ͷചΓ஫จɼചΓ஫จͰ͋Ε

3.5 ΤʔδΣϯτͷ஫จ਺ྔɼ‫ۉ‬Ұɾෆ‫ۉ‬ҰੑɼՁܾ֨ఆϝΧχζϜ
͹஫จՁ֨ΑΓ΋ߴ͍Ձ֨ͷങ͍஫จɼ͕͋Ε͹ଈ࠲ʹചങ͕੒ཱ͢Δɽਤ 3.10 ͷྫͰ͋Δͱɼ99 ԁҎ্ͷങ͍஫จ͸ɼ99 ԁͷ਺ྔ 130 ͷചΓ஫จͱ૬ର͓ͯ͠Γɼങ͍஫จ
਺ྔ͕ 130 ΑΓগͳ͚Ε͹ɼ͜ΕΛ૬खͱͯ͠ଈ࠲ʹ 99 ԁͰചങ͕੒ཱ͢Δɽ·ͨɼ98ԁҎԼͷചΓ஫จͰ͋Ε͹ɼ98 ԁͷ਺ྔ 150 ͷങ͍஫จ͕૬ର͓ͯ͠ΓɼചΓ஫จ਺ྔ͕ 150 ҎԼͰ͋Ε͹ଈ࠲ʹ 98 ԁͰऔҾ͕੒ཱ͢Δɽ೔ຊͷ‫ࢢࣜג‬৔ʹ͓͍ͯ͸ɼࢢ৔ͷ։࢝࣌ͱऴྃ࣌ʹߦΘΕΔ൘‫ͱͤد‬൘‫ͤد‬ͷؒ͸ͣͬͱβϥόͰऔҾ͕ߦΘΕ͍ͯΔɽ࠷‫ʹޙ‬ɼΤʔδΣϯτͷ஫จ਺ྔΛܾΊΔϞσϧʹ͍ͭͯड़΂Δɽ஫จ਺ྔͷܾΊํ͸େ͖͘෼͚ͯɼҰఆʹ͢ΔํࣜͱҰఆͰ͸ͳ͍ํࣜʹ෼͚ΒΕΔɽҰఆʹ͢Δํࣜ͸γϯϓϧͰ͋ΓΤʔδΣϯτ͕஫จ਺ྔΛܾఆ͢ΔϞσϧΛ΋ͨͳͯ͘͢ΉͨΊύϥϝʔλ͕‫ݮ‬Δͱ͍͏ϝϦοτ͕͋Δɽ͔͠͠ɼઌʹड़΂ͨΑ͏ʹ͜ͷํࣜ͸ΤʔδΣϯτ͕ෆ‫ۉ‬Ұ‫ܕ‬ͷͱ͖͔͠࢖༻Ͱ͖ͳ͍ɽͦͷͨΊɼՁܾ֨ఆϝΧχζϜ͕‫Ͱܕ࣮ݱ‬ΤʔδΣϯτෆ‫ۉ‬Ұ‫ܕ‬ͷ৔߹ʹύϥϝʔλΛ‫ݮ‬Β͢ํ๏ͱͯ͠ɼ஫จ਺ྔҰఆํࣜ͸༗ޮͰ͋Δɽ
Ұํɼ஫จ਺ྔ͕ҰఆͰͳ͍ํࣜͰ͸ɼΤʔδΣϯτ͕਺ମ͚ͩͰΑ͍‫ۉ‬Ұ‫͢ʹܕ‬Δ͜ͱ͕Ͱ͖Δɽ஫จ਺ྔ͕ҰఆͰͳ͍ํࣜ͸͍Ζ͍Ζͱߟ͑ΒΕΔ͕ɼ΋ͬͱ΋Α͘࢖ΘΕΔͷ͕ࢢ৔Ձ֨ͱΤʔδΣϯτͷ༧૝Ձ֨ͷࠩʹൺྫͨ͠ྔΛ஫จ਺ྔͱ͢Δ

CARA(Constant Absolute Risk Aversion) Ͱ͋Δ [Brock 98]ɽ͜ͷํࣜ͸ɼޮ཰తࢢ৔
Ծઆ͕Ծఆ͢Δ߹ཧతͳ౤ࢿՈͰ͋ΔϦεΫճආ‫ܕ‬౤ࢿՈΛϞσϧԽͨ͠΋ͷͰ͋ΔɽͦͷͨΊ΋͔͋ͬͯɼ͜ͷํࣜ͸޿͘ਓ޻ࢢ৔Ϟσϧʹ࢖ΘΕ͍ͯΔ͕ɼ͜ͷઃఆ͕ੋඇ
ʹ͍ͭͯৄࡉʹٞ࿦͞Εͨ͜ͱ͸ͳ͔ͬͨɽ[ਫా 12b] ͸ɼςΫχΧϧઓུ͕࣮૷͞Ε͍ͯͳͯ͘΋ɼCARA ͕࣮૷͞Ε͍ͯΕ͹ϘϥςΟϦςΟɾΫϥελϦϯά͕࠶‫͞ݱ‬ΕΔ
͜ͱΛࣔ͠ɼ͜Ε·Ͱͷਓ޻ࢢ৔Ϟσϧ͕ςΫχΧϧઓུͰ͸ͳ͘ CARA ʹΑͬͯϘϥςΟϦςΟɾΫϥελϦϯάΛੜΈग़͍ͯ͠ΔՄೳੑΛࢦఠͨ͠ɽ͜ͷٞ࿦ʹؔͯ͠͸ୈ

4 ষͰৄ͘͠ड़΂Δɽ·ͨͦ΋ͦ΋ɼߦಈ‫ֶࡁܦ‬ɾ࣮‫Ͱֶࡁܦݧ‬͸ޮ཰తࢢ৔Ծઆ͕Ծఆ͢ΔϦεΫճආ‫ܕ‬౤ࢿՈࣗମΛ൱ఆ͢Δ‫ڀݚ‬΋গͳ͘ͳ͍ [Kumar 09, ‫ؠ‬ᖒ 11]ɽͦͯ͠ྫ͑͹ɼ[‫ ׎‬14] ͸ਓ޻ࢢ৔Λ༻͍ͯɼ౤ࢿՈͷϦεΫճආ‫ ͕ܕ‬CARA ͷ৔߹ͱɼߦಈ‫ֶࡁܦ‬ɾ࣮‫ֶ͕ࡁܦݧ‬ଘࡏΛ͍ࣔࠦͯ͠Δ DARA(Decreasing Absolute Risk Aversion) ͷ৔߹Λൺֱ͠ɼࢢ৔
‫ڥ؀‬ͷมԽ͕ऩӹʹ༩͑ΔӨ‫Ͱऀ͕྆ڹ‬େ͖͘ҟͳΔ͜ͱΛࣔͨ͠ɽͦͷͨΊɼCARAͱߦಈ‫ֶࡁܦ‬ɾ࣮‫Ͱֶࡁܦݧ‬༧૝͞ΕΔΑ͏ͳ౤ࢿՈ૾ʹΑΔൃ஫਺ྔܾఆϞσϧͱΛൺֱͯ͠ɼՁ֨‫ܗ‬੒΍ࢢ৔‫Ͳʹڥ؀‬ͷΑ͏ͳӨ‫ڹ‬Λ͓Α΅͔͢Λ෼ੳ͢Δ͜ͱ͸ɼͱͯ΋ॏཁͳ՝୊Ͱ͋Δͱߟ͑ΒΕΔɽ

69

70

ୈ 3 ষ ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱϞσϧԽͷબ୒࣠

ᯈᐤ䛫
Ᏻ䛔᪉䛛䜙
኎䜚
⣼✚
ὀᩥᩘ㔞
㻞㻢㻜
㻝㻜
㻞㻡㻜
㻟㻜
㻞㻞㻜
㻞㻞㻜
㻡㻜
㻝㻣㻜
㻝㻟㻜
㻠㻜
㻟㻜
㻝㻜
㻝㻜
㻝㻜

ὀᩥ
౯᱁
㻝㻜㻟
㻝㻜㻞
㻝㻜㻝
㻝㻜㻜
㻥㻥
㻥㻤
㻥㻣
㻥㻢

㈙䛔
ὀᩥᩘ㔞
㻝㻜
㻟㻜
㻣㻜
㻝㻝㻜
㻞㻜
㻟㻜
㻠㻜

㧗䛔᪉䛛䜙
⣼✚
㻝㻜
㻠㻜
㻝㻝㻜
㻞㻞㻜
䊹㟂⤥䛜୍⮴䛩䜛㻞㻠㻜䚷䚷䛸䛣䜝䛷ྲྀᘬᡂ❧
㻞㻠㻜
㻞㻣㻜
㻟㻝㻜

᫬㛫䛜᮶䜛䜎䛷ὀᩥ䛿ᡂ❧䛧䛺䛔
ਤ 3.9

൘‫ͤد‬ͷ஫จঢ়‫گ‬ͷྫͷ໛ࣜਤ

3.5 ΤʔδΣϯτͷ஫จ਺ྔɼ‫ۉ‬Ұɾෆ‫ۉ‬ҰੑɼՁܾ֨ఆϝΧχζϜ

䝄䝷䝞
኎䜚
ὀᩥᩘ㔞
㻝㻜
㻟㻜
㻡㻜
㻝㻟㻜
䛣䛣䜒ྠᵝ䋻

ὀᩥ
౯᱁
㻝㻜㻟
㻝㻜㻞
㻝㻜㻝
㻝㻜㻜
㻥㻥
㻥㻤
㻥㻣
㻥㻢

㈙䛔
ὀᩥᩘ㔞

䊹䛣䛣䛻ὀᩥ䜢ධ䜜䜛䛸䛩䛠䛻ྲྀᘬᡂ❧㻝㻡㻜㻣㻜┦ᑐ䛩䜛ὀᩥ䛜䛒䜛䛸䛩䛠䛻኎㈙ᡂ❧ਤ 3.10βϥόͷ஫จঢ়‫گ‬ͷྫͷ໛ࣜਤ

71

72

ୈ 3 ষ ਓ޻ࢢ৔Ϟσϧͷ‫ج‬ຊతͳߟ͑ํͱϞσϧԽͷબ୒࣠

3.6 ·ͱΊຊষͰ͸ɼਓ޻ࢢ৔ϞσϧΛߏங͢Δʹ͋ͨΓɼͲͷΑ͏ͳߟ͑ํͰߏங͞ΕɼϞσϧͷઃఆʹ࢖༻໨తʹԠͯ͡ͲͷΑ͏ͳબ୒͕࣠͋Δͷ͔Λड़΂ͨɽਓ޻ࢢ৔Ϟσϧͷଥ౰ੑ͸ɼਤ 3.1 ʹࣔͨ͠Α͏ʹɼҎԼͷ̏఺ʹ͍ͭͯ‫ݕ‬౼͞ΕΔ΂͖Ͱ͋Δ͜ͱΛड़΂ͨɽଥ౰ੑ (1) ‫࣮ݱ‬ͷϚΫϩ‫ݱ‬৅Ͱ͋Δࢢ৔Ձ֨ͷ౷‫ܭ‬తੑ࣭Λ࠶‫ݱ‬ଥ౰ੑ (2) ϛΫϩϞσϧͰ͋ΔΤʔδΣϯτ͸‫࣮ݱ‬ͷ౤ࢿՈ૾ͱ੔߹
ଥ౰ੑ (3) ௐࠪ໨తʹԠͨ͡ద੾ͳෳࡶ͞
ଥ౰ੑ (1) ͸ɼਓ޻ࢢ৔Ϟσϧ͸ීวతʹଘࡏ͢ΔϚΫϩ‫ݱ‬৅Λ࠶‫͋Ͱ͖΂͢ݱ‬Δͱߟ
͑ΒΕΔ͜ͱ͔Β͖͍ͯΔɽ͔͠͠ɼීวతͰ͸ͳ͘ಛఆͷ࣌‫ظ‬΍ࢿ࢈ɼ஍ҬͰग़‫͢ݱ‬Δ
ϚΫϩతੑ࣭͢΂ͯΛ࠶‫͢ݱ‬Δ͜ͱ͸໨తͰ͸ͳ͍ɽௐࠪ໨తʹԠͯ͡ɼண໨͢Δ‫ݱ‬৅ͷ࣌ؒεέʔϧ΍஍Ҭ΍ࢿ࢈Ͱग़‫͢ݱ‬ΔϚΫϩͷੑ࣭ͷ࠶‫ݱ‬͸ඞਢͰ͋Δ͕ɼௐࠪ໨తͱ͸௚઀ؔ܎ͷͳ͍ϚΫϩͷੑ࣭ͷ࠶‫ݱ‬͸ඞਢͰ͸ͳ͍ɽඞཁҎ্ʹଟ͘ͷϚΫϩతੑ࣭ΛҰͭͷϞσϧͰ࠶‫͠ݱ‬Α͏ͱ͢Δͱɼա৒ʹෳࡶͳϞσϧΛ΋ͨΒ͠ɼଥ౰ੑ (3) ʹ൓͢Δ
‫ڪ‬Ε͕͋Δɽࢢ৔Ձ֨ͳͲͷ౷‫ܭ‬తੑ࣭͸ελΠϥΠζυɾϑΝΫτͱΑ͹Εɼଟ͘ൃ‫ݟ‬͞Ε͍ͯΔ͕ɼۚ༥ࢢ৔͸ෆ҆ఆͰ͋Γɼ҆ఆతʹɼͲͷΑ͏ͳ࣌‫ʹظ‬΋༗ҙʹ‫؍‬ଌ͞ΕΔελΠϥΠζυɾϑΝΫτ͸ϑΝοτɾςʔϧͱϘϥςΟϦςΟɾΫϥελϦϯά͔͠ͳ͍ɽ͔͠΋ɼ͜ΕΒ͸౷‫ྔܭ‬ͷ༗ҙʹਖ਼Ͱ͋Δ͜ͱ͚͕ͩ҆ఆͯ͠‫؍‬ଌ͞Εɼ஋ͦͷ΋ͷ͸ɼ࣌‫ʹظ‬ΑͬͯҟͳΔɽ͢ͳΘͪɼۚ༥ࢢ৔ʹ‫ڞ‬௨͢Δੑ࣭Λ෼ੳର৅ͱ͢Δਓ޻ࢢ৔͕࠶‫͖΂͢ݱ‬͸ɼ͜ΕΒͷ౷‫͕ྔܭ‬༗ҙʹਖ਼Ͱ͋Δ͜ͱͰ͋ͬͯɼಛఆͷ஋ʹ͚ۙͮΔ
͜ͱ͸ຊ࣭తͰ͸ͳ͍ɽଥ౰ੑ (3) ͸ɼϞσϧ͕Ͳͷఔ౓ෳࡶͰ͋Δ΂͖͔͸ɼௐࠪ໨తʹΑͬͯҟͳΔɽ‫࣮ݱ‬Λ஧࣮ʹ࠶‫͢ݱ‬Δͱ͍͏ΑΓ͸ɼະདྷʹ‫͜ى‬ΔՄೳੑ͕͋Δ‫ݱ‬৅Λௐ΂্͛ɼͦΕΒͷ‫ݱ‬৅ͷൃੜϝΧχζϜΛ෼ੳͯ͠஌ࣝΛಘΔௐࠪͷ৔߹ɼϞσϧ͕ෳࡶ͗͢ΔͱൃੜϝΧχζϜͷཧղΛ๦͛ͯ͠·͏ɽͦͷͨΊຊ‫Ͱڀݚ‬͸ɼՁܾ֨ఆϝΧχζϜ͸‫࣮ݱ‬ͷ‫੍ن‬ɾ੍౓Λ࣮૷͢ΔͨΊɼ‫࣮ݱ‬ͷऔҾॴʢऔҾࢢ৔ʣΛඞཁͳൣғ಺Ͱ஧࣮ʹ࠶‫͠ݱ‬ɼΤʔδΣϯτ͸ଥ౰ੑ (1),(2) Λຬͨ͢ൣғ಺ͰɼͳΔ΂͘γϯϓϧͳϞσϧΛ໨ࢦͨ͠ɽ
ͦͷ͏͑Ͱɼଥ౰ੑ (2) ͷৄࡉΛड़΂ͨɽ(1) Λຬͨͭͭ͠ (3) Λߟྀ͠ɼ౤ࢿՈ૾ΛϞσϧԽ͢Δʹ͋ͨΓ࿦఺ͱͳΔબ୒࣠Λ͋͛ͨɽ౤ࢿՈΛ໛ͨ͠ΤʔδΣϯτ͕࠾༻͢Δ౤ࢿઓུ͕ϑΝϯμϝϯλϧઓུͱςΫχΧϧ
ઓུͷ 2 ͭΛ࣠ʹٞ࿦͞ΕΔ͜ͱΛड़΂ͨɽ࣮ࡍͷۚ༥ࢢ৔ͷ౤ࢿՈ΁ΞϯέʔτௐࠪΛߦͬͨଟ͘ͷ‫ڀݚ‬͸ɼϑΝϯμϝϯλϧઓུ͔ςΫχΧϧઓུɼ·ͨ͸ͦͷ྆ํΛ༻͍ͯ
͍Δ౤ࢿՈ͕গͳ͘ͱ΋൒਺Ҏ্Λ઎Ί͍ͯΔ͜ͱΛࣔ͠ɼ͞Βʹɼ‫ࡁܦ‬෺ཧֶͰ͸ςΫχΧϧઓུͷΈͰελΠϥΠζυɾϑΝΫτΛ࠶‫ݱ‬ɼ͢ͳΘͪۚ༥޻ֶ͕ϞσϧԽͨ͠Ϛ

3.6 ·ͱΊΫϩ‫ݱ‬৅ͷ࠶‫͖Ͱ͕ݱ‬Δ͜ͱΛࣔͨ͠ɽςΫχΧϧઓུ͸ਓ޻ࢢ৔ͷΤʔδΣϯτʹඞཁ
Ͱ͋Δͱߟ͑ΒΕɼ·ͨɼϑΝϯμϝϯλϧઓུ͸ඞͣ͠΋ඞཁͳ͍ͱߟ͑ΒΕΔɽͦͯ͠ɼΤʔδΣϯτͷֶशϓϩηε͸ɼόϒϧ΍Φʔόʔγϡʔτ (Ξϯμʔγϡʔτ) ͳͲͷࢢ৔ࠞཚ࣌Λ෼ੳର৅ͱͨ͠γϛϡϨʔγϣϯͰ͸࣮૷͕ඞཁͰ͋Δ͕ɼࢢ৔͕҆ఆ
͍ͯ͠Δ৔߹Λ෼ੳର৅ʹͨ͠৔߹͸࣮૷͠ͳͯ͘Α͍͜ͱΛࣔͨ͠ɽऔҾॴΛ໛ͨ͠ࢢ৔Ձ֨ͷܾఆϝΧχζϜʹؔͯ͠͸ɼࢢ৔Ձ֨ͷಅམ͕ചങ஫จͷध‫ʹڅ‬ൺྫ͢Δ؆қ‫ͱܕ‬ɼ࣮ࡍͷۚ༥ࢢ৔ͷऔҾॴͰߦΘΕ͍ͯΔํࣜΛͦͷ··ಋೖ͢Δ‫ܕ࣮ݱ‬ͷ̎ͭʹ෼͚ΒΕΔɽ؆қ‫ܕ‬ͷ௕ॴ͸ɼΤʔδΣϯτ͕஫จՁ֨ΛܾΊΔඞཁ͕ͳ͘ɼചΓങ͍ͷผͱ஫จྔ͚ͩΛܾΊΕ͹Α͍ͷͰɼϞσϧͷύϥϝʔλ͕‫ݮ‬ΒͤΔ͜ͱ
͕͋͛ΒΕΔɽ·ͨɼશΤʔδΣϯτͷ஫จྔ͚͕ͩඞཁͳͷͰɼෆ‫ۉ‬ҰϞσϧʹ͢Δඞ
ཁ͕ͳ͘ɼಉҰͷ౤ࢿ൑அͱͳΔΤʔδΣϯτ͸̍ͭʹ·ͱΊΔ͜ͱ͕Ͱ͖ΔͷͰɼΤʔδΣϯτ͕਺ମͰ΋γϛϡϨʔγϣϯՄೳͰ͋Δ͜ͱ΋͋͛ΒΕΔɽ࣮ࡍͷۚ༥ࢢ৔ͷऔҾॴͰߦΘΕ͍ͯΔํࣜΛͦͷ··ಋೖ͢Δ‫ܕ࣮ݱ‬ͷ௕ॴ͸ɼΤʔδΣϯτ͕ଛӹ΍อ༗਺ྔʹґଘͨ͠ઓུΛͱΔ͜ͱ͕ՄೳͰ͋Γɼചങ਺ྔͷ෼ੳ͕Ͱ͖ɼऔҾॴͷ੍౓΍औҾʹ͔͔ΘΔ‫ؔ͢ʹ੍ن‬ΔௐࠪΛͨ͠Γɼߴස౓औҾͷӨ‫ڹ‬Λ෼ੳͨ͠Γ͢Δ͜ͱ΋Մೳ
Ͱ͋Δɼ͜ͱͳͲ͕͋͛ΒΕΔ͜ͱΛड़΂ͨɽ

73

75

ୈ4ষ

؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͷൺྫ܎਺ͱ CARA ‫ൃܕ‬஫਺ྔϞσϧͷߟ࡯
4.1 ͸͡Ίʹਓ޻ࢢ৔ϞσϧͰ͸ɼ࣮ূ‫ڀݚ‬΍ߦಈϑΝΠφϯε‫ͱڀݚ‬ͷ૬‫े͕ূݕޓ‬෼Ͱͳ͍ઃఆ
΍ɼϛΫϩϝΧχζϜͱϚΫϩͷ݁Ռͷؔ܎͕ྑ͘෼͔͍ͬͯͳ͍΋ͷ͕࢖ΘΕ͍ͯΔ৔
߹͕͋ͬͨɽ͜ΕΒͷઃఆͷதʹ͸ελΠϥΠζυɾϑΝΫτͰ͸ௐ΂Δ͜ͱ͕Ͱ͖ͳ͍΋ͷ΋͋Δɽྫ͑͹ɼୈ 3.6 અͰ΋ड़΂ͨΑ͏ʹɼՁ֨ͷมԽ͕ɼങ͍஫จͷ૯ྔͱചΓ஫จͷ૯ྔͷࠩʹൺྫ͢Δͱ͍͏؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜΛ༻͍ͨਓ޻ࢢ৔*1 ͕ଘࡏ͢Δɽ͜ΕΒͷϞσϧͰ͸ध‫څ‬ͷΪϟοϓͱՁ֨มಈͷؒͷ܎਺͕ɼ࣮ࡍͷࢢ৔ͷͲͷཁૉͰܾ·Δͷ͔͸͓ࣔͯ͠Βͣɼద౰ͳύϥϝʔλͱͯ͠ѻΘΕ͍ͯͨɽ؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͷଥ౰ੑ͕ࣔ͞Ε͓ͯΒͣɼଥ౰Ͱ͋Δͱͯ͠΋͜ͷ܎਺͕࣮ࡍͷࢢ৔ͷͲͷཁૉͰܾ·Δͷ͔͍ࣔͤͯͳ͍ɽ·ͨɼਓ޻ࢢ৔Ͱ͸ΤʔδΣϯτ͕Ͳͷ͘Β͍ͷ਺ྔΛൃ஫͢Δ͔ܾΊΔඞཁ͕͋Δ͕ɼ͜ͷઃఆʹ͍ͭͯ΋े෼ʹ͸ௐ΂ΒΕ͍ͯͳ͍ɽਓ޻ࢢ৔
ʹ͓͍ͯ͸ɼϦεΫ͕େ͖͍ࢿ࢈΄Ͳগͳ͘อ༗͠‫ظ‬଴Ϧλʔϯͷ֬৴౓͕ߴ͍΄Ͳଟ͘อ༗͢ΔΑ͏ʹޮ༻ؔ਺Λఆٛ͠ɼ͜ͷޮ༻ؔ਺͕࠷େͱͳΔΑ͏ʹൃ஫਺ྔΛܾΊΔ

CARA(Constant Absolute Risk Aversion) ํࣜΛ༻͍Δ৔߹͕ଟ͍*2 ɽ͜ͷํࣜ͸ϑΝΠφϯε‫Ͱڀݚ‬Ծఆ͞Ε͍ͯΔϦεΫճආతͳ౤ࢿՈ [Lintner 65] ͱ੔߹తͰ͋Δ͕ɼ͜*1 ؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜΛ༻͍ͨਓ޻ࢢ৔Ϟσϧ͸ [Arthur 91, Palmer 94, Arthur 97, Lux 99] ͳͲଟ਺͋Δɽ
*2 CARA ํࣜ [Brock 98] Λ༻͍ͨਓ޻ࢢ৔Ϟσϧͱͯ͠ [Izumi 96, Arthur 97, Izumi 99, Yagi 10, ീ໦ 11a, Chiarella 09, Gsell 09] ͳͲଟ਺͋Δɽ

76

ୈ4ষ

؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͷൺྫ܎਺ͱ CARA ‫ൃܕ‬஫਺ྔϞσϧͷߟ࡯ͷํࣜΛ༻͍ͨ৔߹ͱͦ͏Ͱͳ͍৔߹ͱͰՁ֨‫ܗ‬੒ʹͲͷΑ͏ͳҧ͍Λ΋ͨΒ͢ͷ͔͸ٞ࿦͞Εͯ͜ͳ͔ͬͨɽ͜ͷΑ͏ʹɼਓ޻ࢢ৔Ϟσϧʹ͓͚Δ֤छͷઃఆ͸ɼଟํ໘͔Β෼
ੳ͢ΔඞཁͰ͋ΔɽຊষͰ͸ɼ·ͣɼ؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜΛϛΫϩϝΧχζϜ͔Βௐ΂ΔͨΊɼ‫࣮ݱ‬ͷՁܾ֨ఆϝΧχζϜΛߟྀͨ͠Ձܾ֨ఆཧ࿦ϞσϧΛߏஙͨ͠ɽͦͯ͠ɼTOPIX ઌ෺ͷςΟοΫσʔλΛ༻͍ͯ࡞੒͞Εͨཧ࿦ϞσϧΛ෼ੳͨ͠ɽ࡞੒͞Εͨཧ࿦Ϟσϧ͸؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͱಉ༷ʹɼങ͍ͷ஫จ૯ྔͱചΓͷ஫จ૯ྔͷΈ͔ΒՁ͕ܾ֨·ΔɽͦͷͨΊɼ؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͷଥ౰ੑͱध‫ͱڅ‬Ձ֨ͷؒʹ͋Δ܎਺͕ͲͷΑ͏ͳཁૉͰܾ·Δ͔Λ‫ݕ‬౼͢Δ͜ͱ͕Ͱ͖ΔͨΊɼ͜ΕΛ‫ݕ‬౼ͨ͠ɽ࣍ʹελΠϥΠζ
υɾϑΝΫτͰ෼ੳͰ͖ͳ͍ಈతͳ‫ݱ‬৅Λɼߏஙͨ͠ཧ࿦ϞσϧΛ༻͍ͯ෼ੳ͢Δɽ‫ࣜג‬ࢢ৔ʹ͓͍ͯ͸ɼେ͖͘ࢢ৔શମ͕‫ٸ‬མͨ͠‫ޙ‬ɼ൓ൃ͢Δ৔߹͕͋Γɼଟ͘ͷ࣮ূ෼ੳ͕ͳ͞Ε͍ͯΔ*3 ɽҰํɼελΠϥΠζυɾϑΝΫτͷ̍ͭʹՁ֨ͷಅམ཰ͷࣗ‫ݾ‬૬͕ؔ༗ҙʹଘࡏ͠ͳ͍ [Cont 01] ͱ͍͏΋ͷ͕͋ΓɼҰ‫ݟ‬ໃ६͢Δɽ͜Ε͸ελΠϥΠζυɾϑΝΫτ͕௕͍‫ؒظ‬Λͱͬͨ੩తͳ౷‫͋Ͱྔܭ‬Δͷʹର͠ɼ‫ٸ‬མ‫ޙ‬ͷ൓ൃ͸େ͖͘‫ٸ‬མ͢
Δͱ͍͏ಛผͳϝΧχζϜ͕ಇ͍͍ͯΔͱ͖Λ෼ੳ͢Δͱ͍͏ಈతͳϝΧχζϜͱ͍͏ҧ͍͕΋ͨΒ͍ͯ͠Δɽ͜ͷΑ͏ͳελΠϥΠζυɾϑΝΫτͰ͸෼ੳͰ͖ͳ͍ಈతͳ‫ݱ‬৅ʹ͍ͭͯɼਓ޻ࢢ৔ϞσϧͷͲͷઃఆ͕ͦͷΑ͏ͳ݁ՌΛಋ͖͍ͩͯ͠Δͷ͔ϛΫϩϝΧ
χζϜΛղ໌͢Δɽ͞ΒʹຊষͰ͸ɼCARA ํࣜͷൃ஫‫਺ࣜג‬Ϟσϧ͕Ձ֨‫ܗ‬੒ʹͲͷΑ͏ͳӨ‫ڹ‬Λ΋ͨΒ͔͢Λௐ΂Δɽߏஙͨ͠ϞσϧΛ༻͍ͯ CARA ํࣜͷൃ஫‫਺ࣜג‬ϞσϧΛ෼ੳ͠ɼਓ޻ࢢ৔ʹ͓͚ΔϘϥςΟϦςΟɾΫϥελϦϯάͷൃੜ‫ݪ‬Ҽ͕ɼCARA
ํࣜʹΑΔอ༗‫਺ࣜג‬ͷܾఆํࣜʹ͋ΔՄೳੑ͕͋Δ͜ͱΛࣔ͢ɽ*3 ྫ͑͹ɼ[Bremer 91, Bremer 97, Benou 03] ͳͲ

77

4.2 ‫࣮ݱ‬ͷՁܾ֨ఆϝΧχζϜΛߟྀͨ͠Ձܾ֨ఆཧ࿦Ϟσϧ

4.2 ‫࣮ݱ‬ͷՁܾ֨ఆϝΧχζϜΛߟྀͨ͠Ձܾ֨ఆཧ࿦Ϟσϧ͜͜Ͱ͸ɼ‫࣮ݱ‬ͷࢢ৔Ͱ༻͍ΒΕ͍ͯΔ൘‫ࣜํͤد‬ͷՁܾ֨ఆϝΧχζϜΛ༻͍ͨՁ֨
ܾఆཧ࿦ϞσϧΛߏங͠ɼςΟοΫσʔλΛ༻͍ͯ͜ͷϞσϧͷଥ౰ੑΛࣔ͢ɽߏங͞ΕͨϞσϧ͸ɼ஫จͷध‫څ‬ͷ૯ྔͷ͚ࠩͩͰՁ͕ܾ֨ఆ͞ΕΔͨΊɼ͜ͷϞσϧ͕ଥ౰Ͱ͋
Ε͹ɼՁ֨ͷมԽ͕ങ͍஫จͷ૯ྔͱചΓ஫จͷ૯ྔͷࠩʹൺྫ͢Δͱ͍͏؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜΛ༻͍ͨਓ޻ࢢ৔ͷଥ౰ੑΛࣔ͢͜ͱ͕ग़དྷΔɽ͜ΕΒͷϞσϧͰ͸ध‫څ‬ͷΪϟοϓͱՁ֨มಈͷؒͷ܎਺͕ɼ࣮ࡍͷࢢ৔ͷͲͷཁૉͰܾ·Δͷ͔͸͓ࣔͯ͠Βͣɼద౰ͳύϥϝʔλͱͯ͠ѻΘΕ͍ͯͨɽͦͷ܎਺͕ɼࢢ৔ࢀՃऀͷ༧૝Ձ֨ͷඪ४ภࠩʹ
ൺྫ͢Δ͜ͱΛࣔ͢ɽ

4.2.1 ཧ࿦Ϟσϧͷߏங‫࣮ݱ‬ͷࢢ৔Ͱ༻͍ΒΕ͍ͯΔ൘‫ࣜํͤد‬ͷՁܾ֨ఆϝΧχζϜΛ༻͍ͨՁܾ֨ఆཧ࿦ϞσϧΛߏங͢Δɽ͜͜Ͱ͸ϑΝϯμϝϯλϧͳ౤ࢿՈͷΈ͕ଘࡏ͠ɼങ͍खʹ΋ചΓखʹ΋े෼ଟ͘ͷ౤ࢿՈ͕ଘࡏ͢Δͱ͢Δɽ૒ํ‫ʹڞ‬ϑΝϯμϝϯλϧʹ‫͍ͯͮج‬Ձ֨Λ༧૝͠ɼ༧૝ͨ͠Ձ֨Ͳ͓Γʹ஫จΛೖΕΔɽਤ 4.1 ͸૒ํͷࢦ஋ (஫จՁ֨) ͷ෼෍Λࣔ͠
͍ͯΔɽࢦ஋෼෍͸ਖ਼‫ن‬෼෍ʹै͏ͱ͢Δɽങ͍खͷࢦ஋෼෍ͷฏ‫ۉ‬஋Λ p0 ɼඪ४ภࠩ
Λ σ ɼ໘ੵΛ ab ͱ͢ΔɽചΓखͷࢦ஋෼෍ͷฏ‫ۉ‬஋ɼඪ४ภࠩ͸ങ͍खͱಉ͡ p0 ɼσ ͱ͠ɼ໘ੵͷΈҟͳΔ஋ as ͱ͢Δɽങ͍खͱചΓखͷੑ࣭͸ɼൃ஫૯ྔ (໘ੵ͕ͦΕʹ૬౰͢Δ) Ҏ֎͸·ͬͨ͘ಉ͡ͱ͢Δɽ࣍ʹ൘‫*ࣜํͤد‬4 ʹΑΔՁܾ֨ఆΛߦ͏ɽ൘‫Ͱࣜํͤد‬͸ɼधཁͱ‫͕څڙ‬Ϛον͢ΔՁ
֨ͰऔҾΛߦ͏ํࣜͰ͋Δɽਤ 4.2 ͸൘‫ࣜํͤد‬ͷ֓ཁΛ͍ࣔͯ͠Δɽങ͍खͷࢦ஋෼෍͔Βधཁ‫ۂ‬ઢɼചΓखͷࢦ஋෼෍͔Β‫ۂڅڙ‬ઢΛ࡞੒ͦ͠Ε͕ަΘͬͨͱ͜Ζ͕औҾՁ֨
ͱͳΔ*5 ɽ‫ۂڅڙ‬ઢ As (p) ͸ɼ͋ΔՁ֨ p ҎԼͷՁ֨Ͱൃ஫͢ΔചΓखͷ஫จ਺ͷ࿨ (ྦྷੵ஫จ਺) Ͱ͋Δɽͭ·ΓɼചΓखͷࢦ஋෼෍ΛՁ֨ͷ͍҆ํ͔Βߴ͍ํ΁ྦྷੵͨ͠‫ͱܗ‬
ͳΓɼ




as
p − p0As (p) =1 + erf √2
2σ 2*4 ྫ͑͹ɼ [࿨ઘ 03] ͳͲ͕ৄ͍͠
*5 ਤ 4.2 ͸ԣ͕࣠Ձ֨ɼॎ͕࣠ྦྷੵ஫จྔͰ͋Δ͜ͱʹ஫ҙɽ

(4.1)

78

ୈ4ষ

؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͷൺྫ܎਺ͱ CARA ‫ൃܕ‬஫਺ྔϞσϧͷߟ࡯ͱ͋ΒΘ͞ΕΔɽ͜͜Ͱɼerf ͸‫͋Ͱ਺ؔࠩޡ‬Γɼ2
erf(x) = √
π

 x

2

e−t dt(4.2)

0ͱఆٛ͞ΕΔɽधཁ‫ۂ‬ઢ͸ɼ͋ΔՁ֨Ҏ্ͷՁ֨Ͱൃ஫͢Δങ͍खͷ஫จ਺ͷ࿨ (ྦྷੵ஫จ਺) Ͱ͋Γɼ
p − p0ab
1 + erf √Ab (p) = ab −
2
2σ 2

(4.3)

ͱͳΔɽਤ 4.2 ࠨʹࣔ͢Α͏ʹ as = ab ͷ৔߹͸Ձ֨ p0 ͰऔҾ͞ΕΔɽ͔͠͠ਤ 4.2 ӈ͕ࣔ͢Α͏ʹɼas = ab ͷ৔߹͸ɼp0 ͰऔҾ͞Εͳ͍ɽͭ·Γɼ΋ͬͱ΋ଟ͘ͷϑΝϯμϝϯ
λϧͳ౤ࢿՈ͕༧૝͍ͯ͠ΔՁ֨ͱ͸ҧ͏Ձ֨ʹͳΔ͜ͱΛ͍ࣔͯ͠ΔɽAs (p) = Ab (p)ΑΓ p Λ‫ٻ‬ΊΔͱɼp = p0 +√2σ 2 erf −1 (z)(4.4)

ab − asab + as(4.5)

͜͜Ͱɼerf −1 ͸‫਺ؔࠩޡ‬ͷ‫਺ؔٯ‬ɼz≡ͱఆٛ͠ɼz ͸ɼ|z| < 1(4.6)

Λඞͣຬͨ͢ɽz ͸ങ͍खͱചΓखͷɼͭ·Γधཁͱ‫څڙ‬ͷόϥϯε͕ͲΕ͘Β่͍Ε͍ͯΔ͔ࣔ͢ࢦඪͰ͋Δɽz ͷઈର஋͕̍ΑΓे෼খ͍͞৔߹ erf −1 (z) ͸‫਺ڃ‬ల։Ͱ͖ɼ̍
࣍ͷ߲·ͰऔΓग़͢ͱɼ(̎࣍ͷ߲͸ͳ͍)ɼ

p = p0 +

πσ 2
z
2

(4.7)

ͭ·Γɼp ͸ z ʹൺྫ͢Δ͜ͱ͕෼͔Δɽz ͱ͍͏ध‫څ‬ͷΞϯόϥϯεࢦඪʹΑͬͯɼऔҾՁ͕ܾ֨·Δɽ

4.2.2 ςΟοΫσʔλΛ༻͍ͨཧ࿦Ϟσϧͷଥ౰ੑ෼ੳ
·ͣɼ࣮ࡍͷࢢ৔ʹ͓͍ͯࣜ 4.7 ͕ҰൠతʹͲͷఔ౓ଥ౰Ͱ͋Δ͔Λௐ΂Δɽp0 ͕ҰఆͰ͋ΔΑ͏ͳ୹͍‫̍( ؒظ‬೔͘Β͍) ͷ৔߹ʹࣜ 4.7 ͕Ͳͷఔ౓੒ཱ͍ͯ͠Δ͔ɼςΟοΫσʔλΛ༻͍ͯ෼ੳ͢ΔɽҎԼɼ‫ࣜג‬ձࣾ QUICK ͕ఏ‫͢ڙ‬ΔςΟοΫσʔλΛ༻͍ͨɽਤ 4.4 ͷ࣮ઢ͸ɼ2011 ೥ 8 ݄ 9 ೔ͷ೔தʹ͓͚Δ౦‫݊ূژ‬औҾॴʹ্৔͞Ε͍ͯͨ

TOPIX ઌ෺ 9 ‫( ݄ݶ‬2011 ೥) ͷ࠷ྑ‫ؾ‬഑ͷങ͍ͱചΓͷฏ‫ۉ‬Λ࣌‫͍ͯࣔ͠Ͱྻܥ‬Δɽ͜ͷ೔͸ɼ‫ޕ‬લதʹେ͖͘Լ͛ɼ‫ʹޙޕ‬େ͖͘੝Γฦ͢ͱ͍͏ಈ͖Λ‫ͤݟ‬ɼध‫Ͳͳڅ‬ͷϑΝ

4.2 ‫࣮ݱ‬ͷՁܾ֨ఆϝΧχζϜΛߟྀͨ͠Ձܾ֨ఆཧ࿦Ϟσϧϯμϝϯλϧʹ‫͍ͳ͔ͮج‬ཁҼͰେ͖͘ಅམͨ͠ͷͰ͸ͳ͍͔ͱ࣮຿ՈͷؒͰ࿩୊ʹͳͬͨ೔Ͱ͋Δ*6 ɽ͜͜Ͱɼas ʹͦͷॠؒʹ஫จ൘্ʹ͋ΔചΓ஫จ਺ͷ߹‫ܭ‬ɼab ʹങ͍஫จͷ߹‫ܭ‬Λ༻͍Δɽຊσʔλ͸βϥ৔ͷσʔλͰ͋Δ͕ɼ͖ΘΊͯࡉ͔͍εύΠΫతͳมಈ͕ͳ͍‫ݶ‬Γɼβϥ৔ʹ͓͍ͯ΋൘‫ͱͤد‬ಉ༷ɼ४‫ߧۉ‬ঢ়ଶͱͯ͠ध‫څ‬όϥϯε͕‫͢ߧۉ‬Δͱ͜ΖͰՁ͕ܾ֨ఆ͞ΕΔɽͦͷͨΊɼ൘‫ͤد‬Λ೦಄ʹ͓͍ͯߏஙͨ͠Ϟσϧࣜ 4.7 ͸βϥ৔ͷσʔλͰ΋ଥ౰ੑΛௐ΂Δ͜ͱ͕Ͱ͖Δɽͦͯ͠ɼຊσʔλ಺ʹ͸εύΠΫతͳมಈ͸ͳ͔ͬͨɽ
ਤ 4.4 ͷ఺ઢ͸ɼ͜ΕʹΑͬͯ‫͞ࢉܭ‬Εͨ z Λ͍ࣔͯ͠Δɽಅམͷํ޲ੑ͕ࣅ͍ͯΔ
͜ͱ͕෼͔Γɼࣜ 4.7 ͷଥ౰ੑ͕ࣔ͞Ε͍ͯΔɽਤ 4.5 ͸ɼਤ 4.4 ͱಉ͡σʔλΛɼԣ࣠ʹ z ɼॎ࣠ʹऔҾՁ֨ (࠷ྑ‫ؾ‬഑ͷചΓͱങ͍ͷฏ‫ͨࣔ͠ʹ )ۉ‬ɽ྆ऀͷ૬ؔ܎਺ͷ̎৐͸

0.7529 ͱߴ͍஋Λࣔͨ͠ɽͭ·Γࣜ 4.7 ͕ߴ͍ਫ਼౓Ͱ੒ཱ͍ͯ͠Δ͜ͱ͕෼͔Δɽ͜ͷΑ͏ʹɼz ͱՁ֨ʹ͸͍ͭ΋ߴ͍૬͕ؔ͋Δͷ͔Ͳ͏͔ɼͭ·Γࣜ 4.7 ͕Ͳͷ೔Ͱ΋੒ཱ͍ͯ͠Δ͔Ͳ͏͔Λ෼ੳ͢Δɽਤ 4.6 ͸ɼ2011 ೥ 6 ݄ 13 ೔͔Βಉ೥ 8 ݄ 25 ೔·Ͱʹ͓͍ͯɼ֤೔ʹ͓͍ͯಉ༷ͷ૬ؔ܎਺ͷ‫ܭ‬ଌΛ࣌‫͍ߦͰྻܥ‬ɼ૬ؔ܎਺Λ࣮ઢͰࣔ͠
͍ͯΔɽ఺ઢ͸೔தͷฏ‫ۉ‬ͷՁ֨Ͱ͋Δɽ֓Ͷ૬ؔ܎਺͸ϓϥεͰਪҠ͍ͯ͠Δ͕ɼ0.3
ఔ౓·ͰམͪࠐΉ͜ͱ͕͋Δ͜ͱ͕෼͔Δɽͭ·Γɼࣜ 4.7 ͸ɼध‫͕څ‬ओಋ͢Δͱߟ͑ΒΕ͍ͯΔ‫Ͱڥ؀‬͸Α͘౰ͯ͸·Δ͕ɼͦ͏Ͱͳ͍‫͕ڥ؀‬ଘࡏ͠ɼͦͷͱ͖͸౰ͯ͸·Γ͕ྑ͘ͳ͍͜ͱ͕෼͔Δɽͭ·Γɼ؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜΛ༻͍ͨਓ޻ࢢ৔͸ɼϑΝϯμϝϯλϧͳՁ஋͕େ͖͘มಈ͢ΔΑ͏ͳ‫ڥ؀‬΍ɼϑΝϯμϝϯλϧ͕มԽ͢Δͷ͕౰વ
Ͱ͋Ζ͏௕‫ؒظ‬Λ૝ఆͨ͠৔߹͸ɼଥ౰ੑ͕ͳ͍Մೳੑ͕͋Δͱߟ͑ΒΕΔɽ

*6 ྫ͑͹ɼ[౦ূ 11] ͳͲͰٞ࿦͞Εͨ

79

80

ୈ4ষ

؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͷൺྫ܎਺ͱ CARA ‫ൃܕ‬஫਺ྔϞσϧͷߟ࡯㈙䛔ᡭ䛾ᣦ್ศᕸ

኎䜚ᡭ䛾ᣦ್ศᕸ

ὀᩥ㔞

ὀᩥ㔞
㠃✚䠖as

㠃✚䠖ab

p0

౯᱁
ਤ 4.1

ങ͍खͱചΓखͷࢦ஋෼෍ɽ

p0

౯᱁

81

4.2 ‫࣮ݱ‬ͷՁܾ֨ఆϝΧχζϜΛߟྀͨ͠Ձܾ֨ఆཧ࿦Ϟσϧ

⣼✚
ὀᩥ㔞

⣼✚
ὀᩥ㔞

as

as=ab

ab
኎䜚

㈙䛔
p=p0

ਤ 4.2

౯᱁

኎䜚

㈙䛔

p<p0

౯᱁

൘‫ʹͤد‬ΑΔऔҾՁ֨ͷܾఆɽԣ͕࣠Ձ֨ɼॎ͕࣠ྦྷੵ஫จྔͰΔ͜ͱʹ஫ҙɽ

82

ୈ4ষ

؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͷൺྫ܎਺ͱ CARA ‫ൃܕ‬஫਺ྔϞσϧͷߟ࡯

4.3 ελΠϥΠζυɾϑΝΫτͰ෼ੳͰ͖ͳ͍ಈతͳ‫ݱ‬৅ͷ෼ੳ͜͜Ͱ͸ελΠϥΠζυɾϑΝΫτͰ෼ੳͰ͖ͳ͍ಈతͳ‫ݱ‬৅Λɼୈ 4.2.1 અͰߏங͠
ͨཧ࿦Ϟσϧࣜ 4.7 Λ༻͍ͯ෼ੳ͢Δɽ‫ࢢࣜג‬৔ʹ͓͍ͯ͸ɼେ͖͘ࢢ৔શମ͕‫ٸ‬མͨ͠‫ޙ‬ɼ൓ൃ͢Δ৔߹͕͋Γଟ͘ͷ࣮ূ෼ੳ͕ͳ͞Ε͍ͯΔɽ͜ͷΑ͏ͳελΠϥΠζυɾϑΝΫτͰ෼ੳͰ͖ͳ͍ಈతͳ‫ݱ‬৅Λߏஙͨ͠ཧ࿦ϞσϧͰ෼ੳ͠ɼਓ޻ࢢ৔ʹ͓͚Δࢢ৔‫ٸ‬མ‫ޙ‬ͷ൓ൃͷཁҼ͕ɼՁܾ֨ఆϝΧχζϜʹ͓͚Δध‫څ‬ͷ࿪Έͱɼͦͷ‫ͦޙ‬ͷ࿪Έ͕ਖ਼ৗʹ໭Δաఔʹ༝དྷ͢Δ͜ͱΛࣔ͢ɽ

4.3.1 ਓ޻ࢢ৔ʹΑΔઌߦ‫݁ڀݚ‬Ռͷಛ௃[ീ໦ 12a, Yagi 12b] Ͱ͸ɼਓ޻ࢢ৔Λ΋͍ͪͨγϛϡϨʔγϣϯʹΑͬͯɼՁ֨‫ٸ‬མ‫ޙ‬ͷ൓ൃΛ‫ݟ‬ग़ͨ͠ɽ؆୯ʹɼߦΘΕͨγϛϡϨʔγϣϯͱͦͷ݁ՌΛઆ໌͢ΔɽऔҾࢀՃऀ͸ɼϑΝϯμϝϯλϧΤʔδΣϯτɼςΫχΧϧΤʔδΣϯτɼϊΠζΤʔδΣϯτͰ͋ΓɼͦΕͧΕɼ45:45:10 ͷׂ߹Ͱଘࡏ͢ΔɽϑΝϯμϝϯλϧΤʔδΣϯτ͸ɼՁ֨Λ༧ଌͯͦ͠ΕΑΓׂ҆ͳΒങ͍ɼׂߴͳΒചΓΛߦ͏ɽςΫχΧϧΤʔδΣϯτ͸ա‫ڈ‬ͷՁ͚͔֨ͩΒॱுΓ͔‫ٯ‬ுΓ*7 ͰചങΛߦ͏ɽϊΠζΤʔδΣϯτ͸ϥϯμϜʹൃ஫͠ྲྀಈੑΛ‫͢څڙ‬ΔɽϑΝϯμϝϯλϧΤʔδΣϯτ͕༧૝͢ΔՁ֨ͷฏ‫ۉ‬஋Λ͋Δ࣌఺Ͱ
൒෼ʹ͢Δɽ͜Ε͸‫ࣜג‬ͷϑΝϯμϝϯλϧ͕‫ٸ‬མͨ͠৔߹ʹ૬౰͢Δɽ͜ͷγϛϡϨʔγϣϯͷ݁ՌɼՁ֨͸‫ٸ‬མ͢Δ͕ͦͷ‫ޙ‬൓ൃ͕‫ݟ‬ΒΕͨɽ͜ͷγϛϡϨʔγϣϯ݁Ռͷಛ௃͸ɼ

1. ϑΝϯμϝϯλϧΤʔδΣϯτͷ༧૝͢ΔՁ֨ʹ͹Β͖͕ͭ͋Δɽ
2. ചΓ஫จͷ૯ྔ͸ɼങ͍஫จͷ૯ྔΑΓ͔ͳΓଟ͍ɽ
3. ϑΝϯμϝϯλϧΤʔδΣϯτ͕༧ଌ͢ΔՁ֨ͷ෼෍ͷதԝ஋ΑΓ΋͞Βʹେ͖͘Լམ͢Δɽ

4. ͦͷதԝ஋ʹ޲͔ͬͯ൓ൃ͢Δɽ
5. ΦʔόʔϦΞΫγϣϯԾઆ͸Ϟσϧʹ૊ΈࠐΜͰ͍ͳ͍ཧ࿦Ϟσϧࣜ 4.7 ʹ͓͍ͯɼ஫จͷ͹Β͖ͭ σ ͕ 0 Ͱͳ͍͜ͱ͸ʢ̍ʣͷ༧૝͢ΔՁ֨ʹ͹Β͖͕ͭ͋Δ͜ͱʹ૬౰͍ͯ͠Δɽ·ͨ (̎) ͸ࣜ 4.7 ʹ͓͍ͯ z ͕େ͖͘ෛʹͳΔ
͜ͱʹରԠ͍ͯ͠Δɽʢ̏ʣ͕͍ࣔͯ͠Δ͜ͱ͸ɼϑΝϯμϝϯλϧ͕‫ٸ‬མͨ͠৔߹ɼϑΝ*7 ॱுΓͱ͸ɼࢢ৔Ձ্͕֨ঢʢԼམʣ͍ͯ͠Ε͹ങ͏ʢചΔʣ͜ͱͰ͋Γɼ‫ٯ‬ுΓͱ͸ࢢ৔Ձ্͕֨ঢʢԼ

མʣ͍ͯ͠Ε͹ചΔʢങ͏ʣ͜ͱͰ͋Δɽ

4.3 ελΠϥΠζυɾϑΝΫτͰ෼ੳͰ͖ͳ͍ಈతͳ‫ݱ‬৅ͷ෼ੳϯμϝϯλϧΤʔδΣϯτ͸ͦΕʹ൐͍༧૝Ձ֨ΛҾ͖Լ͛Δ͕ɼʢ̍ʣɼʢ̎ʣ͕ཧ༝Ͱɼ
Ұ൪ଟ͘ͷϑΝϯμϝϯλϧΤʔδΣϯτ͕༧૝͍ͯ͠ΔՁ֨ΑΓ΋ɼ͞Βʹେ͖͘Լམ
ͯ͠͠·͏ͱ͍͏͜ͱͰ͋Δɽ͜ͷ͜ͱ͸ɼࣜ 4.7 ʹ͓͍ͯɼσ ͕ਖ਼ͷ஋Λ࣋ͪɼz ͕େ͖͘ෛʹͳΔ͜ͱʹΑͬͯɼp < p0 ͱͳΔ͜ͱʹରԠ͍ͯ͠Δɽ

4.3.2 ཧ࿦ϞσϧʹΑΔࢢ৔‫ٸ‬མ‫ޙ‬ͷ൓ൃͷ෼ੳ[ീ໦ 12a, Yagi 12b] ͱಉ༷ʹɼϑΝϯμϝϯλϧՁ͕֨‫ٸ‬མͨ͠৔߹ͷՁ֨ͷਪҠΛཧ࿦Ϟσϧࣜ 4.7 Λ༻͍ͯ෼ੳ͢Δɽࢢ৔‫ٸ‬མ࣌Λ૝ఆͯ͠ɼp0 ͱ z Λ࣌‫͔֎Ͱྻܥ‬Β
༩͑Δɽp0 ͸࣌ࠁ 30 ·Ͱ͸ 100ɼ࣌ࠁ 30 ʹ 90 ʹ‫ٸ‬མͤͦ͞ͷ‫ ͱͬͣޙ‬90 ͱઃఆͨ͠ɽz ͸࣌ࠁ 30 ·Ͱ 0 Ͱ͋Δ͕ɼϑΝϯμϝϯλϧ͕‫ٸ‬མͨ࣌͠ࠁ 30 ʹ‫ٸ‬མͯ͠-0.2 ͱͳΓͦͷ‫ޙ‬ঃʑʹ্ঢɼ࣌ࠁ 50 Ͱ΋ͱͷ 0 ʹ໭Δͱઃఆͨ͠ɽσ ͸ 33 ͱͨ͠ɽ͜ΕΒͷ৚݅Λ༩͑ͨԼͰɼࣜ 4.7 Λ΋͍ͪͯ p Λ࣌‫ͨ͠ࢉܭʹྻܥ‬ɽਤ 4.3 ͸ pɼp0 ɼz ͷਪҠΛࣔ͢ɽϑΝϯμϝϯλϧ͕‫ٸ‬མͨ࣌͠ࠁ 30 ʹ͓͍ͯɼp ͸ p0 ΑΓ΋͞ΒʹԼམ͠ɼ80 ʹୡ͍ͯ͠Δɽͦͷ‫ޙ‬ɼ൓ൃ͠ɼp0 ͱಉ͡ 90 ʹऩᏑͨ͠ɽελΠϥΠζυɾϑΝΫτͰ͸෼ੳͰ͖ͳ͍ಈతͳ‫ݱ‬৅Ͱ͋Δࢢ৔‫ٸ‬མ‫ޙ‬ͷ൓ൃΛ࠶‫͢ݱ‬Δ͜ͱ͕Ͱ͖͍ͯΔɽͭ·Γɼࢢ৔‫ٸ‬མ‫ޙ‬ͷ൓ൃͷཁҼ͕ध‫څ‬ͷ࿪Έ (z ͷԼམ) ͱͦͷ‫ޙ‬ਖ਼ৗʹ໭Δաఔ (z ͷ໭Γ) ʹ༝དྷ͢Δ͜ͱΛॳΊͯࣔ͠ɼελΠϥΠζυɾϑΝΫτͰ͸෼ੳͰ͖ͳ͍Ձܾ֨ఆϝΧχζϜͱ͍͏ϛΫϩϝΧχζϜΛ෼ੳͰ͖ͨɽ

[ീ໦ 12a, Yagi 12b] ͷγϛϡϨʔγϣϯ‫͍͓ͯʹڀݚ‬΋ɼϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌ʹചΓ஫จͷ૯ྔ͕ങ͍஫จͷ૯ྔΑΓ͔ͳΓଟ͘ͳΓɼz ͷԼམʹ૬౰͢Δ‫ݱ‬৅͕‫؍‬ଌ͞Ε͍ͯΔɽ͔͠͠ɼͳͥ z ԼམΛԾఆͰ͖Δ͔͸ࣗ໌Ͱ͸ͳ͘ɼࠓ‫ޙ‬ͷ՝୊Ͱ͋Δɽ‫࣮ݱ‬ͷۚ༥ࢢ৔ʹ͓͍ͯ͸ɼ౤ࢿՈ͕ଛΛͨ͠৔߹ͦΕҎ্ͷଛΛ֦େͤ͞ͳ͍ͨΊʹଛΛ֬ఆͤ͞Δച٫ΛߦΘΕΔ͜ͱ͕͋Γɼ͜ΕΛଛ੾ͱ͍͏ɽ[Osler 03] ͸ҝସࢢ৔ʹ͓͍ͯଛ੾ʹΑΔऔҾ͕͔ͳΓͷׂ߹ଘࡏ͢Δͱ͍͏ਪఆΛߦ͍ͬͯΔɽϑΝϯμϝϯλϧ
ͷ‫ٸ‬མ࣌ʹ͓͍ͯ͸ଛ੾͕ଟ͘ൃੜ͠ɼͦΕʹ൐͏ചΓ஫จ͕Ͱͯध‫͕څ‬࿪Έ΍͍͢ͱ͍͏ɼ‫ݧܦ‬తʹ஌ΒΕΔಈతͳࢢ৔ͷಛੑ͕͋Γɼͦ͏Ͱ͋Ε͹ z ͸Լམ͢Δɽ௨ৗ͸ϑΝϯμϝϯλϧΑΓ΋͍҆ͱߟ͍͑ͯΔͱ͖ʹΘ͟Θ͟ചΔ͜ͱ͸গͳ͍ͱߟ͑ΒΕΔ͕ɼࢢ৔‫ٸ‬མ࣌ʹ͸ͦΕ͕෼͔͍ͬͯͯ΋ϦεΫ؅ཧ্‫੍ڧ‬తʹଛ੾Λߦ͏ͳͲ௨ৗ‫ͱظ‬͸ҟͳΔߦಈΛͱΒ͟ΔΛಘͳ͍౤ࢿՈ͕ଟ͍͜ͱ͕࣮຿্͸஌ΒΕ͍ͯΔɽ͔͜͠͠ΕΒ͸࣮ূ෼ੳ͞Ε͍ͯΔ΋ͷͰ͸ͳ͘ɼࠓ‫ޙ‬ͷ՝୊Ͱ͋Δɽ͜ͷΑ͏ͳಈతͳ‫ݱ‬৅͸௕‫ؒظ‬ͷ౷‫͋Ͱྔܭ‬ΔελΠϥΠζυɾϑΝΫτͰ͸෼ੳͰ͖ͳ͍ɽཧ࿦Ϟσϧࣜ 4.7 Λ༻͍Ε͹ɼ͜ͷΑ͏ͳελΠϥΠζυɾϑΝΫτͰ͸෼ੳͰ͖ͳ͍ಈతͳ‫ݱ‬৅Λɼਓ޻ࢢ৔ͷͲͷઃఆʹΑͬͯ΋ͨΒ͞Ε͍ͯΔͷ͔ɼͲͷϛΫϩϝΧ
χζϜ͕ϚΫϩతͳՁ֨มಈʹ݁ͼ͍͍ͭͯΔͷ͔ͱ͍ͬͨɼಈతͳϝΧχζϜͷղ໌ʹ

83

84

ୈ4ষ

؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͷൺྫ܎਺ͱ CARA ‫ൃܕ‬஫਺ྔϞσϧͷߟ࡯‫د‬༩͢Δ͜ͱ͕Ͱ͖ͨɽ‫ٸ‬མ࣌ͷ൓ൃ͕‫͜ى‬Δ‫ٸ‬མͷେ͖͞͸࣮ূ෼ੳʹΑΓ֓Ͷ 10%Ҏ্Ͱ͋Δͱ஌ΒΕ͓ͯΓ*8 ɼ͜ͷਫ४͋ͨΓͰ‫੍ڧ‬తͳଛ੾Λߦ͏౤ࢿՈ͕ଟ͍͜ͱΛ͍ࣔࠦͯ͠Δɽ͜Ε͸ɼ࣮຿ͷੈքͰ͸޿͘஌ΒΕ͍ͯΔ͕ɼৄ͍࣮͠ূ෼ੳ͸ͳ͞Ε͍ͯͳ͍ɽࠓ‫ޙ‬ͷ՝୊Ͱ͋Δɽ*8 ྫ͑͹ɼ[Bremer 91, Bremer 97, Benou 03] ͳͲ

85

4.3 ελΠϥΠζυɾϑΝΫτͰ෼ੳͰ͖ͳ͍ಈతͳ‫ݱ‬৅ͷ෼ੳ

㻝㻚㻜

㻝㻞㻜

㻜㻚㻤
㻝㻜㻜

㻜㻚㻢

㻜㻚㻠
㻜㻚㻞

㻢㻜

㻜㻚㻜
㻙㻜㻚㻞

㻠㻜

㻙㻜㻚㻠
㼜㻌㻔ᕥ㍈㻕㻌

㻞㻜㼜㻜㻌㻔ᕥ㍈䠅㻌

㼆㻌䠄ྑ㍈䠅㻌

㻙㻜㻚㻢
㻙㻜㻚㻤

㻜

㻙㻝㻚㻜
㻜

㻝㻜

㻞㻜

㻟㻜

㻠㻜

㻡㻜

㻢㻜

㻣㻜

㻤㻜

㻥㻜 㻝㻜㻜᫬้㻌
ਤ 4.3ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌ͷཧ࿦Ϟσϧͷ݁Ռɽԣ࣠͸࣌ࠁɼॎ࣠͸ɼऔҾՁ֨ pɼࢦ஋ͷฏ‫ ۉ‬p0 ɼ͓Αͼध‫څ‬ͷ࿪Έ z ɽ

㼆㻌

౯᱁㻌

㻤㻜

86

ୈ4ষ

؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͷൺྫ܎਺ͱ CARA ‫ൃܕ‬஫਺ྔϞσϧͷߟ࡯㻞㻜㻝㻝ᖺ㻤᭶㻥᪥㻌㼀㻻㻼㻵㼄ඛ≀㻌㻥㝈᭶㻌㻣㻤㻡౯᱁㻔䝡䝑䝖䞉䜰䝇䜽ᖹᆒ䠅㻌 䠄ᕥ㍈䠅㻌

㻢㻜㻑

㻣㻤㻜

㼆㻌 䠄ྑ㍈䠅㻌

㻡㻜㻑

㻞㻜㻑

㻣㻢㻜

㻝㻜㻑

㻣㻡㻡

㻜㻑

㻣㻡㻜

㻙㻝㻜㻑

㻣㻠㻡

㻙㻞㻜㻑

㻣㻠㻜

㻙㻟㻜㻑

㻝㻡㻜㻢㻜㻜

㻣㻢㻡㻝㻠㻜㻢㻜㻜

㻟㻜㻑㻝㻟㻜㻢㻜㻜

㻣㻣㻜㻝㻞㻜㻢㻜㻜

㻠㻜㻑㻝㻜㻜㻞㻜㻜

㻣㻣㻡

㼆㻌

㻣㻜㻑

㻥㻜㻞㻜㻜

౯᱁㻌

㻣㻥㻜

㻴㻴㻹㻹㻿㻿㻌
ਤ 4.4

2011 ೥ 8 ݄ 9 ೔ͷ೔தʹ͓͚Δ౦‫݊ূژ‬औҾॴʹ্৔͞Ε͍ͯͨ TOPIX ઌ෺ 9 ‫( ݄ݶ‬2011 ೥) ͷ࠷ྑ‫ؾ‬഑ͷങ͍ͱചΓͷฏ‫ۉ‬Λ࣌‫͍ͯࣔ͠Ͱྻܥ‬Δɽ͜͜Ͱɼasʹͦͷॠؒʹ஫จ൘্ʹ͋ΔചΓ஫จ਺ͷ߹‫ܭ‬ɼab ʹങ͍஫จͷ߹‫ܭ‬Λ༻͍Δɽ఺ઢ͸ɼ͜ΕʹΑͬͯ‫͞ࢉܭ‬Εͨ z Λ͍ࣔͯ͠Δɽಅམͷํ޲ੑ͕ࣅ͍ͯΔ͜ͱ͕෼͔Δɽ

87

4.3 ελΠϥΠζυɾϑΝΫτͰ෼ੳͰ͖ͳ͍ಈతͳ‫ݱ‬৅ͷ෼ੳ

㻣㻤㻜

౯᱁㻌

㻣㻣㻜

㻣㻢㻜

㻼㻌㻩㻌㻟㻤㻚㻡㻜㻢㻌㼆㻌㻗㻌㻣㻡㻡㻚㻣㻤㻌㻾㻞㻌㻩㻌㻜㻚㻣㻡㻞㻥㻌

㻣㻡㻜

㻣㻠㻜
㻙㻠㻜㻑

㻙㻞㻜㻑

㻜㻑

㻞㻜㻑

㻠㻜㻑

㻢㻜㻑

㻤㻜㻑

㼆㻌
ਤ 4.5

4.4 ͱಉ͡σʔλΛɼԣ࣠ʹ z ɼॎ࣠ʹऔҾՁ֨ (࠷ྑ‫ؾ‬഑ͷചΓͱങ͍ͷฏ‫ͨࣔ͠ʹ )ۉ‬ɽ྆ऀ͸૬ؔ܎਺ 0.7529 ͱߴ͍૬ؔΛࣔͨ͠ɽୈ4ষ؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͷൺྫ܎਺ͱ CARA ‫ൃܕ‬஫਺ྔϞσϧͷߟ࡯౯᱁䛸㼆䛾┦㛵ಀᩘ㻌
㻝㻚㻜

㻥㻜㻜

㻜㻚㻤
㻜㻚㻣

㻤㻡㻜

㻜㻚㻢

㻤㻜㻜

㻜㻚㻡

㻜㻚㻠

㻣㻡㻜

㻜㻚㻟

㻞㻜㻝㻝㻜㻤㻞㻟

㻞㻜㻝㻝㻜㻤㻝㻢

㻞㻜㻝㻝㻜㻤㻜㻥

㻞㻜㻝㻝㻜㻤㻜㻞

㻣㻜㻜㻞㻜㻝㻝㻜㻣㻞㻢

㻞㻜㻝㻝㻜㻣㻝㻥

㻞㻜㻝㻝㻜㻣㻝㻝

㻞㻜㻝㻝㻜㻣㻜㻠

᪥୰౯᱁ᖹᆒ䠄ྑ㍈䠅㻌㻞㻜㻝㻝㻜㻢㻞㻣

㻜㻚㻝㻜㻚㻜㻞㻜㻝㻝㻜㻢㻞㻜

┦㛵ಀᩘ䠄ᕥ㍈䠅㻌㻞㻜㻝㻝㻜㻢㻝㻟

㻜㻚㻞᪥୰ᖹᆒ౯᱁㻌

㻜㻚㻥

┦㛵ಀᩘ㻌

88

㻢㻡㻜

᪥௜䠄Ⴀᴗ᪥㻕㻌ਤ 4.6

2011 ೥ 6 ݄ 13 ೔͔Βಉ೥ 8 ݄ 25 ೔·Ͱʹ͓͍ͯɼ֤೔ʹ͓͍ͯ 4.5 ͱಉ༷ͷ૬ؔ܎਺ͷ‫ܭ‬ଌΛ࣌‫͍ߦͰྻܥ‬ɼ૬ؔ܎਺Λ࣮ઢͰ͍ࣔͯ͠Δɽ఺ઢ͸೔தͷฏ‫ۉ‬ͷՁ֨Ͱ͋Δɽ֓Ͷ૬ؔ܎਺͸ϓϥεͰਪҠ͍ͯ͠Δ͕ɼ0.3 ఔ౓·ͰམͪࠐΉ͜ͱ͕͋Δ͜ͱ͕෼͔Δɽ

4.4 อ༗‫਺ࣜג‬ͷܾఆํࣜͷҧ͍͕΋ͨΒ͢Ձ֨‫ܗ‬੒ͷ෼ੳ

4.4 อ༗‫਺ࣜג‬ͷܾఆํࣜͷҧ͍͕΋ͨΒ͢Ձ֨‫ܗ‬੒ͷ෼ੳਓ޻ࢢ৔Ͱ͠͹͠͹༻͍ΒΕΔ CARA ํࣜͷൃ஫‫਺ࣜג‬Ϟσϧ͕Ձ֨‫ܗ‬੒ʹͲͷΑ͏ͳӨ‫ڹ‬Λ΋ͨΒ͔͢Λௐ΂Δɽ͜͜Ͱ͸ɼCARA ํࣜʹΑΔอ༗‫਺ࣜג‬ͷܾఆํࣜΛཧ࿦Ϟσϧࣜ 4.7 Λ༻͍ͯ෼ੳ͠ɼϘϥςΟϦςΟɾΫϥελϦϯά͕ൃੜ͢Δ͜ͱΛࣔ͢ɽ

CARA ํࣜͰͳ͍਺ྔҰఆํࣜͰ͸ϘϥςΟϦςΟɾΫϥελϦϯά͕ൃੜ͠ͳ͍͜ͱ
΋ࣔ͠ɼਓ޻ࢢ৔ʹ͓͚ΔϘϥςΟϦςΟɾΫϥελϦϯάͷൃੜ‫ݪ‬Ҽ͕ɼCARA ํࣜʹΑΔอ༗‫਺ࣜג‬ͷܾఆํࣜʹ͋ΔՄೳੑ͕͋Δ͜ͱΛࣔ͢ɽ

4.4.1 ਺ྔҰఆํࣜͱ CARA ํࣜͷௐࠪϞσϧ͜͜Ͱ͸͘͝؆୯ͳϚϧνΤʔδΣϯτϞσϧΛ࢖͏ɽϊΠζΤʔδΣϯτ͸ങ͍ͱചΓͷ஫จΛ྆ํͩ͢ɽ஫จͷ෼෍͸ɼฏ‫ ۉ‬p0 (= ϑΝϯμϝϯλϧՁ֨)ɼඪ४ภࠩ σ ͷਖ਼‫ن‬෼෍Ͱ͋Δɽ஫จ૯ྔ͸ɼฏ‫ ۉ‬s0 ɼඪ४ภࠩ sσ ͷਖ਼‫ن‬෼෍ʹै͏ཚ਺ʹΑΓɼຖ‫ظ‬ɼചΓɾങ͍ͦΕͧΕͰܾఆ͢Δ (ചΓͱങ͍ͷ૯ྔ͸ҟͳΔ)ɽϑΝϯμϝϯλϧΤʔδΣϯτ͸ɼ‫ظ‬଴Ϧλʔϯ r ͕ϓϥεͩͱങ͍஫จ͚ͩΛೖΕɼϚΠφεͩͱചΓ஫จ͚ͩΛೖΕΔɽલ‫ظ‬ͷՁ֨Λ p ͱ͢Δͱ r = p0 /p − 1 ͱ͋ΒΘ͞ΕΔɽ஫จͷ෼෍͸ϊΠζΤʔδΣϯτͱಉ༷Ͱɼฏ‫ ۉ‬p0 (= ϑΝϯμϝϯλϧՁ֨)ɼඪ४ภࠩ σ ͷਖ਼‫ن‬෼෍Ͱ͋Δɽ஫จ૯ྔͰ͋Δ͕ɼ̎ͭͷํࣜΛߟ͑Δɽ̍ͭ͸ “਺ྔҰఆํࣜ”ͱΑͼɼ஫จ૯ྔ
͸ৗʹ a = Ұఆ ͱ͢Δɽ΋͏̍ͭ͸ “CARA ํࣜ”*9 ͱΑͼɼ஫จ૯ྔ͸ r/α ͱ r ʹൺྫ͢Δɽ͜͜Ͱ α ͸ϦεΫճආ౓Ͱ͋ΔɽCARA ํࣜ͸ਓ޻ࢢ৔ϞσϧͰྑ͘༻͍ΒΕ
ΔํࣜͰ͋ΓɼϦεΫճආతͳΤʔδΣϯτ͸΋ͬͱ΋ޮ༻͕ߴ͍ (ޮ༻ؔ਺͕࠷େ) อ༗਺ྔΛ‫ٻ‬Ίɼͦͷอ༗਺ྔʹͳΔΑ͏ʹ஫จΛग़͢ɽ͜ͷ৔߹ɼ͓͓ΉͶ‫ظ‬଴Ϧλʔϯr ʹൺྫͨ͠஫จΛग़͢͜ͱͱͳΔͨΊɼ͜ΕΛϞσϧԽͨ͠΋ͷ͕ɼࠓճͷ CARA ํࣜͰ͋Δɽ͍ͣΕͷํࣜʹ͓͍ͯ΋ɼϊΠζΤʔδΣϯτɼϑΝϯμϝϯλϧΤʔδΣϯτͱ΋ʹɼ૯ྔҎ֎͸શ͘ಉ͡஫จͷ෼෍ͱͳΔͨΊɼୈ 4.2.1 અͰࣔͨ͠ཧ࿦Ϟσϧࣜ 4.7 ͰՁ֨Λ‫͖Ͱࢉܭ‬Δɽ͜͜Ͱύϥϝʔλ͸ɼp0 = 1, 000, σ = 100, s0 = 100, sσ = 10, a =16, α = 10 ͱͨ͠ɽ͜ͷՁ֨ͷ‫ࢉܭ‬Λ֤ํࣜʹରͯ͠ɼ10,000 ‫ͨͬߦظ‬ɽ*9 ϦεΫ͕େ͖͍ࢿ࢈΄Ͳগͳ͘อ༗͠‫ظ‬଴Ϧλʔϯͷ֬৴౓͕ߴ͍΄Ͳଟ͘อ༗͢ΔΑ͏ʹޮ༻ؔ਺Λఆٛ͠ɼ͜ͷޮ༻ؔ਺͕࠷େͱͳΔΑ͏ʹൃ஫਺ྔΛܾΊΔํࣜɽ[࿨ઘ 03] ͕ৄ͍͠ɽ

89

90

ୈ4ষ

؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͷൺྫ܎਺ͱ CARA ‫ൃܕ‬஫਺ྔϞσϧͷߟ࡯

4.4.2 ௐࠪϞσϧʹΑΔϘϥςΟϦςΟɾΫϥελϦϯάͷ෼ੳ֤ํࣜʹରͯ͠ɼՁ֨ͷಅམ཰ͷ‫ج‬ຊతͳ౷‫ྔܭ‬Λද 4.1 ʹࣔ͢ɽઑ౓*10 ͕ϚΠφεͱͳ͓ͬͯΓɼ࣮ࡍͷࢢ৔ͷ෼ੳ݁Ռͱ‫͋Ͱٯ‬Δɽ࣮ࡍͷࢢ৔Ͱ͸ઑ౓͕ϓϥε (ϑΝοτɾςʔϧ) Ͱ͋Δ͜ͱ͕஌ΒΕ͓ͯΓɼ͜Ε͕࠶‫͞ݱ‬Ε͍ͯͳ͍ɽ͜ͷϞσϧͰ͸ϊΠζΤʔδΣϯτͷ஫จͷ෼෍ͷฏ‫ ͕ۉ‬p0 ͱͳ͍ͬͯΔͨΊɼͲͷΑ͏ͳ p ʹͳ͍ͬͯͯ
΋ p0 ʹ໭͞Εͯ͠·͏܏޲͕͋ΔɽͦͷͨΊҰํ޲΁ͷಅམ͕ଓ͖ʹ͘͘ɼઑ౓͕௿͘
ͳΔ܏޲ʹͳͬͯ͠·͏ɽຊདྷͳΒ p Λฏ‫͋Ͱ͖΂͢ʹۉ‬Δ͕ࣜ 4.7 Ͱ‫ͬͳ͘ͳ͖Ͱࢉܭ‬ͯ͠·͏ͨΊʹ p0 Λ༻͍ͨɽࠓ‫ޙ‬ͷ՝୊Ͱ͋Δɽਤ 4.7 ͸ɼՁ֨ͷಅམ཰ͷ̎৐ͷࣗ‫ݾ‬૬ؔΛ֤ํࣜʹରͯࣔͨ͠͠ɽԣ͕࣠ϥάΛԿ‫͋Ͱ͔ͨͬͱظ‬Γɼॎ͕࣠ࣗ‫ݾ‬૬ؔ܎਺
Ͱ͋ΔɽCARA ํࣜͷΈɼϘϥςΟϦςΟɾΫϥελϦϯά͕‫؍‬ଌ͞ΕΔ͜ͱ͕෼͔Δɽͭ·Γɼਓ޻ࢢ৔ʹ͓͍ͯɼCARA ํࣜͷൃ஫਺ྔͷܾఆ͕ɼϘϥςΟϦςΟɾΫϥελϦϯάΛੜΈग़͢ཁҼͰ͋ΔՄೳੑ͕ࣔࠦ͞ΕΔɽCARA ํࣜ͸ɼϘϥςΟϦςΟ͕
ߴ·Δͱ֤ΤʔδΣϯτͷ༧૝Ձ֨ͱࢢ৔ͷՁ֨ͷဃ཭͕େ͖͘ͳΓ΍͍ͨ͢Ίൃ஫਺ྔ͕େ͖͘ͳΔɽͦͷେ͖͘ͳͬͨൃ஫਺ྔʹΑΓՁ͕֨େ͖͘มಈ͠ϘϥςΟϦςΟ͕ߴ͍ঢ়‫͕گ‬ҡ࣋͞ΕΔɽϘϥςΟϦςΟ͕ߴ͍ํ͕ɼൃ஫ྔ͕૿͑ΔͨΊɼߴ͍ϘϥςΟϦ
ςΟ͕ҡ࣋͞ΕΔͱ͍͏ϝΧχζϜ͕ߟ͑ΒΕΔɽ͔͠͠ͳ͕Βɼৄ͍࣮͠ূ෼ੳ͸ͳ͞Ε͍ͯͳ͍ɽ

*10 ͜͜Ͱͷઑ౓ͷఆٛ͸ɼਖ਼‫ن‬෼෍Ͱ 0 ͱͳΔఆٛͰ͋Δɽ͢ͳΘͪɼn ‫ݸ‬ͷσʔλ xi (i = 1, , , n) ͕͋Δnͱ͖ɼxi ͷฏ‫ۉ‬Λ X ɼඪ४ภࠩΛ S ͱ͢Δͱઑ౓ K ͸ɼK = 1/(nS 4 ) ×(x − X)4 − 3ɼͱ
i=1 i



͢ΔఆٛΛ࢖༻ͨ͠ɽ

4.4 อ༗‫਺ࣜג‬ͷܾఆํࣜͷҧ͍͕΋ͨΒ͢Ձ֨‫ܗ‬੒ͷ෼ੳ

ද 4.1

͘͝؆୯ͳϚϧνΤʔδΣϯτϞσϧͷ݁ՌɽՁ֨ͷಅམ཰ͷ‫ج‬ຊతͳ౷‫ྔܭ‬Λࣔͨ͠ɽઑ౓͕ϚΠφεͱͳ͓ͬͯΓɼ࣮ࡍͷࢢ৔ͷ෼ੳ݁Ռͱ‫͋Ͱٯ‬Δɽᇶᮏ⤫ィ㔞ᩘ㔞୍ᐃ᪉ᘧ
ᖹᆒ
㻜㻚㻜㻟㻑
ᶆ‽೫ᕪ
㻞㻚㻞㻡㻑
ṍᗘ
㻜㻚㻜㻝
ᑤᗘ
㻙㻝㻚㻝㻟

㻯㻭㻾㻭᪉ᘧ
㻜㻚㻜㻠㻑
㻞㻚㻣㻢㻑
㻜㻚㻜㻡
㻙㻜㻚㻢㻝

91

ୈ4ষ

؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜͷൺྫ܎਺ͱ CARA ‫ൃܕ‬஫਺ྔϞσϧͷߟ࡯㦐ⴠ⋡䠎஌⮬ᕫ┦㛵㻌
㻝㻚㻜
㻜㻚㻤
┦㛵ಀᩘ㻌

92

ᩘ㔞୍ᐃ᪉ᘧ㻌㻯㻭㻾㻭᪉ᘧ㻌

㻜㻚㻢
㻜㻚㻠
㻜㻚㻞

㻜㻚㻜
㻙㻜㻚㻞
㻝

㻞

㻟

㻠

㻡

䝷䜾䠄ᮇ䠅㻌
ਤ 4.7

Ձ֨ͷಅམ཰ͷ̎৐ͷࣗ‫ݾ‬૬ؔΛ֤ํࣜʹରͯࣔͨ͠͠ɽԣ͕࣠ϥάΛԿ‫ظ‬ͱ͔ͬͨͰ͋Γɼॎ͕࣠ࣗ‫ݾ‬૬ؔ܎਺Ͱ͋ΔɽCARA ํࣜͷΈɼϘϥςΟϦςΟɾΫϥελϦϯά͕‫؍‬ଌ͞ΕΔ͜ͱ͕෼͔Δɽ

4.5 ·ͱΊ

4.5 ·ͱΊຊষͰ͸·ͣɼਓ޻ࢢ৔ϞσϧͰ༻͍ΒΕ͍ͯΔઃఆͷଥ౰ੑΛɼϛΫϩϝΧχζϜ͔Βௐ΂ΔͨΊɼ‫࣮ݱ‬ͷࢢ৔Ͱ༻͍ΒΕ͍ͯΔ൘‫ࣜํͤد‬ͷՁܾ֨ఆϝΧχζϜΛ༻͍ͨՁܾ֨ఆཧ࿦ϞσϧΛߏங͠ɼςΟοΫσʔλΛ༻͍ͯ͜ͷϞσϧͷଥ౰ੑΛࣔͨ͠ɽߏங
͞ΕͨϞσϧ͸ɼ஫จͷध‫څ‬ͷ૯ྔͷ͚ࠩͩͰՁ͕ܾ֨ఆ͞ΕΔͨΊɼ͜ͷϞσϧ͕ଥ౰Ͱ͋Ε͹ɼՁ֨ͷมԽ͕ങ͍஫จͷ૯ྔͱചΓ஫จͷ૯ྔͷࠩʹൺྫ͢Δͱ͍͏؆қ‫ܕ‬Ձܾ֨ఆϝΧχζϜΛ༻͍ͨਓ޻ࢢ৔ͷଥ౰ੑΛࣔ͢͜ͱ͕ग़དྷΔɽ͜ΕΒͷϞσϧͰ͸ध‫څ‬ͷΪϟοϓͱՁ֨มಈͷؒͷ܎਺͸ద౰ͳύϥϝʔλͱͯ͠ѻΘΕ͍͕ͯͨɼͦͷ܎਺͕ɼࢢ৔ࢀՃऀͷ༧૝Ձ֨ͷඪ४ภࠩʹൺྫ͢Δ͜ͱΛॳΊͯࣔͨ͠ɽ
࣍ʹελΠϥΠζυɾϑΝΫτͰ෼ੳͰ͖ͳ͍ಈతͳ‫ݱ‬৅Λɼߏஙͨ͠ཧ࿦ϞσϧΛ༻͍ͯ෼ੳͨ͠ɽ‫ࢢࣜג‬৔ʹ͓͚Δࢢ৔‫ٸ‬མ‫ޙ‬ͷ൓ൃʹ͍ͭͯɼਓ޻ࢢ৔ͰͲͷΑ͏ͳϝΧχζϜͰ࠶‫͞ݱ‬Ε͍ͯΔͷ͔Λ෼ੳͨ͠ɽͦͷ݁Ռɼਓ޻ࢢ৔ʹ͓͚Δࢢ৔‫ٸ‬མ‫ޙ‬ͷ൓ൃͷཁҼ͕ɼՁܾ֨ఆϝΧχζϜʹ͓͚Δध‫څ‬ͷ࿪Έͱɼͦͷ‫ͦޙ‬ͷ࿪Έ͕ਖ਼ৗʹ໭Δաఔ
ʹ༝དྷ͢Δ͜ͱΛࣔͨ͠ɽਓ޻ࢢ৔Ͱ͠͹͠͹༻͍ΒΕΔ CARA ํࣜͷൃ஫‫਺ࣜג‬Ϟσϧ͕Ձ֨‫ܗ‬੒ʹͲͷΑ͏ͳӨ‫ڹ‬Λ΋ͨΒ͔͢ɼߏஙͨ͠ཧ࿦ϞσϧΛ༻͍ͯௐ΂ͨɽͦͷ݁ՌɼCARA ํࣜͷൃ஫਺ྔϞσϧ͸ɼϘϥςΟϦςΟɾΫϥελϦϯάΛ΋ͨΒ͢Մೳੑ͕͋Δ͜ͱ͕෼͔ͬͨɽCARA ํࣜ͸ɼϘϥςΟϦςΟ͕ߴ·Δͱ֤ΤʔδΣϯτͷ༧૝Ձ֨ͱࢢ৔ͷՁ֨ͷဃ཭͕େ͖͘ͳΓ΍͍ͨ͢Ίൃ஫਺ྔ͕େ͖͘ͳΔɽͦͷେ͖͘ͳͬͨൃ஫਺ྔ
ʹΑΓՁ͕֨େ͖͘มಈ͠ϘϥςΟϦςΟ͕ߴ͍ঢ়‫͕گ‬ҡ࣋͞ΕΔͱ͍͏ϝΧχζϜ͕ߟ͑ΒΕΔɽ·ͨɼCARA ํࣜͷΤʔδΣϯτϞσϧ͸ϦεΫճආ‫ܕ‬ͷ౤ࢿՈΛԾఆ͠
͍ͯΔ͕ɼߦಈ‫ֶࡁܦ‬ɾ࣮‫ֶࡁܦݧ‬ͷ‫͍͓ͯʹڀݚ‬ϦεΫςΠΫ‫ܕ‬ͷ౤ࢿՈ͕͔ͳΓ͍ΔͷͰ͸ͳ͍͔ͱ‫ݴ‬ΘΕ࢝Ί͍ͯΔ [Kumar 09, ‫ؠ‬ᖒ 11]ɽ·ͨɼಉ͡ϦεΫճආ‫Ͱܕ‬΋

DARA(Decreasing Absolute Risk Aversion) ํࣜͷ৔߹ɼCARA ํࣜͱՁ֨‫ܗ‬੒͕ҟͳΔ͜ͱΛࣔͨ͠ਓ޻ࢢ৔γϛϡϨʔγϣϯ‫ڀݚ‬΋͋Δ [‫ ׎‬14]ɽ͜ͷΑ͏ʹɼߦಈ‫ࡁܦ‬ֶɾ࣮‫ࠦࣔ͞Ͱֶࡁܦݧ‬Εͨ౤ࢿՈͷϦεΫબ޷ಛੑΛਓ޻ࢢ৔Ͱ෼ੳ͢Δ͜ͱ͸ɼࠓ‫ޙ‬ͷॏཁͳ‫ڀݚ‬՝୊Ͱ͋Δͱߟ͑ΒΕΔɽ

93

95

ୈ5ষ

ਓ޻ࢢ৔ɾϕʔεϞσϧͷߏங
5.1 ͸͡Ίʹ͜͜Ͱ͸ [Chiarella 02, Chiarella 09] ͷਓ޻ࢢ৔ϞσϧΛϕʔεʹɼୈ 6 ষҎ߱Ͱ༻͍ΔϕʔεϞσϧΛߏங͢Δɽୈ 3 ষͰड़΂ͨΑ͏ʹɼՁܾ֨ఆϝΧχζϜ͸‫࣮ݱ‬ͷ‫੍ن‬ɾ੍౓Λ࣮૷͢ΔͨΊɼ‫࣮ݱ‬ͷऔҾࢢ৔Λඞཁͳൣғ಺Ͱ஧࣮ʹ࠶‫͠ݱ‬ɼΤʔδΣϯτ͸෼ੳ໨తΛՌͨͤΔൣғ಺ͰɼͳΔ΂͘γϯϓϧͳϞσϧΛ໨ࢦͨ͠ɽ࣮ࡍͷࢢ৔Λ‫׬‬શʹ࠶‫͢ݱ‬Δ͜ͱΛ໨తͱ͓ͯ͠Βͣɼ࣮ࡍʹ͸ଘࡏ͢ΔͩΖ͏౤ࢿՈΛ͢΂ͯ໢ཏ͢Δ͜ͱ
͸͓͋͑ͯ͜ͳΘͳ͍ɽܾఆ͞ΕͨύϥϝʔλΛ༻͍ͯɼ࣮ূ෼ੳͰಘΒΕ͍ͯΔϑΝοτɾςʔϧ (Ձ֨ͷಅམ཰ͷઑ౓*1 ͕ϓϥεͰ͋Δ͜ͱ) ΍ϘϥςΟϦςΟɾΫϥελϦϯά (Ձ֨ͷಅམ཰ͷඪ४ภ͕ࠩࣗ‫ݾ‬૬ؔΛ࣋ͭ͜ͱ) ͱ͍ͬͨ୅දతͳελΠϥΠζυɾϑΝΫτ͕࠶‫͖Ͱݱ‬Δ͔Ͳ͏͔ɼଥ౰ੑΛ‫ݕ‬౼͢Δɽͦͯ͠ɼύϥϝʔλܾఆͷͨΊͷ෼ੳΛࣔ͢ɽ

*1 ͜͜Ͱͷઑ౓ͷఆٛ͸ɼਖ਼‫ن‬෼෍Ͱ 0 ͱͳΔఆٛͰ͋Δɽ͢ͳΘͪɼn ‫ݸ‬ͷσʔλ xi (i = 1, , , n) ͕͋Δnͱ͖ɼxi ͷฏ‫ۉ‬Λ X ɼඪ४ภࠩΛ S ͱ͢Δͱઑ౓ K ͸ɼK = 1/(nS 4 ) ×(x − X)4 − 3ɼͱ
i=1 i



͢ΔఆٛΛ࢖༻ͨ͠ɽ

96

ୈ5ষ

ਓ޻ࢢ৔ɾϕʔεϞσϧͷߏங

5.2 ϕʔεϞσϧͷৄࡉ͜͜Ͱ͸ [Chiarella 02, Chiarella 09] ͷਓ޻ࢢ৔ϞσϧΛϕʔεʹɼୈ 6 ষҎ߱Ͱ༻͍ΔϕʔεϞσϧΛߏங͢Δɽ[Chiarella 02, Chiarella 09] Ͱ͸ɼγϯϓϧͰ͋Γͳ͕Βɼ࣮ূ෼ੳͰಘΒΕͨ௕‫ʹؒظ‬ଘࡏ͢ΔՁ֨มಈͷ౷‫ܭ‬తੑ࣭Λ࠶‫͖Ͱݱ‬ΔΤʔδΣϯτϞ
σϧͷߏஙʹ੒ޭ͍ͯ͠Δɽ
ୈ 3 ষͰ΋ड़΂ͨΑ͏ʹɼਓ޻ࢢ৔ϞσϧΛ༻͍ͨγϛϡϨʔγϣϯ‫ڀݚ‬͸ɼ࣮ࡍͷࢢ৔ʹΈΒΕΔଟ͘ͷ౷‫ܭ‬తੑ࣭ (ελΠϥΠζυɾϑΝΫτ) Λ࠶‫ͨ͠ݱ‬Γ‫੍ن‬ͷޮՌΛ෼ੳͨ͠Γͱɼଟ͘ͷ੒ՌΛ͍͋͛ͯΔ [Cont 01, LeBaron 06, Chen 12, ࿨ઘ 12b, Cristelli14]ɽҰํͰɼଟ͘ͷਓ޻ࢢ৔Ϟσϧ͸ύϥϝʔλ͕ଟ͗ͯ͢ෆඞཁʹෳࡶ͗͢Δͱ͍͏ࢦఠ΋͞Ε͍ͯΔ [Chen 12]ɽͳͥͳΒɼਓ޻ࢢ৔Ϟσϧͷଥ౰ੑ͸࣮ূ෼ੳͰಘΒΕ͍ͯΔϑΝοτɾςʔϧ (Ձ֨ͷಅམ཰ͷઑ౓͕ϓϥεͰ͋Δ͜ͱ) ΍ϘϥςΟϦςΟɾΫϥελϦϯά (Ձ֨ͷಅམ཰ͷඪ४ภ͕ࠩࣗ‫ݾ‬૬ؔΛ࣋ͭ͜ͱ) ͱ͍ͬͨ୅දతͳελΠϥΠζυɾϑΝΫτ͕࠶‫͖Ͱݱ‬Δ͔Ͳ͏͔ͰධՁ͞ΕΔ͕ɼϞσϧΛෳࡶʹͯ͠΋ଟ͘ͷ৔߹͸ɼ࠶‫͖Ͱݱ‬ΔελΠϥΠζυɾϑΝΫτͷछྨ͕૿͑ͨΓ࠶‫ݱ‬ͷਫ਼౓্͕͕ͬͨΓ͠ͳ͍͔ΒͰ͋ΔɽͦͷͨΊɼͰ͖Δ͚ͩγϯϓϧͳϞσϧͰελΠϥΠζυɾϑΝΫτΛ࠶‫͕ํ͖ͨͰݱ‬Α͍ͱ͍͏ओு͕ͳ͞Ε͍ͯΔ [Chen 12]ɽͱ͍͏ͷ΋ύϥϝʔλ͕ଟ͘ෳࡶͳϞσϧ΄ͲɼϞσϧ΍‫݁ࢉܭ‬ՌͷධՁ͕೉͘͠ͳΔ͔ΒͰ͋Δɽຊ‫Ͱڀݚ‬͸ɼୈ

3 ষͰड़΂ͨΑ͏ʹɼՁܾ֨ఆϝΧχζϜ͸‫࣮ݱ‬ͷ‫੍ن‬ɾ੍౓Λ࣮૷͢ΔͨΊɼ‫࣮ݱ‬ͷऔҾࢢ৔Λඞཁͳൣғ಺Ͱ஧࣮ʹ࠶‫͠ݱ‬ɼΤʔδΣϯτ͸෼ੳ໨తΛՌͨͤΔൣғ಺ͰɼͳΔ΂͘γϯϓϧͳϞσϧΛ໨ࢦͨ͠ɽ࣮ࡍͷࢢ৔Λ‫׬‬શʹ࠶‫͢ݱ‬Δ͜ͱΛ໨తͱ͓ͯ͠Βͣɼ࣮ࡍʹ͸ଘࡏ͢ΔͩΖ͏౤ࢿՈΛ͢΂ͯ໢ཏ͢Δ͜ͱ͸͋͑ͯߦ͍ͬͯͳ͍ɽ

5.2.1 ‫ج‬ຊࣄ߲ຊϞσϧ͸ 1 ͭͷϦεΫࢿ࢈ͷΈΛऔҾର৅ͱ͢Δɽn ମͷΤʔδΣϯτ͕͓ΓɼΤʔδΣϯτ൪߸ j = 1 ͔Βॱ൪ʹ j = 2, 3, 4, ... ͱ஫จΛग़͢ɽग़͞Εͨ஫จͷॲཧ͸ୈ

5.2.2 અͰड़΂Δɽ࠷‫ޙ‬ͷΤʔδΣϯτ j = n ͕஫จΛग़͢ͱɼ࣍ͷ࣌ࠁʹ͸·ͨॳΊͷΤʔδΣϯτ j = 1 ͔Β஫จΛग़͠‫܁‬Γฦ͞ΕΔɽ࣌ࠁ t ͸ 1 ମͷΤʔδΣϯτ͕஫จΛग़͢͝ͱʹ 1 ૿͑Δɽͭ·Γɼ஫จΛ͚ͨͩ͠ͰऔҾ͕੒ཱ͠ͳ͍৔߹΋ 1 εςοϓਐtΉɽ֤ΤʔδΣϯτ j ͸ୈ 5.2.3 અͰड़΂ΔखॱʹैͬͯɼചΓ͔ങ͍͔ɼ஫จՁ֨ Po,jΛܾఆ͢Δɽ஫จ਺ྔ͸ৗʹ 1 ͱҰఆͱ͢Δɽ·ͨɼ֤ΤʔδΣϯτ͸ࢿ࢈ΛԿ୯ҐͰ΋ങ͏͜ͱ͕Ͱ͖ (Ωϟογϡ͕ແ‫ݶ‬େ)ɼۭചΓ (ࢿ࢈ͷอ༗਺ྔ͕ϚΠφεʹͳΔ͜ͱ)΋ࣗ༝ʹߦ͏͜ͱ͕Ͱ͖Δɽ

97

5.2 ϕʔεϞσϧͷৄࡉ

5.2.2 Ձܾ֨ఆϝΧχζϜ
Ձܾ֨ఆϝΧχζϜ͸ɼചΓखͱങ͍खͷ૒ํ͕Ձ֨Λఏࣔ͠ɼചΓखͱങ͍खͷఏࣔՁ͕֨߹க͢ΔͱͦͷՁ֨Ͱ௚ͪʹऔҾ͕੒ཱ͢Δɼ࿈ଓμϒϧΦʔΫγϣϯํࣜ (βϥόํࣜ) ͱͨ͠ [Friedman 93, TSE 13]ɽՁ֨ͷมԽ෯ͷ࠷খ୯Ґ͸ ΔP ͱ͠ɼͦΕΑΓখ͍͞୺਺͸ɼങ͍஫จͷ৔߹͸੾ΓࣺͯɼചΓ஫จͷ৔߹͸੾Γ্͛Δɽങ͍ (ചΓ) ஫จ͸ɼ஫จՁ֨ΑΓ͍҆ (ߴ͍) ஫จ͕‫ʹط‬ଘࡏ͢Ε͹ɼ࠷΋͍҆ (ߴ͍) ചΓ (ങ͍) ஫จͱଈ࠲ʹऔҾ͕੒ཱ͢Δɽ͜ͷΑ͏ͳଈ࠲ʹऔҾ͕੒ཱ͢Δ஫จΛ੒ߦ஫จͱΑͿɽଈ࠲ʹऔҾ͕੒ཱ͢Δɼ૬ର͢Δ஫จ͕ͳ͚Ε͹஫จΛ࢒͢ɽ͜ͷΑ͏ʹଈ࠲ʹ੒ཱͤͣ࢒͞
Εͨ஫จΛࢦ஋஫จͱΑͿɽࢦ஋஫จ͕Ωϟϯηϧ࣌ؒ tc ͚ͩ‫ܦ‬աͯ͠΋औҾ͕੒ཱ͠ͳ͔ͬͨ৔߹͸ɼΩϟϯηϧ͞ΕΔɽ

5.2.3 ΤʔδΣϯτΤʔδΣϯτ͸ɼ࣮ࡍͷࢢ৔ͷՁ֨‫ܗ‬੒ͷੑ࣭Λ࠶‫͢ݱ‬ΔͨΊʹಋೖ͢Δ΋ͷͰ͋ΓɼελΠϥΠζυɾϑΝΫτΛ࠶‫͢ݱ‬Δൣғ಺ͰͳΔ΂͘γϯϓϧͳϞσϧͱͨ͠ɽtɼചΓങ͍ͷผΛҎԼͷΑ͏ʹܾΊΔɽ࣌ࠁ t ʹΤʔδΣΤʔδΣϯτ͸஫จՁ֨ Po,jt͸ɼϯτ j ͕༧૝͢ΔՁ֨ͷมԽ཰ (༧૝Ϧλʔϯ)re,j
t
re,j
=

1
w1,j + w2,j + uj




Pf
t
t
w1,j log t + w2,j rh,j + uj j ɽ
P

(5.1)

͜͜Ͱɼwi,j ͸ΤʔδΣϯτ j ͷ i ߲໨ͷॏΈͰ͋ΓɼγϛϡϨʔγϣϯ։࢝࣌ʹɼͦΕͧΕ 0 ͔Β wi,max ·ͰҰ༷ཚ਺ͰܾΊΔɽuj ͸ΤʔδΣϯτ j ͷ 3 ߲໨ͷॏΈͰ͋ΓɼγϛϡϨʔγϣϯ։࢝࣌ʹ 0 ͔Β umax ·ͰҰ༷ཚ਺ͰܾΊΔɽlog ͸ࣗવର਺Ͱ͋Δɽ

Pf ͸࣌ؒʹΑΒͣҰఆͷϑΝϯμϝϯλϧՁ֨ɼP t ͸࣌ࠁ t ͰͷऔҾՁ֨ (औҾ͞Εͳ͔ͬͨ࣌ࠁͰ͸௚ۙऔҾ͞ΕͨՁ֨Ͱ͋Γɼ࣌ࠁ t = 0 Ͱ͸ P t = Pf ͱ͢Δ)ɼtj ͸࣌ࠁttɼΤʔδΣϯτ j ͷཚ਺߲Ͱ͋Γɼฏ‫ ۉ‬0ɼඪ४ภࠩ σ ͷਖ਼‫ن‬෼෍ཚ਺Ͱ͋Δɽrh,j͸t
࣌ࠁ t ʹΤʔδΣϯτ j ͕‫ܭ‬ଌͨ͠ա‫ڈ‬ϦλʔϯͰ͋Γɼrh,j= log (P t /P t−τj ) Ͱ͋Δɽ͜͜Ͱ τj ͸γϛϡϨʔγϣϯ։࢝࣌ʹ 1 ͔Β τmax ·ͰͷҰ༷ཚ਺ͰΤʔδΣϯτ͝ͱʹܾΊΔɽ
ࣜ 5.1 ͷୈ 1 ߲໨͸ϑΝϯμϝϯλϧՁ֨ͱൺֱ͚ͯ҆͠Ε͹ϓϥεͷ༧૝ϦλʔϯΛߴ͚Ε͹ϚΠφεͷ༧૝ϦλʔϯΛࣔ͢ɼϑΝϯμϝϯλϧՁ֨Λࢀরͯ͠౤ࢿ൑அΛߦ͏ϑΝϯμϝϯλϧ౤ࢿՈͷ੒෼Ͱ͋Δɽୈ߲̎໨͸ա‫ڈ‬ͷϦλʔϯ͕ϓϥε (ϚΠφε)ͳΒϓϥε (ϚΠφε) ͷ༧૝ϦλʔϯΛࣔ͢ɼա‫ڈ‬ͷՁ֨ਪҠΛࢀরͯ͠౤ࢿ൑அΛߦ͏ςΫχΧϧ౤ࢿՈͷ੒෼Ͱ͋Γɼୈ߲̏໨͸ϊΠζΛද͍ͯ͠Δɽ

98

ୈ5ষ

ਓ޻ࢢ৔ɾϕʔεϞσϧͷߏங

t
t
Pe,j
= P t exp (re,j
)

(5.2)

t
t
༧૝Ϧλʔϯ re,jΑΓ༧૝Ձ֨ Pe,j
͸ɼ

t
t
t
Ͱ‫·ٻ‬Δɽ஫จՁ֨ Po,j
͸ Pe,j− Pd ͔Β Pe,j
+ Pd ·ͰͷҰ༷ཚ਺ͰܾΊΔɽ͜͜Ͱɼtt
Pd ͸ఆ਺Ͱ͋Δɽͦͯ͠ɼചΓങ͍ͷผ͸༧૝Ձ֨ Pe,jͱ஫จՁ֨ Po,jͷେখؔ܎Ͱܾ

ΊΔɽ͢ͳΘͪɼ

ͱ͢Δɽ

t
t
Pe,j
> Po,jͳΒ 1 ୯Ґͷങ͍tt
Pe,j < Po,j ͳΒ 1 ୯ҐͷചΓɼ

(5.3)

5.3 ϕʔεϞσϧͷύϥϝʔλͱଥ౰ੑ෼ੳ

5.3 ϕʔεϞσϧͷύϥϝʔλͱଥ౰ੑ෼ੳ
ϕʔεϞσϧͰ͸ɼୈ 5.4 અͰड़΂ΔΑ͏ʹ͞·͟·ͳύϥϝʔλΛ‫ݕ‬౼͠ɼୈ 5.3.1
અͰड़΂Δଥ౰ੑ෼ੳΛߦͬͨ݁Ռɼଥ౰ੑͷߴ͍ҎԼͷύϥϝʔλΛ࠾༻ͨ͠ɽୈ 5.4
અͰड़΂ΔΑ͏ʹɼྫ͑͹ɼςΫχΧϧ౤ࢿՈͷ੒෼͕े෼ଟ͘ͳ͍ͱϑΝοτɾςʔϧͱϘϥςΟϦςΟɾΫϥελϦϯά͕࠶‫͞ݱ‬Εͳ͍͜ͱ͕஌ΒΕ͍ͯΔͨΊɼ͜ΕΒ͕े෼࠶‫͞ݱ‬ΕΔΑ͏ςΫχΧϧ౤ࢿՈ੒෼ͷ࠷େ஋ w2,max ΛϑΝϯμϝϯλϧ౤ࢿՈͷͦΕ w1,max ΑΓେ͖͘͠ɼௐ੔ͨ͠ [Yamada 09]ɽͦͯ͠ɼΤʔδΣϯτ਺ n ͸ͦΕҎ্૿Ճͤͯ͞΋ελΠϥΠζυɾϑΝΫτ͕΄ͱΜͲมΘΒͳ͍ਫ४ͱͨ͠ɽຊ‫Ͱڀݚ‬ͷΤʔδΣϯτ̍ମ͸ɼ‫࣮ݱ‬ͷ౤ࢿՈ̍ਓʹରԠ͢Δ΋ͷͰ͸ͳ͘ɼࣅͨΑ͏ͳઓུूஂ

(wi,j ͕ಉ͡౤ࢿՈूஂ) ͷ̍ͭΛද‫͍ͯ͠ݱ‬Δɽຊ‫Ͱڀݚ‬͸ɼ౤ࢿઓུ͕ಉ͡Ͱ΋‫ݸ‬ʑͷ౤ࢿՈͷࣄ৘Ͱ౤ࢿߦಈ͕ҟͳͬͯ͠·͏Α͏ͳ‫ݱ‬৅ɼྫ͑͹ߦಈ‫Ͱֶࡁܦ‬஌ΒΕ͍ͯ
ΔΑ͏ͳଛӹͷঢ়‫ʹگ‬Ԡͯ͡ϦεΫճආ౓͕ҟͳΔ‫ݱ‬৅ͳͲ͸औΓѻΘͳ͍ͨΊɼ1 ઓུूஂΛ 1 ΤʔδΣϯτͰද‫͢ݱ‬Δͱ͍ͬͨந৅౓ͰϞσϧԽ͢Δɽͦͯ͠ɼΤʔδΣϯτ਺ n ΛͦΕҎ্૿Ճͤͯ͞΋ελΠϥΠζυɾϑΝΫτ͕΄ͱΜͲมΘΒͳ͍ͱ͍͏͜ͱ
͸ɼઓུͷଟ༷ੑ͕‫ͱ࣮ݱ‬ൺ΂ͯ΋े෼Ͱ͋Δ͜ͱΛ͍ࣔͯ͠Δͱߟ͑ΒΕΔɽ͜ Ε Β ͷ ෼ ੳ ͷ ݁ Ռ ֤ ύ ϥ ϝ ʔ λ ͷ ஋ ͸ ɼn = 1, 000, Pf = 10, 000, w1,max =1, w2,max = 10, w3,max = 1, τmax = 10, 000, σ = 0.03, Pd = 1, 000, tc = 10, 000, ΔP =1 ͱͨ͠ɽ͜Ε͸ɼද 5.3.1 ʹ΋·ͱΊͨɽ

5.3.1 ଥ౰ੑ෼ੳ
ද 5.2 ͸Ձ֨ͷಅམ཰Λ༻͍ͨ౷‫ྔܭ‬Λࣔͨ͠ɽγϛϡϨʔγϣϯ͸ t = 1, 000, 000 ·Ͱߦ͍ɼ౷‫ྔܭ‬͸ 100 ճͷࢼߦͷฏ‫ۉ‬஋Λ༻͍ͨɽୈ 3 ষͰ΋ड़΂ͨΑ͏ʹɼਓ޻ࢢ৔
Ϟσϧͷଥ౰ੑ͸࣮ূ෼ੳͰಘΒΕ͍ͯΔϑΝοτɾςʔϧ΍ϘϥςΟϦςΟɾΫϥελϦϯάͱ͍ͬͨ୅දతͳελΠϥΠζυɾϑΝΫτ͕࠶‫͖Ͱݱ‬Δ͔Ͳ͏͔ͰධՁ͞ΕΔ [Cont 01, LeBaron 06, Chen 12, ࿨ઘ 12b, Cristelli 14]ɽද 5.2 Ͱ͸ɼ100 ‫ͱؒ͝ظ‬ͷಅམ཰Λ༻͍ͯ‫ͨ͠ࢉܭ‬ઑ౓ͱಅམ཰ͷ 2 ৐ͷࣗ‫ݾ‬૬ؔ΋͍ࣔͯ͠Δɽͱ͍͏ͷ΋ɼຊϞσϧͷ࣌ࠁ͸஫จΛ͚ͨͩ͠ͰऔҾ͕੒ཱ͠ͳ͍৔߹΋࣌ࠁ͕ਐΉͨΊɼ࣌ࠁ 1 ͝ͱͷશͯͷՁ֨Λ༻͍ͨελΠϥΠζυɾϑΝΫτ͸ଟ͘ͷՁ֨มಈ͕ແ͍σʔλʹΑΓόΠΞε͕͔͔ͬͯ͠·͏ͨΊɼ100 εςοϓִؒͰͷଌఆͱͨ͠ɽಅམ཰ͷઑ౓͕ϓϥεͰɼୈ 2.4 અͰͷ΂ͨΑ͏ͳ࣮ূ෼ੳͰΑ͘‫؍‬ଌ͞ΕΔ 1 ∼ 100 ఔ౓ͷൣғʹऩ·͍ͬͯΔɽඪ४ภࠩ͸ฏ‫ۉ‬஋ʹ͘Β΂খ͘͞ɼ༗ҙʹ͜ͷൣғͰ͋Δ͜ͱ͕෼͔ΔɽΏ͑ʹɼϑΝοτɾςʔϧ͕࠶‫͞ݱ‬Ε͍ͯΔɽ·ͨɼಅམ཰ͷ 2 ৐ͷࣗ‫ݾ‬૬ؔ΋ϥά͕͋ͬͯ΋ϓ

99

100

ୈ5ষ

ਓ޻ࢢ৔ɾϕʔεϞσϧͷߏஙϥεͰୈ 2.4 અͰͷ΂ͨΑ͏ͳ࣮ূ෼ੳͰΑ͘‫؍‬ଌ͞ΕΔ 0.01 ∼ 0.2 ఔ౓ʹऩ·͍ͬͯΔɽඪ४ภࠩ͸ฏ‫ۉ‬஋ʹ͘Β΂খ͘͞ɼ༗ҙʹਖ਼Ͱ͋Δ͜ͱ͕෼͔ΔɽΏ͑ʹɼϘϥςΟϦςΟɾΫϥελϦϯά͕࠶‫͞ݱ‬Ε͍ͯΔͱߟ͑ΒΕΔɽ͜ΕΒʹΑΓ௕‫؍ʹظ‬ଌ͞ΕΔ
Ձ֨มಈͷ౷‫ܭ‬తͳੑ࣭͕࠶‫͞ݱ‬Ε͍ͯΔ͜ͱ͕ࣔ͞Εͨɽ

101

5.3 ϕʔεϞσϧͷύϥϝʔλͱଥ౰ੑ෼ੳ

ද 5.1

ϕʔεϞσϧͰ༻͍Δύϥϝʔλ

ύϥϝʔλ

n

஋

1, 000w1,max1

w2,max

10

umax

1

Pf

10, 000

τmax

10, 000

σ

0.03

tc

10, 000

Pd

1, 000

ΔP

1

102

ୈ5ষ

ද 5.2

ਓ޻ࢢ৔ɾϕʔεϞσϧͷߏஙܾఆ͞Εͨύϥϝʔλ (ද 5.3.1) ԼͰͷɼՁ֨ͷಅམ཰ͷઑ౓ͱಅམ཰ͷ 2 ৐ͷࣗ‫ݾ‬૬ؔɽ100 ճࢼߦͨ͠ฏ‫ۉ‬஋ (্) ͱඪ४ภࠩ (Լ)ɽᑤᗘᖹᆒ 㦐ⴠ⋡䛾
䠎஌䛾
⮬ᕫ┦㛵

㻟㻚㻜㻝
㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢

ᑤᗘ
ᶆ‽
㦐ⴠ⋡䛾
೫ᕪ
䠎஌䛾
⮬ᕫ┦㛵

㻜㻚㻝㻟
㻜㻚㻝㻜
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠

㻜㻚㻞㻞
㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻞
㻜㻚㻜㻝

5.4 ύϥϝʔλܾఆͷͨΊͷ෼ੳ

103

5.4 ύϥϝʔλܾఆͷͨΊͷ෼ੳ͜͜Ͱ͸ද 5.3.1 ʹࣔͨ͠ύϥϝʔλΛͲͷΑ͏ʹܾΊͨͷ͔Λड़΂Δɽ࣮ࡍʹ͸๲େͳࢼߦࡨ‫ޡ‬ͷ্ɼ͜ΕΒͷύϥϝʔλΛܾఆ͍ͯ͠Δ͕ɼͦͷϓϩηεશͯΛ‫͢ࡌه‬Δͷ͸৑௕Ͱ͋Γ෼͔Γʹ͍͘ɽͦ͜Ͱ͜͜Ͱ͸ͻͱͭͷύϥϝʔλΛมߋͨ͠৔߹ͷ౷‫ྔܭ‬ͷมԽΛࣔ͠ɼͲͷΑ͏ͳߟ͑ํͰύϥϝʔλΛܾఆͨ͠ͷ͔Λड़΂Δɽ
ද 5.3.1 ʹࣔͨ͠ύϥϝʔλͷ͏ͪɼ͍͔ͭ͘͸‫ݕ‬౼ͷඞཁ͕ͳ͍΋ͷ͕͋ΔɽϑΝϯμϝϯλϧՁ֨ Pf ͸Ձ֨ͷਫ४Λܾఆ͢Δ͚ͩͰ͋ΓɼΔP ʹൺ΂े෼େ͖͚Ε͹γϛϡϨʔγϣϯ݁ՌʹӨ‫ڹ‬Λ༩͑ͳ͍ɽΔP/Pf ͕े෼খ͘͞ͳ͍৔߹ʹ͍ͭͯ͸ɼୈ 9ষͰৄࡉʹड़΂Δɽ·ͨɼࣜ 5.1 ͕ࣔ͢Α͏ʹɼw1,j , w2,j , uj ͸ɼw1,j + w2,j + uj ͰׂΒΕ͍ͯΔͨΊɼͦͷൺ͚͕ͩॏཁͰ͋ΔɽͦͷͨΊɼw1,max , w2,max , umax ͷ͏ͪɼ2 ͭΛܾΊΕ͹Α͍ɽ͔͠΋ɼୈ 3 ߲໨Ͱ͋ΔϊΠζ߲͸ɼuj tj ͱੵʹͳ͍ͬͯΔͨΊɼumax͔ σ ͷͲͪΒ͔͚ͩΛܾΊΕ͹Α͍*2 ɽͦͷͨΊ͜͜Ͱ͸ɼn, w2,max , σ , τmax , tc , Pd
ͷ 6 ͭΛ‫ݕ‬౼͢Δɽ
ਤ 5.3 ͸ɼΤʔδΣϯτ਺ n Λ͞·͟·ʹม͑ͨ৔߹ͷɼՁ֨ͷಅམ཰ͷઑ౓ͱಅམ཰
ͷ 2 ৐ͷࣗ‫ݾ‬૬ؔͷɼ100 ճࢼߦͨ͠ฏ‫ۉ‬஋ (্) ͱඪ४ภࠩ (Լ) Λࣔͨ͠ɽͦͷଞͷύϥϝʔλ͸ද 5.3.1 ͱಉ͡Ͱ͋Δɽn ͕খ͍͞ͱɼઑ౓ͷඪ४ภ͕ࠩେ͖͘ɼγϛϡϨʔγϣϯ݁Ռ͕҆ఆ͠ͳ͍͜ͱ͕෼͔Δɽ·ͨɼ2 ৐ͷࣗ‫ݾ‬૬ؔ΋খ͘͞ͳͬͯ͠·͍ͬͯΔɽn = 500 Ҏ্ͷ৔߹ɼ݁Ռ͕҆ఆ͠ɼ͜ΕҎ্ n Λ૿΍ͯ͠΋݁Ռ͕มΘ͍ͬͯͳ͍ɽຊ‫Ͱڀݚ‬ͷΤʔδΣϯτ̍ମ͸ɼ‫࣮ݱ‬ͷ౤ࢿՈ̍ਓʹରԠ͢Δ΋ͷͰ͸ͳ͘ɼࣅͨΑ͏ͳઓུूஂ (wi,j ͕ಉ͡౤ࢿՈूஂ) ͷ̍ͭΛද‫͍ͯ͠ݱ‬Δɽຊ‫Ͱڀݚ‬͸ɼ౤ࢿઓུ͕
ಉ͡Ͱ΋‫ݸ‬ʑͷ౤ࢿՈͷࣄ৘Ͱ౤ࢿߦಈ͕ҟͳͬͯ͠·͏Α͏ͳ‫ݱ‬৅ɼྫ͑͹ߦಈ‫ֶࡁܦ‬Ͱ஌ΒΕ͍ͯΔΑ͏ͳଛӹͷঢ়‫ʹگ‬Ԡͯ͡ϦεΫճආ౓͕ҟͳΔ‫ݱ‬৅ͳͲ͸औΓѻΘͳ͍ͨΊɼ1 ઓུूஂΛ 1 ΤʔδΣϯτͰද‫͢ݱ‬Δͱ͍ͬͨந৅౓ͰϞσϧԽ͢Δɽͦͯ͠ɼ
ΤʔδΣϯτ਺ n ΛͦΕҎ্૿Ճͤͯ͞΋ελΠϥΠζυɾϑΝΫτ͕΄ͱΜͲมΘΒͳ͍ͱ͍͏͜ͱ͸ɼઓུͷଟ༷ੑ͕‫ͱ࣮ݱ‬ൺ΂ͯ΋े෼Ͱ͋Δ͜ͱΛ͍ࣔͯ͠Δͱߟ͑ΒΕ
Δɽ͜͜Ͱ͸ n = 1, 000 Λ࠾༻ͨ͠ɽ
ਤ 5.4 ͸ɼςΫχΧϧઓུͷॏΈͷ࠷େ஋ w2,max Λ͞·͟·ʹม͑ͨ৔߹ʹ͍ͭͯɼਤ 5.3 ͱಉ༷ͷ΋ͷΛࣔͨ͠ɽඪ४ภࠩΛ‫ݟ‬Δͱɼ͍ͣΕͷ৔߹΋݁Ռ͕҆ఆ͍ͯ͠Δ
͜ͱ͕෼͔Δɽ͔͠͠ɼw2,max = 0, 0.1 ͷ৔߹͸ɼઑ౓͕ϚΠφεͰ͋ΓɼϑΝοτɾςʔϧ͕࠶‫͞ݱ‬Ε͍ͯͳ͍ɽw2,max = 1 ͷ৔߹΋ઑ౓͕ϓϥεͰ͋Δ΋ͷͷ஋͸খ͘͞ɼw2,max = 100 ͷ৔߹͸ɼ2 ৐ͷࣗ‫ݾ‬૬͕ؔϓϥεͰ͋Δ΋ͷͷ஋͕খ͍͞ɽͦͷͨΊɼ
*2 ྫ͑͹ɼumax ͕ 2 ഒɼσ ͕൒෼Ͱ͋Ε͹ɼࣜ 5.1 ͸શ͘มԽ͕ͳ͍ɽ

104

ୈ5ষ

ਓ޻ࢢ৔ɾϕʔεϞσϧͷߏஙw2,max = 10 Λ࠾༻ͨ͠ɽͳ͓ɼw2,max = 1, 100 ͷ৔߹͸ઈରʹ࠾༻Ͱ͖ͳ͍৔߹ͱ·Ͱ͸͍͑ͳ͍͕ɼൺֱతྑ͍݁ՌΛࣔ͢ w2,max = 10 ΛબͿͱ͍͏ߟ͑ํΛͱͬͨɽҎ‫ޙ‬΋ɼ͜ͷΑ͏ͳߟ͑ํΛ༻͍Δ৔߹͕͋Δɽ
ਤ 5.5 ͸ɼཚ਺߲ͷඪ४ภࠩ σ Λ͞·͟·ʹม͑ͨ৔߹ʹ͍ͭͯɼਤ 5.3 ͱಉ༷ͷ΋ͷΛࣔͨ͠ɽσ ͕ 0.1 Ҏ্ͷ৔߹͸ɼઑ౓͕ϓϥεͰ͋Δ΋ͷͷখ͍͔͞ɼઑ౓ͷඪ४ภ͕ࠩେ͖͘ͳͬͯ͠·͍ͬͯΔɽσ = 0.01 ͷ৔߹͸ɼ2 ৐ͷࣗ‫ݾ‬૬͕ؔൺֱతখ͍͞ɽσ = 0.03, 0.06 ͷ͍ͣΕͷ৔߹΋ɼฏ‫ۉ‬ɼඪ४ภࠩͱ΋໰୊ͷͳ͍ɼൺֱతྑ͍஋Λͱͬ
͍ͯΔɽ͜͜Ͱ͸ઑ౓͕ΑΓߴ͍ σ = 0.03 Λ࠾༻ͨ͠ɽ
ਤ 5.6 ͸ɼςΫχΧϧઓུͷࢀর‫ؒظ‬ͷ࠷େ஋ τmax Λ͞·͟·ʹม͑ͨ৔߹ʹ͍ͭͯɼਤ 5.3 ͱಉ༷ͷ΋ͷΛࣔͨ͠ɽτmax ͕ 20, 000 Ҏ্ͷ৔߹ɼ݁Ռ͕ඇৗʹෆ҆ఆͱͳͬͯ
͍Δɽͦͷଞͷ৔߹͸ɼࣅͨΑ͏ͳ݁Ռͱͳͬͨɽτmax ͕େ͖͍΄Ͳଟ༷ͳ౤ࢿՈΛද‫͢ݱ‬Δ͜ͱͱͳΔͨΊɼ͜͜Ͱ͸͜ͷதͰ΋ͬͱ΋େ͖͍஋Ͱ͋Δ τmax = 10, 000 Λ࠾༻ͨ͠ɽਤ 5.7 ͸ɼΩϟϯηϧ࣌ؒ tc Λ͞·͟·ʹม͑ͨ৔߹ʹ͍ͭͯɼਤ 5.3 ͱಉ༷ͷ΋ͷΛࣔͨ͠ɽtc ͕ 5, 000 ҎԼͷ৔߹ɼ݁Ռ͕ඇৗʹෆ҆ఆͰ͋Δɽtc ͕େ͖͘ͳΔͱࢦ஋஫จ͕ଟ͘࢒Δ͜ͱʹͳΓ‫͔͔͕ؒ࣌ʹࢉܭ‬ΔΑ͏ʹͳΔɽͦͷͨΊɼ݁Ռ͕มΘΒͳ͍ൣғ಺Ͱ΋ͬͱ΋খ͍͞ tc = 10, 000 Λ࠾༻ͨ͠ɽ
ਤ 5.8 ͸ɼ஫จՁ֨ͷࢄΒ͹Γ Pd Λ͞·͟·ʹม͑ͨ৔߹ʹ͍ͭͯɼਤ 5.3 ͱಉ༷ͷ΋ͷΛࣔͨ͠ɽPd ͕ 20 ҎԼͷ৔߹͸݁Ռ͕ඇৗʹෆ҆ఆͰ͋Γɼ2, 000 Ҏ্ͷ৔߹͸ɼ

2 ৐ͷࣗ‫ݾ‬૬͕ؔখ͘͞ͳ͍ͬͯΔɽͳ͓ɼୈ 6 ষͰ͸్தͰϑΝϯμϝϯλϧՁ֨Λ
Pf = 10, 000 ͔Β Pf = 15, 000 ΁δϟϯϓ͢ΔέʔεΛɼୈ 7 ষͰ΋ɼPf = 7, 000 ΁δϟϯϓ͢ΔέʔεΛɼୈ 8 ষͰ΋ɼ‫ൃޡ‬஫ʹΑΔՁ֨ͷ‫ٸ‬མΛͱΓ͔͋ͭ͏ɽͦͷͨΊɼՁ֨ͷ‫ٸ‬ಅɾ‫ٸ‬མʹରͯ͠΋݁Ռ͕҆ఆ͢Δ͔Ͳ͏͔Λௐ΂Δඞཁ͕͋Δɽਤ 5.9
͸ɼ࣌ࠁ t = 400, 000 ʹϑΝϯμϝϯλϧՁ֨ Pf = 15, 000 ʹมߋͨ͠৔߹ͷɼ஫จՁ֨ͷࢄΒ͹Γ Pd Λ͞·͟·ʹม͑ͨ৔߹ʹ͍ͭͯɼਤ 5.3 ͱಉ༷ͷ΋ͷΛࣔͨ͠ɽPd
͕ 200 ҎԼͷ৔߹͸݁Ռ͕ඇৗʹෆ҆ఆͱͳͬͨɽ͜ΕΒΛߟྀͯ͠গ͠༨༟Λ࣋ͬͯɼ

Pd = 1, 000 Λ࠾༻ͨ͠ɽ

105

5.4 ύϥϝʔλܾఆͷͨΊͷ෼ੳ

ද 5.3

ΤʔδΣϯτ਺ n Λ͞·͟·ʹม͑ͨ৔߹ͷɼՁ֨ͷಅམ཰ͷઑ౓ͱಅམ཰ͷ2 ৐ͷࣗ‫ݾ‬૬ؔɽ100 ճࢼߦͨ͠ฏ‫ۉ‬஋ (্) ͱඪ४ภࠩ (Լ)ɽͦͷଞͷύϥϝʔλ͸
ද 5.3.1 ͱಉ͡ɽ㼚ᑤᗘᖹᆒ 㦐ⴠ⋡䛾
䠎஌䛾
⮬ᕫ┦㛵

㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢
㼚

ᑤᗘ
ᶆ‽
㦐ⴠ⋡䛾
೫ᕪ
䠎஌䛾
⮬ᕫ┦㛵

㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢

㻝
㻞㻝㻚㻟㻜

㻝㻜
㻝㻡㻚㻜㻢

㻞㻜
㻢㻚㻜㻡

㻝㻜
㻞㻚㻥㻣

㻝㻜㻜
㻞㻚㻢㻟

㻞㻜㻜
㻞㻚㻥㻝

㻡㻜㻜
㻟㻚㻜㻜

㻝㻘㻜㻜㻜
㻟㻚㻜㻝

㻞㻘㻜㻜㻜
㻟㻚㻝㻜

㻜㻚㻜㻠
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻜
㻜㻚㻜㻜

㻜㻚㻜㻥
㻜㻚㻜㻠
㻜㻚㻜㻟
㻜㻚㻜㻟
㻜㻚㻜㻞
㻜㻚㻜㻞

㻜㻚㻝㻠
㻜㻚㻜㻢
㻜㻚㻜㻟
㻜㻚㻜㻞
㻜㻚㻜㻟
㻜㻚㻜㻞

㻜㻚㻜㻤
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻟
㻜㻚㻜㻞

㻜㻚㻜㻥
㻜㻚㻜㻢
㻜㻚㻜㻠
㻜㻚㻜㻟
㻜㻚㻜㻞
㻜㻚㻜㻞

㻜㻚㻝㻝
㻜㻚㻜㻤
㻜㻚㻜㻡
㻜㻚㻜㻠
㻜㻚㻜㻞
㻜㻚㻜㻞

㻜㻚㻝㻟
㻜㻚㻜㻥
㻜㻚㻜㻣
㻜㻚㻜㻡
㻜㻚㻜㻠
㻜㻚㻜㻟

㻜㻚㻝㻟
㻜㻚㻝㻜
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠

㻜㻚㻝㻠
㻜㻚㻝㻝
㻜㻚㻜㻤
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻢

㻝
㻝㻞㻠㻚㻟㻝

㻝㻜
㻞㻞㻚㻥㻢

㻞㻜
㻞㻚㻢㻟

㻝㻜
㻜㻚㻤㻝

㻝㻜㻜
㻜㻚㻠㻡

㻞㻜㻜
㻜㻚㻟㻜

㻡㻜㻜
㻜㻚㻞㻞

㻝㻘㻜㻜㻜
㻜㻚㻞㻞

㻞㻘㻜㻜㻜
㻜㻚㻞㻜

㻜㻚㻜㻟
㻜㻚㻜㻝
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻤
㻜㻚㻜㻡
㻜㻚㻜㻡
㻜㻚㻜㻡
㻜㻚㻜㻟
㻜㻚㻜㻟

㻜㻚㻜㻡
㻜㻚㻜㻟
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻞
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻞

106

ୈ5ষ

ද 5.4

ਓ޻ࢢ৔ɾϕʔεϞσϧͷߏஙςΫχΧϧઓུͷॏΈͷ࠷େ஋ w2,max Λ͞·͟·ʹม͑ͨ৔߹ͷɼՁ֨ͷಅམ཰ͷઑ౓ͱಅམ཰ͷ 2 ৐ͷࣗ‫ݾ‬૬ؔɽ100 ճࢼߦͨ͠ฏ‫ۉ‬஋ (্) ͱඪ४ภࠩ (Լ)ɽͦͷଞͷύϥϝʔλ͸ද 5.3.1 ͱಉ͡ɽ

㼣㻞㼙㼍㼤
ᑤᗘ

ᖹᆒ 㦐ⴠ⋡䛾
䠎஌䛾
⮬ᕫ┦㛵

㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢
㼣㻞㼙㼍㼤

ᑤᗘ
ᶆ‽
㦐ⴠ⋡䛾
೫ᕪ
䠎஌䛾
⮬ᕫ┦㛵

㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢

㻜
㻙㻜㻚㻟㻟

㻜㻚㻝
㻙㻜㻚㻞㻤

㻝
㻜㻚㻝㻡

㻝㻜
㻟㻚㻜㻝

㻝㻜㻜
㻝㻣㻚㻝㻞

㻜㻚㻝㻞
㻜㻚㻜㻡
㻜㻚㻜㻟
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞

㻜㻚㻝㻞
㻜㻚㻜㻡
㻜㻚㻜㻟
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞

㻜㻚㻝㻟
㻜㻚㻜㻣
㻜㻚㻜㻡
㻜㻚㻜㻠
㻜㻚㻜㻟
㻜㻚㻜㻞

㻜㻚㻝㻟
㻜㻚㻝㻜
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠

㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠
㻜㻚㻜㻠
㻜㻚㻜㻟
㻜㻚㻜㻟

㻜
㻜㻚㻜㻟

㻜㻚㻝
㻜㻚㻜㻟

㻝
㻜㻚㻜㻠

㻝㻜
㻜㻚㻞㻞

㻝㻜㻜
㻞㻚㻝㻝

㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻞
㻜㻚㻜㻝

㻜㻚㻜㻟
㻜㻚㻜㻞
㻜㻚㻜㻟
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞

107

5.4 ύϥϝʔλܾఆͷͨΊͷ෼ੳ

ද 5.5ཚ਺߲ͷඪ४ภࠩ σ Λ͞·͟·ʹม͑ͨ৔߹ͷɼՁ֨ͷಅམ཰ͷઑ౓ͱಅམ

཰ͷ 2 ৐ͷࣗ‫ݾ‬૬ؔɽ100 ճࢼߦͨ͠ฏ‫ۉ‬஋ (্) ͱඪ४ภࠩ (Լ)ɽͦͷଞͷύϥϝʔλ͸ද 5.3.1 ͱಉ͡ɽᑤᗘᖹᆒ 㦐ⴠ⋡䛾
䠎஌䛾
⮬ᕫ┦㛵

ᑤᗘ
ᶆ‽
㦐ⴠ⋡䛾
೫ᕪ
䠎஌䛾
⮬ᕫ┦㛵

σε
㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢
σε
㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢

㻜㻚㻜㻝
㻝㻜㻚㻝㻢

㻜㻚㻜㻟
㻟㻚㻜㻝

㻜㻚㻜㻢
㻝㻚㻞㻥

㻜㻚㻝㻜
㻜㻚㻣㻜

㻜㻚㻟㻜
㻜㻚㻞㻠

㻜㻚㻢㻜
㻜㻚㻞㻥

㻝㻚㻜㻜
㻡㻚㻡㻢

㻜㻚㻜㻡
㻜㻚㻜㻡
㻜㻚㻜㻠
㻜㻚㻜㻠
㻜㻚㻜㻟
㻜㻚㻜㻟

㻜㻚㻝㻟
㻜㻚㻝㻜
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠

㻜㻚㻝㻤
㻜㻚㻝㻝
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠

㻜㻚㻝㻥
㻜㻚㻝㻝
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠

㻜㻚㻝㻥
㻜㻚㻜㻥
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠

㻜㻚㻞㻝
㻜㻚㻝㻜
㻜㻚㻜㻤
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻡

㻜㻚㻞㻥
㻜㻚㻝㻠
㻜㻚㻝㻟
㻜㻚㻝㻞
㻜㻚㻝㻝
㻜㻚㻝㻝

㻜㻚㻜㻝
㻜㻚㻢㻥

㻜㻚㻜㻟
㻜㻚㻞㻞

㻜㻚㻜㻢
㻜㻚㻝㻝

㻜㻚㻝㻜
㻜㻚㻜㻤

㻜㻚㻟㻜
㻜㻚㻜㻤

㻜㻚㻢㻜
㻜㻚㻜㻥

㻝㻚㻜㻜
㻝㻝㻚㻢㻝

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻞

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻞
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻠
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻣

108

ୈ5ষ

ද 5.6

ਓ޻ࢢ৔ɾϕʔεϞσϧͷߏஙςΫχΧϧઓུͷࢀর‫ؒظ‬ͷ࠷େ஋ τmax Λ͞·͟·ʹม͑ͨ৔߹ͷɼՁ֨ͷಅམ཰ͷઑ౓ͱಅམ཰ͷ 2 ৐ͷࣗ‫ݾ‬૬ؔɽ100 ճࢼߦͨ͠ฏ‫ۉ‬஋ (্) ͱඪ४ภࠩ (Լ)ɽͦͷଞͷύϥϝʔλ͸ද 5.3.1 ͱಉ͡ɽᑤᗘᖹᆒ 㦐ⴠ⋡䛾
䠎஌䛾
⮬ᕫ┦㛵

ᑤᗘ
ᶆ‽
㦐ⴠ⋡䛾
೫ᕪ
䠎஌䛾
⮬ᕫ┦㛵

τ 㼙㼍㼤
㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢
τ 㼙㼍㼤
㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢

㻝㻘㻜㻜㻜
㻞㻚㻤㻞

㻞㻘㻜㻜㻜
㻞㻚㻤㻥

㻡㻘㻜㻜㻜
㻞㻚㻥㻠

㻝㻜㻘㻜㻜㻜
㻟㻚㻜㻝㻞㻜㻘㻜㻜㻜
㻢㻞㻞㻚㻟㻤

㻡㻜㻘㻜㻜㻜
㻝㻘㻡㻥㻠㻚㻣㻣

㻜㻚㻝㻝
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠
㻜㻚㻜㻟

㻜㻚㻝㻞
㻜㻚㻜㻥
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠
㻜㻚㻜㻟

㻜㻚㻝㻞
㻜㻚㻜㻥
㻜㻚㻜㻣
㻜㻚㻜㻡
㻜㻚㻜㻠
㻜㻚㻜㻠

㻜㻚㻝㻟
㻜㻚㻝㻜
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠

㻙㻜㻚㻜㻜
㻜㻚㻜㻟
㻜㻚㻜㻟
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞

㻙㻜㻚㻜㻜
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻜
㻜㻚㻜㻝
㻜㻚㻜㻝

㻝㻘㻜㻜㻜
㻜㻚㻝㻤

㻞㻘㻜㻜㻜
㻜㻚㻝㻥

㻡㻘㻜㻜㻜
㻜㻚㻝㻥

㻝㻜㻘㻜㻜㻜
㻜㻚㻞㻞㻞㻜㻘㻜㻜㻜
㻠㻣㻜㻚㻟㻝

㻡㻜㻘㻜㻜㻜
㻝㻘㻞㻜㻥㻚㻣㻥

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻞
㻜㻚㻜㻝

㻜㻚㻜㻜
㻜㻚㻜㻡
㻜㻚㻜㻡
㻜㻚㻜㻟
㻜㻚㻜㻞
㻜㻚㻜㻠

㻜㻚㻜㻜
㻜㻚㻜㻠
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻠

109

5.4 ύϥϝʔλܾఆͷͨΊͷ෼ੳ

ද 5.7Ωϟϯηϧ࣌ؒ tc Λ͞·͟·ʹม͑ͨ৔߹ͷɼՁ֨ͷಅམ཰ͷઑ౓ͱಅམ཰

ͷ 2 ৐ͷࣗ‫ݾ‬૬ؔɽ100 ճࢼߦͨ͠ฏ‫ۉ‬஋ (্) ͱඪ४ภࠩ (Լ)ɽͦͷଞͷύϥϝʔλ͸ද 5.3.1 ͱಉ͡ɽ㼠㼏ᑤᗘᖹᆒ 㦐ⴠ⋡䛾
䠎஌䛾
⮬ᕫ┦㛵

㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢
㼠㼏

ᑤᗘ
ᶆ‽
㦐ⴠ⋡䛾
೫ᕪ
䠎஌䛾
⮬ᕫ┦㛵

㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢

㻞㻘㻜㻜㻜
㻝㻘㻣㻟㻝㻚㻝㻥

㻡㻘㻜㻜㻜㻝㻘㻞㻞㻠㻚㻝㻤

㻝㻜㻘㻜㻜㻜
㻟㻚㻜㻝㻞㻜㻘㻜㻜㻜
㻞㻚㻣㻡㻡㻜㻘㻜㻜㻜
㻞㻚㻤㻤

㻙㻜㻚㻜㻜
㻜㻚㻜㻜
㻜㻚㻜㻝
㻜㻚㻜㻜
㻜㻚㻜㻜
㻜㻚㻜㻜

㻙㻜㻚㻜㻜
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻝㻟
㻜㻚㻝㻜
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠

㻜㻚㻝㻟
㻜㻚㻝㻜
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠

㻜㻚㻝㻟
㻜㻚㻝㻝
㻜㻚㻜㻥
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻡

㻞㻘㻜㻜㻜
㻝㻘㻟㻜㻟㻚㻤㻥

㻡㻘㻜㻜㻜㻝㻘㻝㻞㻝㻚㻞㻣

㻝㻜㻘㻜㻜㻜
㻜㻚㻞㻞㻞㻜㻘㻜㻜㻜
㻜㻚㻞㻝㻡㻜㻘㻜㻜㻜
㻜㻚㻝㻤

㻜㻚㻜㻜
㻜㻚㻜㻝
㻜㻚㻜㻟
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝

㻜㻚㻜㻜
㻜㻚㻜㻡
㻜㻚㻜㻠
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻠

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻞
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

110

ୈ5ষ

ද 5.8

ਓ޻ࢢ৔ɾϕʔεϞσϧͷߏங஫จՁ֨ͷࢄΒ͹Γ Pd Λ͞·͟·ʹม͑ͨ৔߹ͷɼՁ֨ͷಅམ཰ͷઑ౓ͱಅམ཰ͷ 2 ৐ͷࣗ‫ݾ‬૬ؔɽ100 ճࢼߦͨ͠ฏ‫ۉ‬஋ (্) ͱඪ४ภࠩ (Լ)ɽͦͷଞͷύϥϝʔλ͸ද 5.3.1 ͱಉ͡ɽ㼜㼐ᑤᗘᖹᆒ 㦐ⴠ⋡䛾
䠎஌䛾
⮬ᕫ┦㛵

㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢
㼜㼐

ᑤᗘ
ᶆ‽
㦐ⴠ⋡䛾
೫ᕪ
䠎஌䛾
⮬ᕫ┦㛵

㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢

㻝㻜
㻞㻘㻜㻣㻠㻚㻥㻣

㻞㻜㻝㻘㻟㻤㻡㻚㻠㻥

㻡㻜
㻜㻚㻞㻝

㻝㻜㻜
㻜㻚㻝㻥

㻞㻜㻜
㻜㻚㻠㻝

㻡㻜㻜
㻝㻚㻞㻠

㻝㻘㻜㻜㻜
㻟㻚㻜㻝

㻞㻘㻜㻜㻜
㻢㻚㻤㻞

㻡㻘㻜㻜㻜
㻝㻤㻚㻣㻣

㻜㻚㻜㻟
㻜㻚㻜㻥
㻜㻚㻜㻥
㻜㻚㻜㻥
㻜㻚㻜㻥
㻜㻚㻜㻤

㻜㻚㻜㻠
㻜㻚㻜㻥
㻜㻚㻝㻜
㻜㻚㻝㻜
㻜㻚㻜㻤
㻜㻚㻜㻥

㻜㻚㻞㻜
㻜㻚㻜㻥
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻢
㻜㻚㻜㻡

㻜㻚㻝㻤
㻜㻚㻜㻥
㻜㻚㻜㻣
㻜㻚㻜㻡
㻜㻚㻜㻡
㻜㻚㻜㻠

㻜㻚㻝㻤
㻜㻚㻝㻜
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠

㻜㻚㻝㻣
㻜㻚㻝㻝
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠

㻜㻚㻝㻟
㻜㻚㻝㻜
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠

㻜㻚㻜㻤
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠
㻜㻚㻜㻠

㻜㻚㻜㻠
㻜㻚㻜㻟
㻜㻚㻜㻟
㻜㻚㻜㻟
㻜㻚㻜㻞
㻜㻚㻜㻞

㻝㻜
㻞㻘㻤㻢㻜㻚㻟㻡

㻞㻜㻞㻘㻠㻡㻜㻚㻢㻜

㻡㻜
㻜㻚㻜㻣

㻝㻜㻜
㻜㻚㻜㻤

㻞㻜㻜
㻜㻚㻜㻣

㻡㻜㻜
㻜㻚㻝㻝

㻝㻘㻜㻜㻜
㻜㻚㻞㻞

㻞㻘㻜㻜㻜
㻜㻚㻠㻡

㻡㻘㻜㻜㻜
㻝㻚㻟㻣

㻜㻚㻜㻟
㻜㻚㻜㻤
㻜㻚㻜㻤
㻜㻚㻜㻥
㻜㻚㻜㻥
㻜㻚㻜㻢

㻜㻚㻜㻟
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻣

㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻞
㻜㻚㻜㻝

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻝
㻜㻚㻜㻞

㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞

111

5.4 ύϥϝʔλܾఆͷͨΊͷ෼ੳ

ද 5.9

࣌ࠁ t = 400, 000 ʹϑΝϯμϝϯλϧՁ֨ Pf = 15, 000 ʹมߋͨ͠৔߹ͷɼ஫จՁ֨ͷࢄΒ͹Γ Pd Λ͞·͟·ʹม͑ͨ৔߹ͷɼՁ֨ͷಅམ཰ͷઑ౓ͱಅམ཰ͷ 2৐ͷࣗ‫ݾ‬૬ؔɽ100 ճࢼߦͨ͠ฏ‫ۉ‬஋ (্) ͱඪ४ภࠩ (Լ)ɽͦͷଞͷύϥϝʔλ͸ද

5.3.1 ͱಉ͡ɽ㼜㼐ᑤᗘᖹᆒ 㦐ⴠ⋡䛾
䠎஌䛾
⮬ᕫ┦㛵

㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢
㼜㼐

ᑤᗘ
ᶆ‽
㦐ⴠ⋡䛾
೫ᕪ
䠎஌䛾
⮬ᕫ┦㛵

㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢

㻝㻜
㻝㻘㻡㻝㻟㻚㻝㻠

㻞㻜㻝㻘㻟㻡㻤㻚㻜㻣

㻡㻜㻞㻘㻠㻣㻟㻚㻝㻥

㻝㻜㻜㻞㻘㻡㻣㻤㻚㻠㻞

㻞㻜㻜㻡㻡㻝㻚㻢㻜

㻡㻜㻜
㻝㻚㻡㻣

㻝㻘㻜㻜㻜
㻞㻚㻟㻟

㻞㻘㻜㻜㻜
㻡㻚㻥㻟

㻡㻘㻜㻜㻜
㻝㻥㻚㻞㻡

㻜㻚㻜㻠
㻜㻚㻜㻥
㻜㻚㻝㻜
㻜㻚㻜㻥
㻜㻚㻜㻤
㻜㻚㻝㻜

㻜㻚㻜㻟
㻜㻚㻜㻥
㻜㻚㻜㻤
㻜㻚㻜㻤
㻜㻚㻜㻤
㻜㻚㻜㻤

㻜㻚㻜㻟
㻜㻚㻜㻤
㻜㻚㻜㻣
㻜㻚㻜㻤
㻜㻚㻜㻣
㻜㻚㻜㻡

㻜㻚㻜㻞
㻜㻚㻜㻢
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻢
㻜㻚㻜㻢

㻜㻚㻝㻟
㻜㻚㻝㻡
㻜㻚㻝㻟
㻜㻚㻝㻞
㻜㻚㻝㻟
㻜㻚㻝㻟

㻜㻚㻞㻣
㻜㻚㻝㻤
㻜㻚㻝㻡
㻜㻚㻝㻠
㻜㻚㻝㻞
㻜㻚㻝㻞

㻜㻚㻞㻝
㻜㻚㻝㻢
㻜㻚㻝㻟
㻜㻚㻝㻝
㻜㻚㻝㻜
㻜㻚㻜㻥

㻜㻚㻞㻞
㻜㻚㻝㻤
㻜㻚㻝㻣
㻜㻚㻝㻢
㻜㻚㻝㻠
㻜㻚㻝㻠

㻜㻚㻞㻡
㻜㻚㻝㻥
㻜㻚㻝㻣
㻜㻚㻝㻣
㻜㻚㻝㻡
㻜㻚㻝㻡

㻝㻜
㻞㻘㻠㻝㻜㻚㻡㻝

㻞㻜㻞㻘㻝㻜㻜㻚㻤㻠

㻡㻜㻟㻘㻜㻡㻜㻚㻜㻠

㻝㻜㻜㻞㻘㻠㻞㻞㻚㻠㻡

㻞㻜㻜㻝㻘㻟㻣㻝㻚㻝㻢

㻡㻜㻜
㻜㻚㻢㻟

㻝㻘㻜㻜㻜
㻜㻚㻟㻣

㻞㻘㻜㻜㻜
㻝㻚㻢㻥

㻡㻘㻜㻜㻜
㻣㻚㻝㻡

㻜㻚㻜㻟
㻜㻚㻜㻣
㻜㻚㻜㻤
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻥

㻜㻚㻜㻞
㻜㻚㻜㻤
㻜㻚㻜㻢
㻜㻚㻜㻤
㻜㻚㻜㻤
㻜㻚㻜㻣

㻜㻚㻜㻟
㻜㻚㻜㻤
㻜㻚㻜㻣
㻜㻚㻜㻥
㻜㻚㻜㻥
㻜㻚㻜㻡

㻜㻚㻜㻟
㻜㻚㻜㻤
㻜㻚㻜㻤
㻜㻚㻜㻤
㻜㻚㻜㻤
㻜㻚㻝㻜

㻜㻚㻝㻠
㻜㻚㻝㻜
㻜㻚㻝㻜
㻜㻚㻜㻥
㻜㻚㻝㻜
㻜㻚㻝㻜

㻜㻚㻜㻢
㻜㻚㻜㻠
㻜㻚㻜㻠
㻜㻚㻜㻠
㻜㻚㻜㻟
㻜㻚㻜㻠

㻜㻚㻜㻟
㻜㻚㻜㻟
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞
㻜㻚㻜㻞

㻜㻚㻜㻡
㻜㻚㻜㻡
㻜㻚㻜㻡
㻜㻚㻜㻡
㻜㻚㻜㻟
㻜㻚㻜㻡

㻜㻚㻜㻥
㻜㻚㻜㻢
㻜㻚㻜㻢
㻜㻚㻜㻡
㻜㻚㻜㻠
㻜㻚㻜㻡

112

ୈ5ষ

ਓ޻ࢢ৔ɾϕʔεϞσϧͷߏங

5.5 ·ͱΊ͜͜Ͱ͸ [Chiarella 02, Chiarella 09] ͷਓ޻ࢢ৔ϞσϧΛϕʔεʹɼୈ 6 ষҎ߱Ͱ༻͍ΔϕʔεϞσϧΛߏஙͨ͠ɽୈ 3 ষͰड़΂ͨΑ͏ʹɼՁܾ֨ఆϝΧχζϜ͸‫࣮ݱ‬ͷ‫੍ن‬ɾ੍౓Λ࣮૷͢ΔͨΊɼ‫࣮ݱ‬ͷऔҾࢢ৔Λඞཁͳൣғ಺Ͱ஧࣮ʹ࠶‫͠ݱ‬ɼΤʔδΣϯτ͸෼ੳ໨తΛՌͨͤΔൣғ಺ͰɼͳΔ΂͘γϯϓϧͳϞσϧΛ໨ࢦͨ͠ɽܾఆ͞ΕͨύϥϝʔλΛ༻͍ͯɼ࣮ূ෼ੳͰಘΒΕ͍ͯΔϑΝοτɾςʔϧ΍ϘϥςΟϦςΟɾΫϥελϦϯ
άͱ͍ͬͨ୅දతͳελΠϥΠζυɾϑΝΫτ͕࠶‫͖Ͱݱ‬Δ͔Ͳ͏͔ɼଥ౰ੑΛ‫ݕ‬౼ͨ݁͠Ռɼଥ౰ͳϞσϧͰ͋Δ͜ͱ͕ࣔ͞Εͨɽͦͯ͠ɼύϥϝʔλܾఆͷͨΊͷ෼ੳ΋ࣔͨ͠ɽຊষͰ࡞੒͞ΕͨϕʔεϞσϧΛ‫ʹݩ‬ୈ 6 ষҎ߱ͷγϛϡϨʔγϣϯ‫ڀݚ‬ΛਐΊΔɽ֤ষ͝ͱͷ໨తʹԠͯ͡ɼϕʔεϞσϧΛमਖ਼͢Δɽୈ 7 ষɼୈ 8 ষͰ͸ɼۚ༥ࢢ৔͕
ࠞཚͨ͠৔߹Λѻ͏ͨΊɼୈ 6 ষͰࣔ͢Α͏ʹɼֶशաఔ͕ඞཁͰ͋ΔͨΊ͜ΕΛՃ͍͑ͯΔɽ·ͨɼୈ 9 ষɼୈ 10 ষͰ͸ɼऔҾࢢ৔ͷબ୒ʹؔ͢Δ෼ੳΛߦ͏ɽऔҾࢢ৔ͷબ୒͸ɼ਺ϛϦඵɼ਺ϚΠΫϩඵͱ͍ͬͨɼߴස౓ʹൃ஫Λߦ͏ΞϧΰϦζϜɾτϨʔυͳͲͰࣗಈతʹߦΘΕΔ͜ͱ͕ଟ͍ɽͦͷͨΊɼऔҾࢢ৔ͷબ୒ʹ͍ͭͯ෼ੳΛߦ͏ͨΊͷਓ޻ࢢ৔Ϟσϧ͸ɼߴස౓ͳ࣌ؒεέʔϧͰͷੑ࣭ʢϚʔέοτɾϚΠΫϩɾετϥΫνϟʔ [ଠా 11]ʣΛ࠶‫͢ݱ‬Δඞཁ͕͋Δͱߟ͑ΒΕΔɽͦͷͨΊɼࡉ͔͍मਖ਼ΛՃ͑ͯϚʔέοτɾϚΠΫϩɾετϥΫνϟʔΛ࠶‫͢ݱ‬Δɽ

113

ୈ6ষ

ֶशաఔͷඞཁੑ෼ੳ
6.1 ͸͡Ίʹ
ୈ 3 ষͰड़΂ͨΑ͏ʹɼਓ޻ࢢ৔Ϟσϧͷଥ౰ੑ͸࣮ূ෼ੳͰಘΒΕ͍ͯΔϑΝοτɾςʔϧ΍ɼϘϥςΟϦςΟɾΫϥελϦϯάͱ͍ͬͨ୅දతͳελΠϥΠζυɾϑΝΫτ͕࠶‫͖Ͱݱ‬Δ͔Ͳ͏͔ͰධՁ͞ΕΔɽ[Chiarella 02, Chiarella 09] ͳͲͷϞσϧ͸୅දతͳελΠϥΠζυɾϑΝΫτΛຬ͍ͨͯ͠Δ͕ɼ֤ΤʔδΣϯτͷ౤ࢿઓུ΋ύϥϝʔλ΋ॳΊʹ༩͑ͨ΋ͷ͔Βશ͘มߋ͕ͳ͍ɼͭ·ΓՁ֨৘ใ΍ࣗ਎ͷଛӹ৘ใΛϑΟʔυόοΫͯ͠ԿΒ͔ͷઓུ੾Γସ͑΍ύϥϝʔλΛมߋ͢Δͱ͍͏ “ֶश”͕ͳ͍ɽ͜Ε·Ͱਓ޻ࢢ৔ධՁʹ༻͍ΒΕ͖ͯͨ୅දతͳελΠϥΠζυɾϑΝΫτͰͷධՁͩͱɼ͜ͷΑ͏ͳֶशͷͳ͍ϞσϧͰ΋ଥ౰Ͱ͋ΔͱධՁ͞Ε͍ͯΔɽ
ҰํͰɼՁ֨৘ใ΍ࣗ਎ͷଛӹ৘ใΛϑΟʔυόοΫͯ͠ԿΒ͔ͷઓུ੾Γସ͑΍ύϥϝʔλΛมߋ͢ΔΑ͏ͳֶशΛ૊ΈࠐΜͩϞσϧ΋ଟ਺ଘࡏ͢Δ ( [Izumi 96, Arthur

97, Lux 99, ࢁా 11, ീ໦ 11a, Ohi 11, େҪ 13, ౬ઙ 13, Nakada 13] ͳͲ)ɽͳͥͳΒɼଟ͘ͷ࣮ূ‫͕ڀݚ‬ɼόϒϧ΍ΦʔόʔγϡʔτʢΞϯμʔγϡʔτʣ͕‫͜ى‬ΔϝΧχζϜͰ͸ɼՁ֨ͷ্ঢͱ͍͏৘ใͷϑΟʔυόοΫΛ౤ࢿՈ͕ड͚ɼͦΕʹΑΓ౤ࢿߦಈΛมԽ
ͤ͞Δͱ͍͏ֶशϓϩηε͕ॏཁͰ͋Δͱࢦఠ͍ͯ͠Δ͔ΒͰ͋Δ [Bradford 90, Shiller

00, Shiller 02, Soros 03, Allen 06, ޿ా 09]ɽΞϯέʔτΛ༻͍ͨ‫Ͱڀݚ‬΋ɼϓϩͷ౤ࢿՈ͕όϒϧ‫ʹظ‬Ձ֨ͷ্ঢΛड͚౤ࢿઓུΛϑΝϯμϝϯλϧॏࢹͷઓུ͔ΒςΫχΧϧॏࢹͷઓུʹมߋ͢Δͱ͍͏ɼֶशϓϩηεͷଘࡏΛ͍ࣔͯ͠Δ [Frankel 90]ɽ·ͨɼՁ֨৘ใ΍౤ࢿՈ৘ใΛ༻͍࣮ͨূ෼ੳͰ΋͜ͷΑ͏ͳઓུมߋ͕࣮ࡍʹߦΘΕ͍ͯΔ͜ͱ͕ࣔ͞Ε͍ͯΔ [ࢁຊ 11, Yamamoto 13]ɽຊষͰ͸ɼୈ 5 ষͰड़΂ͨϕʔεϞσϧʹɼֶशϓϩηεΛ௥Ճͨ͠৔߹ (ֶश͋Γ)ͱɼ௥Ճ͠ͳ͔ͬͨ৔߹ (ֶशͳ͠) Λൺֱ͠ɼΦʔόʔγϡʔτͷҾ͖ۚͱͳΔϑΝϯμ
ϝϯλϧՁ֨ͷ্ঢ͕͋ͬͨ৔߹ɼֶश͋Γͷ৔߹͸Φʔόʔγϡʔτ͕ൃੜ͢Δ͕ɼֶ

114

ୈ6ষ

ֶशաఔͷඞཁੑ෼ੳ

श͕ͳ͍৔߹͸େ͖ͳΦʔόʔγϡʔτ͕ൃੜ͠ͳ͍͜ͱΛ֬ೝ͢Δɽ·ͨɼϋβʔυɾϨʔτ [McQueen 94, Chan 98] Λ༻͍ΔͱɼैདྷͷελΠϥΠζυɾϑΝΫτͷ෼ੳͰ͸Ͱ͖ͳ͔ͬͨɼΦʔόʔγϡʔτΛ࠶‫͖Ͱݱ‬ΔϞσϧͰ͋Δ͔Ͳ͏͔Λ෼ੳͰ͖Δ͜ͱ
Λࣔ͢ɽ

115

6.2 ΤʔδΣϯτͷֶशϞσϧ

6.2 ΤʔδΣϯτͷֶशϞσϧຊষͰ͸ɼୈ 5 ষͰड़΂ͨϕʔεϞσϧʹɼ“ֶश” ΛՃ͑ͨϞσϧΛௐ΂Δɽ͜Ε·Ͱͷਓ޻ࢢ৔‫͍͓ͯʹڀݚ‬΋ɼՁ֨৘ใ΍ࣗ਎ͷଛӹ৘ใΛϑΟʔυόοΫͯ͠ԿΒ͔ͷઓུ੾Γସ͑΍ύϥϝʔλΛมߋ͢Δͱ͍ͬͨɼ༷ʑͳछྨͷֶशϞσϧ͕૊Έࠐ·Ε͖ͯͨ ( [Izumi 96,Arthur 97,Lux 99, ࢁా 11, ീ໦ 11a,Ohi 11, େҪ 13, ౬ઙ 13,Nakada 13]ͳͲ)ɽ͜ΕΒͷֶशϞσϧͷதʹ͸Ҩ఻తΞϧΰϦζϜ*1 Λ࣮૷ͨ͠ෳࡶͳ΋ͷ͔Βɼൺֱతγϯϓϧͳ΋ͷ·Ͱ༷ʑͰ͋ͬͨɽຊ‫Ͱڀݚ‬͸ɼ[Frankel 90, ࢁຊ 11, Yamamoto

13] ͱ͍࣮ͬͨূ‫͕ڀݚ‬ଘࡏΛ͍ࣔͯ͠Δɼ౤ࢿઓུͷ੾Γସ͑ʹয఺Λ͋ͯɼͦͷϝΧχζϜͷ෼ੳΛߦ͍΍͍͢Α͏ʹൺֱతγϯϓϧͰύϥϝʔλͷগͳ͍ϞσϧͷߏஙΛߦͬͨɽֶश͸ΤʔδΣϯτ͝ͱʹɼ֤ΤʔδΣϯτ͕஫จΛग़͢௚લʹߦΘΕΔɽࣜ 5.1 ʹ͓t= log(Pf /P t )ɼς͍ͯɼϑΝϯμϝϯλϧͳ౤ࢿՈ੒෼͚ͩͷ৔߹ͷ༧૝Ϧλʔϯ re,1,jttt= rh,jͱ͢Δɽ͜ΕΒ re,i,jֶ͕ΫχΧϧͳ౤ࢿՈ੒෼͚ͩͷ৔߹ͷ༧૝Ϧλʔϯ re,2,jश‫ؒظ‬ͷϦλʔϯ rlt = log(P t /P t−tl ) ͱൺ΂ɼಉූ߸ͳΒɼwi,j ← wi,j + kl rlt ρtj (wi,max − wi,j )ҟූ߸ͳΒɼwi,j ← wi,j − kl rlt ρtj wi,j ɼ(6.1)

ͷΑ͏ʹ wi,j Λॻ͖‫͑׵‬Δɽ͜͜Ͱ kl ͸ఆ਺ɼρtj ͸࣌ࠁ͝ͱɼΤʔδΣϯτ͝ͱʹ༩͑ΒΕΔ 0 ͔Β 1 ·ͰͷҰ༷ཚ਺Ͱ͋ΔɽՁ֨มԽͷํ޲Λ౰͍ͯͯΔઓུͷ΢ΤΠτΛ
Ҿ্͖͛ɼ֎Ε͍ͯΔઓུͷ΢ΤΠτΛҾ͖Լ͛Δɽ·ͨɼrlt Λ͔͚Δ͜ͱʹΑΓɼখ͍͞Ձ֨มಈΛ౰ͯͨΓ֎ͨ͠Γͯ͠΋େ͖͘΢ΤΠτ͕૿‫͍ͳ͠ݮ‬ɽ͜ͷΑ͏ͳա‫ڈ‬ͷ࣮੷͔Βֶश͢Δϓϩηεͱ͸ผʹɼখ͍֬͞཰ m Ͱ wi,j Λ࠶ઃఆ͢Δɽͭ·Γɼ0 ͔Β wi,max ͷҰ༷ཚ਺ͰܾΊͳ͓͢ɽ͜Ε͸ϥϯμϜֶशΛҙຯ͓ͯ͠Γɼ࣮੷͔Βͷֶशͱ૊Έ߹ΘͤΔ͜ͱʹΑΓɼΤʔδΣϯτ͕ࢼߦࡨ‫ޡ‬తʹΑΓྑ͍ઓུͷ΢ΤΠτΛ‫ٻ‬ΊΔ࢟Λ٬‫؍‬తʹϞσϧԽ͍ͯ͠Δɽ*1 ༏Εͨೖ໳ॻͱͯ͠ [๺໺ 93] ͕͋Δɽ

116

ୈ6ষ

ֶशաఔͷඞཁੑ෼ੳ

6.3 ֶशϓϩηεͱΦʔόʔγϡʔτ
ୈ 5 ষͰड़΂ͨϕʔεϞσϧʹɼֶशϓϩηεΛ௥Ճͨ͠৔߹ (ֶश͋Γ) ͱɼ௥Ճ͠ͳ͔ͬͨ৔߹ (ֶशͳ͠) ͷ݁Ռͷൺֱ෼ੳΛߦͬͨɽֶशʹؔ͢Δύϥϝʔλ͸kl = 4, m = 0.01, tl = 10, 000 ͱͨ͠ɽkl ͸ֶश଎౓Λࣔ͢ॏཁͳύϥϝʔλͰ͋Δ͕ɼkl ͷ‫ײ‬Ԡ౓ʹؔͯ͠͸ୈ 6.3.3 અͰड़΂Δɽ·ͨɼֶश͋Γͱֶशͳ͠ͷͦΕͧΕʹ͍ͭͯɼPf = 10, 000 ͰҰఆͰ͋Δ৔߹ (έʔε 1) ͱɼॳΊ Pf = 10, 000 Ͱ࣌ࠁ t = 100, 000
Ͱ Pf = 15, 000 ʹมԽ͢Δ৔߹ (έʔε̎) Λߦͬͨɽόϒϧ΍Φʔόʔγϡʔτ͸·ͣɼԿ͔͠ΒͷϑΝϯμϝϯλϧՁ֨ͷ্ঢ͕Ҿ͖ۚͱͳΓɼͦͷϑΝϯμϝϯλϧՁ֨ͷ্ঢҎ্ʹՁ্͕֨ঢͯ͠͠·͏͜ͱʹΑΓόϒϧ΍
Φʔόʔγϡʔτ͕‫ܗ‬੒͞ΕΔ͜ͱ͕޿͘஌ΒΕ͍ͯΔ [Shiller 00, Shiller 02, ޿ా 09]ɽͦͷͨΊɼέʔε̎ʹΑͬͯɼΦʔόʔγϡʔτͷҾ͖ۚΛ༩͑ͨ৔߹ʹΦʔόʔγϡʔτ͕ൃੜ͢Δ͔Ͳ͏͔Λௐ΂ͨɽ

6.3.1 ελΠϥΠζυɾϑΝΫτʹΑΔධՁ
ਤ 6.1 ͸έʔε 1 ʹ͓͍ͯͷֶश͋Γͷ৔߹ͱֶशͳ͠ͷ৔߹ͷՁ֨ਪҠͰ͋Δɽֶशͷ༗ແʹ͔͔ΘΒͣͱͯ΋ࣅͨΑ͏ͳਪҠΛ͍ࣔͯ͠Δɽਤ 6.2 ͸ɼέʔε 2 ʹ͓͍ͯͷՁ֨ͷਪҠͰ͋Δɽֶशͳ͠ͷ৔߹ɼϑΝϯμϝϯλϧՁ֨ Pf ͕มԽͨ࣌͠ࠁ

t = 100, 000 ͔ΒՁ্͕֨ঢ͠ Pf = 15, 000 Λগ͚͔ͩ͠͠௒͑ͣɼ͙͢ʹՁ͕֨ϑΝϯμϝϯλϧՁ֨ʹऩଋ͢ΔɽҰํɼֶश͋Γͷ৔߹ɼϑΝϯμϝϯλϧՁ֨ Pf = 15, 000
Λେ͖͘௒͍͖͑ͯ 18, 000 ·Ͱ౸ୡ͢ΔɽϑΝϯμϝϯλϧՁ֨Λେ্͖͘ճΔՁ্֨ঢΛΈ͓ͤͯΓɼ·͞ʹΦʔόʔγϡʔτͰ͋Δɽͦͷ‫ޙ‬ɼԼམ͍͕ͯ͘͠ Pf = 15, 000
Λେ͖͘ԼճΔ 14, 000 ΄Ͳ·ͰԼམͯ͠ɼͦͷ‫ޙ‬͸ϑΝϯμϝϯλϧՁ֨ʹऩଋ͢Δɽ͜ͷΑ͏ʹֶश͕͋Δ৔߹ͷΈɼ࣮ࡍͷࢢ৔Ͱ‫͍͖ͯى‬ΔΑ͏ͳେ͖ͳόϒϧ͕࠶‫͖Ͱݱ‬͍ͯΔɽ
ද 6.1 ͸֤γϛϡϨʔγϣϯͰͷελΠϥΠζυɾϑΝΫτΛ͍ࣔͯ͠Δɽ͓ͷ͓ͷ৔߹ʹ͍ͭͯ 100 ճࢼߦ͠ฏ‫ۉ‬஋ΛͱͬͨɽελΠϥΠζυɾϑΝΫτ͸͢΂ͯ࣌ࠁ 100ִؒͰͷՁ֨Λ༻͍ͯ‫ͨ͠ࢉܭ‬ɽ͍ͣΕͷγϛϡϨʔγϣϯͰ΋ઑ౓*2 ͕ϓϥεͰϑΝοτɾςʔϧͱͳ͓ͬͯΓɼಅམ཰ͷ̎৐ͷࣗ‫ݾ‬૬ؔ΋େ͖ͳϥά͕͋ͬͯ΋ϓϥεͰϘϥςΟϦςΟɾΫϥελϦϯά΋࠶‫͞ݱ‬Ε͍ͯΔɽέʔε 2ɼֶश͋Γͷ৔߹ʹ͓͍ͯ͸ɼ*2 ͜͜Ͱͷઑ౓ͷఆٛ͸ɼਖ਼‫ن‬෼෍Ͱ 0 ͱͳΔఆٛͰ͋Δɽ͢ͳΘͪɼn ‫ݸ‬ͷσʔλ xi (i = 1, , , n) ͕͋Δnͱ͖ɼxi ͷฏ‫ۉ‬Λ X ɼඪ४ภࠩΛ S ͱ͢Δͱઑ౓ K ͸ɼK = 1/(nS 4 ) ×(x − X)4 − 3ɼͱ
i=1 i



͢ΔఆٛΛ࢖༻ͨ͠ɽ

117

6.3 ֶशϓϩηεͱΦʔόʔγϡʔτେ͖ͳϥά͕͋Δ৔߹ͷಅམ཰ͷ̎৐ͷࣗ‫ݾ‬૬ؔ͸ɼ࣮ূ‫ڀݚ‬ͷ݁Ռʹൺ΂େ͖͗͢Δ
஋ͱͳ͍ͬͯΔ. ͔͠͠ɼ͜Ε͸γϛϡϨʔγϣϯͷࢼߦ͕࣌ࠁ 100, 000 Ͱଧͪ੾͓ͬͯ
ΓɼΦʔόʔγϡʔτ͕‫͍͖ͯى‬Δ࣌ؒଳ͕ଟ͘Λ઎Ί͍ͯΔͨΊͰ͋Δɽ࣮ূ‫ڀݚ‬ͷσʔλͰ͸ΦʔόʔγϡʔτͳͲͷࢢ৔ࠞཚΛ‫ؚ‬Ή‫ؒظ‬͸͜Ε΄Ͳ௕͘ͳ͍ɽγϛϡϨʔγϣϯͷࢼߦͷऴྃ࣌ࠁΛҾ͖৳͹͠ɼΦʔόʔγϡʔτ͕མͪண͍ͨ‫ޙ‬ͷ࣌ؒଳ͕ଟ͘
ͳΕ͹ɼέʔε 1 ͷ஋ʹۙͮ͘ͱߟ͑ΒΕɼ࣮ূ‫ڀݚ‬ͷ݁ՌͱࣅͨΑ͏ͳ݁ՌʹͳΔͱߟ
͑ΒΕΔɽΑͬͯɼैདྷγϛϡϨʔγϣϯͷଥ౰ੑΛ෼ੳ͢Δͷʹ࢖ΘΕ͖ͯͨ୅දతͳ
ελΠϥΠζυɾϑΝΫτ͸શͯͷγϛϡϨʔγϣϯͰຬ͍ͨͯ͠Δͱ͍͑Δɽ

6.3.2 ϋβʔυɾϨʔτʹΑΔΦʔόʔγϡʔτͷ࠶‫ݱ‬ੑධՁόϒϧ΍Φʔόʔγϡʔτ͕ൃੜ͍ͯ͠Δ͔Ͳ͏͔ΛఆྔతʹଌΔख๏ͱͯ͠ϋβʔυɾϨʔτ (Hi ) Λ༻͍ͨख๏͕͋Δ [McQueen 94, Chan 98]ɽHi ͸͋Δଌఆ‫( ؒظ‬1 ೔
΍ 1 िؒ) ͷՁ֨ͷಅམ཰͕ i ճ࿈ଓͰϓϥεͩͬͨ৔߹ɼ࣍ͷଌఆ‫ؒظ‬ͷಅམ཰͕ϚΠφεʹͳׂͬͨ߹Λࣔ͢ɽྫ͑͹ 5 ೔࿈ଓಅམ཰͕ϓϥεͰ͋ͬͨͷ͕ 100 ճ͋ͬͨ৔
߹ɼͦͷ࣍ͷ೔͕ϚΠφεͰ͋ͬͨͷ͕ 40 ճͰ͋ͬͨ৔߹ɼHi = 40% Ͱ͋Δɽଌఆ‫ظ‬ؒ಺ʹόϒϧ΍Φʔόʔγϡʔτ͕‫·ؚ‬Ε͍ͯΔ৔߹ɼi ͷ૿ՃʹΑΓ Hi ͕େ͖͘‫ݮ‬গ͢Δ͜ͱ͕஌ΒΕ͍ͯΔ [McQueen 94, Chan 98]ɽͭ·Γɼόϒϧ΍Φʔόʔγϡʔτͷ‫ؒظ‬͸ಅམ཰͕࿈ଓͰϓϥεʹͳΓ΍͘͢ɼͦͷ࿈ଓ͕ଓ͚͹ଓ͘΄Ͳɼͦͷ‫ޙ‬ϓϥε͕ଓ͖΍͘͢ͳΔ͜ͱΛ͍ࣔͯ͠Δɽ
ͯ͞ɼຊষͷγϛϡϨʔγϣϯ݁Ռʹ͓͍ͯϋβʔυɾϨʔτ (Hi ) ͸ɼέʔε̎ͷֶश͋Γͷ৔߹͕΋ͬͱ΋େ͖͘ i ͷ૿Ճʹ൐ͬͯେ͖ͳ‫ݮ‬গΛ͓ͯ͠Γɼ‫ݦ‬ஶͳΦʔόʔγϡʔτ͕֬ೝͰ͖ͨ͜ͱΛࣔ͢ɽέʔεֶ̍श͋Γͷ Hi ΋؇΍͔ͳ͕Β‫ݮ‬গ͕ΈΒΕɼΦʔόʔγϡʔτͷҾ͖͕ۚͳͯ͘΋খ͍͞Φʔόʔγϡʔτ͕͓͖͍ͯΔ͜ͱΛ͍ࣔࠦͯ͠Δɽέʔε̍ͷֶशͳ͠ͷ৔߹͸ Hi ͷ‫ݮ‬গ͕શ͘‫ݟ‬ΒΕͣখ͍͞Φʔόʔγϡʔτ΋‫ؚ‬Ίશ͓͖͍ͯ͘ͳ͍ɽέʔε̎ͷֶशͳ͠ͷ৔߹͸ Hi ͷ‫ݮ‬গ͕‫ݟ‬ΒΕΔ΋ͷͷɼֶश͋Γͷ৔߹ʹൺ΂ͯ‫ݮ‬গͷఔ౓͸খ͘͞ɼϑΝϯμϝϯλϧՁ֨ͷ‫্ٸ‬ঢͱ͍͏େ͖ͳΦʔόʔγϡʔτͷҾ͖͕ۚ͋Δʹ΋ؔΘΒͣখ͞ͳΦʔόʔγϡʔτ͔͓͖͍ͯ͠ͳ͍ɽ͜ͷΑ͏ʹֶश͕͋Δ৔߹ͷΈɼ࣮ࡍͷࢢ৔Ͱ‫͍͖ͯى‬ΔΑ͏ͳେ͖ͳΦʔόʔγϡʔτ͕࠶‫͍͖ͯͰݱ‬Δɽ
ਤ 6.3 Ͱ͸ɼέʔε̎ͷֶश͋Γͷ৔߹ʹؔͯ͠ɼ֤ઓུ੒෼ͷ߹‫ܭ‬΢ΤΠτɼn
Wi =  n

j=1 wi,jj=1 (w1,j + w2,j + uj )

,

(6.2)

ͷ࣌‫ྻܥ‬Λࣔͨ͠ɽi = 1 ͷ৔߹͕ϑΝϯμϝϯλϧ੒෼Ͱ͋Γɼi = 2 ͷ৔߹͕ςΫχΧϧ੒෼Ͱ͋ΔɽΦʔόʔγϡʔτൃੜ࣌ʹςΫχΧϧͳ౤ࢿՈͷ੒෼͕૿͑ɼϑΝϯμ

118

ୈ6ষ

ֶशաఔͷඞཁੑ෼ੳ

ϝϯλϧͳ౤ࢿՈͷ੒෼͕‫͓ͯͬݮ‬Γɼ[Frankel 90, ࢁຊ 11, Yamamoto 13] ͳͲͷ࣮ূ෼ੳͱ੔߹తͳઓུ੾Γସ͕͑ߦΘΕͨɽ͜ΕΒΛ·ͱΊΔͱɼέʔε̎ʹ͓͍ͯɼֶश͋Γͷͱ͖ͷΈɼ࣮ূ‫ͱڀݚ‬੔߹తͳϝΧχζϜͰͷΦʔόʔγϡʔτͷൃੜ͕ೝΊΒΕɼֶशͳ͠ͷਓ޻ࢢ৔Ͱ͸Φʔόʔγϡʔτͷൃੜ͕ೝΊΒΕͳ͔ͬͨɽόϒϧ΍ΦʔόʔγϡʔτʢΞϯμʔγϡʔτʣΛ෼ੳͨ͠Γɼόϒϧ΍ΦʔόʔγϡʔτʢΞϯμʔγϡʔτʣ͕‫͜ى‬ΓಘΔঢ়‫گ‬ԼͰͷ‫ن‬੍ͷٞ࿦Λͨ͠Γ͢Δ৔߹͸ɼֶश͋ΓͷϞσϧͰ͋Δඞཁ͕͋ΔՄೳੑΛࢦఠͰ͖ͨɽ
·ͨɼϋβʔυɾϨʔτΛ༻͍ΔͱɼैདྷͷελΠϥΠζυɾϑΝΫτͷ෼ੳͰ͸Ͱ͖ͳ͔ͬͨɼόϒϧ΍ΦʔόʔγϡʔτʢΞϯμʔγϡʔτʣΛ࠶‫͖Ͱݱ‬ΔϞσϧͰ͋Δ͔Ͳ͏͔΋෼ੳͰ͖Δ͜ͱΛࣔͤͨɽ

6.3.3 ֶश଎౓ͷՁ֨‫ܗ‬੒ʹ༩͑Δ‫ײ‬Ԡ౓࠷‫ʹޙ‬ɼॏཁͳύϥϝʔλͰ͋Δֶश଎౓ kl ͷՁ֨‫ܗ‬੒ʹ༩͑Δ‫ײ‬Ԡ౓ʹ͍ͭͯௐ΂ͨɽਤ 6.4 ͸ɼέʔε 2ɼֶश͋Γͷ৔߹ʹ͓͍ͯɼkl = 0(ֶशͳ͠)ɼkl = 1, 4, 10, 40, 100ͱͨ͠ͱ͖ͷՁ֨ͷਪҠΛࣔͨ͠ɽkl = 40, 100 ͷ৔߹͸ɼΦʔόʔγϡʔτ͕ऩଋͤͣɼ‫܁‬Γฦ͠Φʔόʔγϡʔτ͕ൃੜ͍ͯ͠Δ͜ͱ͕Θ͔Δɽ͜ͷΑ͏ͳ‫܁‬Γฦ͠͸γϛϡϨʔγϣϯ͕҆ఆ͠ͳ͍͚ͩͰͳ͘ɼ࣮ࡍͷۚ༥ࢢ৔Ͱ͸͜ͷΑ͏ͳ͖Ε͍ͳप‫Ͱظ‬ͷΦʔόʔγϡʔτ͸ൃੜ͠ͳ͍ͨΊɼ͜ͷΑ͏ͳ kl ΛબͿͷ͸ద౰Ͱͳ͍ͱߟ͑ΒΕΔɽද 6.2 ͸ kl = 0, 1, 4, 10, 40, 100 ͷ৔߹ʹ͓͍ͯɼ100 ճͷࢼߦͷ͏ͪɼ͜ͷΑ͏ͳ‫܁‬Γฦ͕͠ൃੜ͠γϛϡϨʔγϣϯ͕ෆ҆ఆʹͳׂͬͨ߹Λࣔͨ͠ɽkl ͕ 10 Ҏ্ͷ৔߹͸ɼ͜ͷΑ͏ͳ‫܁‬Γฦ͕͠ൃੜ͍ͯ͠Δ͜ͱ͕෼͔Δɽද 6.3 ͸ɼ͜ͷΑ͏ͳ‫܁‬Γฦ͕͠ൃੜ͠ͳ͔ͬͨ kl ʹର͠ɼελΠϥΠζυɾϑΝΫτΛࣔͨ͠ɽkl = 4 ͷ৔߹͕ϋβʔυɾϨʔτͷ࠷΋େ͖ͳ‫ݮ‬গ͕‫ݟ‬ΒΕɼ‫࣮ݱ‬ͷۚ༥ࢢ৔ͷࠞཚͷಛੑΛ࠷΋Α͘࠶‫ͯ͠ݱ‬
͍ΔɽͦͷͨΊɼຊ‫Ͱڀݚ‬͸ kl = 4 Λ༻͍Δ͜ͱʹͨ͠ɽ

119

6.3 ֶशϓϩηεͱΦʔόʔγϡʔτ䜿䞊䝇䠍
10,10010,050

9,950
9,900

Ꮫ⩦䛺䛧㻌

9,850

Ꮫ⩦䛒䜚㻌

᫬้
ਤ 6.1

έʔε 1(ϑΝϯμϝϯλϧՁ͕֨ৗʹҰఆ)ɽ

㻥㻜㻜㻘㻜㻜㻜

㻤㻜㻜㻘㻜㻜㻜

㻣㻜㻜㻘㻜㻜㻜

㻢㻜㻜㻘㻜㻜㻜

㻡㻜㻜㻘㻜㻜㻜

㻠㻜㻜㻘㻜㻜㻜

㻟㻜㻜㻘㻜㻜㻜

㻞㻜㻜㻘㻜㻜㻜

㻝㻜㻜㻘㻜㻜㻜

9,800
㻜

౯᱁

10,000120

ୈ6ষֶशաఔͷඞཁੑ෼ੳ

䜿䞊䝇㻌䠎

20,00018,000౯᱁

16,00014,000Ꮫ⩦䛺䛧㻌

12,000Ꮫ⩦䛒䜚㻌

10,000䝣䜯䞁䝎䝯䞁䝍䝹౯᱁㻌

᫬้
ਤ 6.2

έʔε 2(ϑΝϯμϝϯλϧՁ͕֨Ұ౓‫ٸ‬ಅ)ɽ

㻥㻜㻜㻘㻜㻜㻜

㻤㻜㻜㻘㻜㻜㻜

㻣㻜㻜㻘㻜㻜㻜

㻢㻜㻜㻘㻜㻜㻜

㻡㻜㻜㻘㻜㻜㻜

㻠㻜㻜㻘㻜㻜㻜

㻟㻜㻜㻘㻜㻜㻜

㻞㻜㻜㻘㻜㻜㻜

㻥㻜㻜㻘㻜㻜㻜
㻝㻜㻜㻘㻜㻜㻜

㻤㻜㻜㻘㻜㻜㻜㻜

㻣㻜㻜㻘㻜㻜㻜

㻢㻜㻜㻘㻜㻜㻜

8,000

121

6.3 ֶशϓϩηεͱΦʔόʔγϡʔτ

ද 6.1

䜿䞊䝇㻌䠍
Ꮫ⩦䛺䛧
Ꮫ⩦䛒䜚
㻟㻚㻜㻝㻤
㻡㻚㻟㻥㻠

ᑤᗘ

㦐ⴠ⋡䛾㻞஌䛾⮬ᕫ┦㛵֤γϛϡϨʔγϣϯͷελΠϥΠζυɾϑΝΫτɽ

䝷䜾
㻝
㻞
㻟
㻠
㻡
㻢
㻣
㻤
㻥

䜿䞊䝇㻌䠎
Ꮫ⩦䛺䛧
Ꮫ⩦䛒䜚
㻞㻚㻜㻣㻥
㻟㻚㻝㻤㻜

㻜㻚㻝㻟㻠
㻜㻚㻝㻜㻝
㻜㻚㻜㻣㻢
㻜㻚㻜㻢㻜
㻜㻚㻜㻡㻞
㻜㻚㻜㻠㻜
㻜㻚㻜㻟㻢
㻜㻚㻜㻟㻜
㻜㻚㻜㻞㻢

㻜㻚㻝㻞㻡
㻜㻚㻝㻜㻡
㻜㻚㻜㻤㻣
㻜㻚㻜㻣㻠
㻜㻚㻜㻢㻝
㻜㻚㻜㻡㻠
㻜㻚㻜㻠㻤
㻜㻚㻜㻠㻡
㻜㻚㻜㻟㻥

㻜㻚㻞㻝㻥
㻜㻚㻝㻢㻠
㻜㻚㻝㻟㻟
㻜㻚㻝㻝㻤
㻜㻚㻝㻜㻤
㻜㻚㻝㻜㻜
㻜㻚㻜㻥㻞
㻜㻚㻜㻤㻣
㻜㻚㻜㻤㻞

㻜㻚㻟㻞㻡
㻜㻚㻞㻥㻟
㻜㻚㻞㻣㻠
㻜㻚㻞㻢㻝
㻜㻚㻞㻡㻟
㻜㻚㻞㻠㻣
㻜㻚㻞㻠㻝
㻜㻚㻞㻟㻣
㻜㻚㻞㻟㻤

㻡㻢㻑
㻡㻡㻑
㻡㻡㻑
㻡㻠㻑
㻡㻠㻑
㻡㻟㻑
㻡㻞㻑
㻡㻞㻑
㻡㻟㻑

㻡㻡㻑
㻡㻞㻑
㻡㻜㻑
㻠㻥㻑
㻠㻡㻑
㻠㻠㻑
㻠㻝㻑
㻠㻜㻑
㻠㻜㻑

㻡㻢㻑
㻡㻡㻑
㻡㻟㻑
㻡㻞㻑
㻠㻤㻑
㻠㻡㻑
㻠㻜㻑
㻟㻡㻑
㻟㻜㻑

㻡㻡㻑
㻡㻜㻑
㻠㻡㻑
㻠㻜㻑
㻟㻢㻑
㻞㻥㻑
㻞㻢㻑
㻞㻞㻑
㻝㻥㻑

㼕

䝝䝄䞊䝗
䝺䞊䝖
㻴㼕

㻝
㻞
㻟
㻠
㻡
㻢
㻣
㻤
㻥

ୈ6ষ

㻥㻜㻜㻘㻜㻜㻜

100%
98%
96%
94%
92%
90%
88%
86%
84%
82%
80%
㻤㻜㻜㻘㻜㻜㻜

㻣㻜㻜㻘㻜㻜㻜

㻢㻜㻜㻘㻜㻜㻜

㻡㻜㻜㻘㻜㻜㻜

㻟㻜㻜㻘㻜㻜㻜

㻞㻜㻜㻘㻜㻜㻜

㻝㻜㻜㻘㻜㻜㻜

㻜㻠㻜㻜㻘㻜㻜㻜䜿䞊䝇 䠎䚸Ꮫ⩦䛒䜚

10%
9%
8%
7%
6%
5%
4%
3%
2%
1%
0%

䜴䜶䜲䝖㻔䝣䜯䞁䝎䝯䞁䝍䝹㻕㻌ֶशաఔͷඞཁੑ෼ੳ

᫬้䝣䜯䞁䝎䝯䞁䝍䝹ᡂศྜィ䜴䜶䜲䝖䠄ᕥ㍈䠅㻌䝔䜽䝙䜹䝹ᡂศྜィ䜴䜶䜲䝖䠄ྑ㍈䠅㻌
ਤ 6.3

έʔε 2ɾֶश͋Γͷ৔߹ͷ֤౤ࢿઓུͷ΢ΤΠτͷਪҠɽ䜴䜶䜲䝖㻔䝔䜽䝙䜹䝹㻕㻌

122

123

6.3 ֶशϓϩηεͱΦʔόʔγϡʔτklឤᛂᗘ
25,000kl=0kl=1

15,000kl=4

10,000kl=10900,000

800,000

700,000

600,000

500,000

400,000

kl=100300,0000

200,000

kl=40
100,000

5,000

0

౯᱁

20,000᫬้
ਤ 6.4

έʔε 2ɼֶश͋Γͷ৔߹ʹ͓͍ͯɼkl = 0(ֶशͳ͠)ɼkl = 1, 4, 10, 40, 100ͱͨ͠ͱ͖ͷՁ֨ͷਪҠɽ

124

ୈ6ষ

ද 6.2

ֶशաఔͷඞཁੑ෼ੳ

έʔε 2ɼֶश͋Γͷ৔߹ʹ͓͍ͯɼ100 ճͷࢼߦͷ͏ͪɼΦʔόʔγϡʔτͷ‫܁‬Γฦ͕͠ൃੜ͠γϛϡϨʔγϣϯ͕ෆ҆ఆʹͳׂͬͨ߹ɽ

୙Ᏻᐃ䛺䛳䛯๭ྜ㻔㻝㻜㻜ヨ⾜୰㻕

䡇䡈
㻜
㻝
㻠
㻝㻜
㻠㻜
㻝㻜㻜

㻜㻑
㻜㻑
㻜㻑
㻝㻟㻑
㻥㻞㻑
㻥㻣㻑

125

6.3 ֶशϓϩηεͱΦʔόʔγϡʔτ

ද 6.3

έʔε 2ɼkl = 0, 1, 4 ͷ৔߹ͷɼελΠϥΠζυɾϑΝΫτɽ㼗㼘ᑤᗘ㦐ⴠ⋡䛾㻞஌
䛾
⮬ᕫ┦㛵

䝷䜾
㻝
㻞
㻟
㻠
㻡
㻢
㻣
㻤
㻥

㻜
㻞㻚㻜㻣㻡

㻝
㻞㻚㻡㻝㻟

㻠
㻟㻚㻜㻤㻞

㻜㻚㻞㻞㻜
㻜㻚㻝㻢㻜
㻜㻚㻝㻟㻞
㻜㻚㻝㻝㻤
㻜㻚㻝㻜㻣
㻜㻚㻜㻥㻤
㻜㻚㻜㻤㻤
㻜㻚㻜㻤㻣
㻜㻚㻜㻤㻞

㻜㻚㻞㻠㻞
㻜㻚㻞㻜㻠
㻜㻚㻝㻤㻞
㻜㻚㻝㻢㻠
㻜㻚㻝㻡㻣
㻜㻚㻝㻡㻟
㻜㻚㻝㻠㻡
㻜㻚㻝㻠㻞
㻜㻚㻝㻠㻜

㻜㻚㻟㻟㻝
㻜㻚㻞㻥㻟
㻜㻚㻞㻣㻟
㻜㻚㻞㻢㻞
㻜㻚㻞㻡㻟
㻜㻚㻞㻠㻥
㻜㻚㻞㻠㻠
㻜㻚㻞㻠㻝
㻜㻚㻞㻟㻢

㻡㻢㻑
㻡㻡㻑
㻡㻟㻑
㻡㻝㻑
㻠㻤㻑
㻠㻡㻑
㻠㻜㻑
㻟㻡㻑
㻟㻝㻑

㻡㻡㻑
㻡㻞㻑
㻠㻥㻑
㻠㻠㻑
㻠㻞㻑
㻟㻣㻑
㻟㻝㻑
㻞㻟㻑
㻞㻝㻑

㻡㻡㻑
㻡㻜㻑
㻠㻡㻑
㻠㻞㻑
㻟㻢㻑
㻟㻜㻑
㻞㻢㻑
㻞㻝㻑
㻝㻥㻑

㼕

䝝䝄䞊䝗
䝺䞊䝖
㻴㼕

㻝
㻞
㻟
㻠
㻡
㻢
㻣
㻤
㻥

126

ୈ6ষ

ֶशաఔͷඞཁੑ෼ੳ

6.4 ·ͱΊୈ 5 Ͱड़΂ͨϕʔεϞσϧʹɼֶशϓϩηεΛ௥Ճͨ͠৔߹ (ֶश͋Γ) ͱɼ௥Ճ͠
ͳ͔ͬͨ৔߹ (ֶशͳ͠) Λൺֱ͠ɼΦʔόʔγϡʔτͷҾ͖ۚͱͳΔϑΝϯμϝϯλϧ
Ձ֨ͷ্ঢ͕͋ͬͨ৔߹ɼֶश͋Γͷ৔߹͸Φʔόʔγϡʔτ͕ൃੜ͢Δ͕ɼֶश͕ͳ
͍৔߹͸େ͖ͳΦʔόʔγϡʔτ͕ൃੜ͠ͳ͍͜ͱΛ֬ೝͨ͠ɽ·ͨɼϋβʔυɾϨʔτ [McQueen 94, Chan 98] Λ༻͍ΔͱɼैདྷͷελΠϥΠζυɾϑΝΫτͷ෼ੳͰ͸Ͱ͖ͳ͔ͬͨɼόϒϧ΍Φʔόʔγϡʔτ (Ξϯμʔγϡʔτ) Λ࠶‫͖Ͱݱ‬ΔϞσϧͰ͋Δ
͔Ͳ͏͔΋෼ੳͰ͖Δ͜ͱΛࣔͨ͠ɽ͜ΕʹΑΓɼόϒϧ΍Φʔόʔγϡʔτ (Ξϯμʔγϡʔτ) ͳͲͷࢢ৔ࠞཚ࣌Λ෼ੳର৅ͱͨ͠γϛϡϨʔγϣϯͰ͸ֶशաఔ͸࣮૷͕ඞཁͰ͋Δ͕ɼࢢ৔͕҆ఆ͍ͯ͠Δ৔߹Λ෼ੳର৅ʹͨ͠৔߹ɼֶश͸࣮૷͠ͳͯ͘Α͍͜ͱΛࣔΊͤͨɽୈ III ෦ਓ޻ࢢ৔ϞσϧΛ༻͍ͨ‫࣮ݱ‬ͷۚ༥ࢢ৔ͷ‫੍ن‬ɾ੍౓ௐࠪ

129

ୈ7ষ

ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳIɿ ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌ʹ͓͚Δ஋෯੍‫ݶ‬ɼۭചΓ‫੍ن‬ɼΞοϓςΟοΫɾϧʔϧͷ෼ੳ
7.1 ͸͡Ίʹۚ༥औҾॴʹ͓͍ͯɼࢢ৔Λ҆ఆԽ͢ΔͨΊɼ͋Δ࣌ؒ಺ͰͷՁ֨มಈ͕ҰఆҎ্Λ௒͑ͨऔҾΛ‫͢ࢭې‬Δɼ஋෯੍‫౓੍ݶ‬Λ࠾༻͢Δ৔߹͕͋Δɽྫ͑͹ɼ౦‫݊ূژ‬औҾॴͰ͸ɼ̍೔ͷՁ֨มಈΛ੍‫͢ݶ‬Δ஋෯੍‫ͱ౓੍ݶ‬ɼ3 ෼Ҏ಺ͷՁ֨‫ٸ‬มΛ‫͢ࢭې‬Δಛผ‫ؾ‬഑ͱ͍͏ɼ2 ͭͷҟͳΔ࣌ؒ಺Ͱͷ஋෯੍‫͕౓੍ݶ‬ଘࡏ͢Δ [TSE 13]ɽ஋෯੍‫౓੍ݶ‬͸೔ຊ΍தࠃʢ߳ߓΛআ͘ʣɼ‫Ͳͳࠃؖ‬ΞδΞͷऔҾॴͰ͸࠾༻͞Ε͍ͯΔ৔߹͕ଟ͍ɽ͔͠
͠ɼถࠃ΍ϤʔϩούͷऔҾॴͰ͸࠾༻͞Ε͍ͯͳ͍৔߹͕ଟ͘ɼ஋෯੍‫ࢢ͕ݶ‬৔Λޮ཰Խ͢Δ͔Ͳ͏͔͸ٞ࿦͕෼͔Ε͍ͯΔɽଞʹ΋ɼۚ༥औҾॴʹ͓͍ͯɼۭചΓ (อ༗͍ͯ͠ͳ͍ূ݊Λଞऀ͔ΒआΓ͖ͯͯച٫͢Δ͜ͱ) Λ‫׬‬શʹ‫͢ࢭې‬Δ‫੍ن‬΍ɼ௚ۙͰ໿ఆͨ͠Ձ֨ΑΓ΋௿͍Ձ֨ͰۭചΓ͢Δ͜ͱΛ‫͡ې‬ΔΞοϓςΟοΫɾϧʔϧͳͲ֤छۭചΓ‫͍ͯͭʹ੍ن‬΋ɼࢢ৔Λޮ཰Խ͢Δ͔Ͳ͏͔͸ٞ࿦͕෼͔Ε͍ͯΔ [େ෿ 12]ɽՁ֨‫ܗ‬੒ʹ͸͞·͟·ͳཁҼ͕ෳࡶʹؔΘ͍ͬͯΔͨΊɼ࣮ূ‫Ͱڀݚ‬͸͜ΕΒͷ‫੍ن‬ɾ੍౓ͷޮՌ͚ͩΛऔΓग़͢͜ͱ͕ࠔ೉Ͱ͋ΔɽͦͷͨΊɼ࣮ূ‫͜Ͱ͚ͩڀݚ‬ΕΒͷੋඇΛٞ࿦͢Δͷ͸ඇৗʹ೉͍͠ɽͦͷͨΊɼۙ೥Ͱ͸ɼ͜ΕΒͷੋඇΛٞ࿦͢ΔͨΊʹਓ޻ࢢ৔γϛϡϨʔγϣϯ͕ར༻͞Ε͍ͯΔ [࿨ઘ 03, LeBaron 06, Chen 12, ࿨ઘ 12b, Cristelli14]ɽ‫׬‬શͳۭചΓ‫ͯؔ͠ʹ੍ن‬͸ਓ޻ࢢ৔γϛϡϨʔγϣϯʹΑΔ෼ੳ͕ߦΘΕ͍ͯ

130

ୈ 7 ষ ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ Iɿ ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌
Δ [Yagi 10, ീ໦ 11a]ɽ·ͨɼࢢ৔͕҆ఆ͍ͯ͠Δͱ͖ͷ஋෯੍‫͕ݶ‬ϘϥςΟϦςΟ΍
ϑΝοτɾςʔϧʹ༩͑ΔӨ‫ڹ‬Λਓ޻ࢢ৔γϛϡϨʔγϣϯͰ෼ੳͨ͠‫[ ͯ͠ͱڀݚ‬Yeh10] ͕͋Δɽ͔͠͠ͳ͕ΒɼઌਐࠃͰ۩ମతʹٞ࿦ͱͳ͍ͬͯΔΞοϓςΟοΫɾϧʔϧΛਓ޻ࢢ৔γϛϡϨʔγϣϯͰ෼ੳͨ͠‫ڀݚ‬͸ͳ͍ɽ·ͨɼ஋෯੍‫ͯؔ͠ʹݶ‬΋ɼࢢ৔ࠞཚ࣌ΛऔΓѻ͍ɼ஋෯੍‫ݶ‬ͷޮՌΛ෼ੳͯ͠࠷దͳઃ‫ܭ‬Λٞ࿦ͨ͠ਓ޻ࢢ৔γϛϡϨʔγϣϯ‫ڀݚ‬͸ͳ͍ɽ஋෯੍‫ݶ‬΍֤छۭചΓ‫੍ن‬͸όϒϧ่յ࣌΍ۚ༥‫Ͳͳػة‬ɼ‫͕ۀا‬ຊདྷ࣋ͭՁ஋Ͱ͋Δ
ϑΝϯμϝϯλϧՁ֨ͷ‫ٸ‬མ࣌ʢҎ‫ޙ‬୯ʹɼۚ༥‫ͱ࣌ػة‬ΑͿɽʣʹ‫ػ‬ೳ͢Δ͜ͱ͕‫ظ‬଴͞ΕΔɽୈ 6 ষͰࢦఠͨ͠Α͏ʹɼਓ޻ࢢ৔Λ༻͍ͨγϛϡϨʔγϣϯ‫ʹڀݚ‬ΑͬͯɼϑΝϯμϝϯλϧՁ֨Λॏࢹͨ͠౤ࢿઓུ͔ΒςΫχΧϧ෼ੳΛॏࢹͨ͠౤ࢿઓུʹ੾Γସ͑
Δͱֶ͍ͬͨशϓϩηε͕ɼόϒϧ࣌ɾۚ༥‫࣌ػة‬Λ࠶‫͢ݱ‬ΔͷʹඞཁͰ͋ΔɽຊষͰ͸ɼୈ 5 ষͰड़΂ͨϕʔεϞσϧʹୈ 6 ষͰड़΂ֶͨशϓϩηεΛՃ͑ͨਓ޻ࢢ
৔ϞσϧΛ༻͍ͯɼ஋෯੍‫׬ͱݶ‬શۭചΓ‫੍ن‬ɼ͓ΑͼΞοϓςΟοΫɾϧʔϧͷޮՌΛൺֱͨ͠ɽฏৗ࣌ʹ૬౰͢ΔϑΝϯμϝϯλϧՁ͕֨Ұఆͷ৔߹ͱɼۚ༥‫ʹ࣌ػة‬૬౰͢ΔϑΝϯμϝϯλϧՁ͕֨‫ٸ‬མͨ͠৔߹ʹ͍ͭͯ෼ੳΛߦ͍ɼ֤‫੍͕ن‬ฏৗ࣌ͱόϒϧ่յ࣌ʹࢢ৔ͷޮ཰ੑΛߴΊΔ͔ɼ·ͨ͸ޮ཰ੑΛԼ͛ͯ͠·͏ͷ͔Λ‫ݕ‬౼ͨ͠ɽ͞Βʹɼ࠷దͳ஋෯੍‫ݶ‬ͷύϥϝʔλΛٞ࿦ͨ͠ɽΞϯμʔγϡʔτΛ๷͗ͭͭɼͳΔ΂͘ૣ͘ϑΝϯμϝϯλϧՁ֨ʹ౸ୡͤ͞Δ஋෯੍‫ݶ‬ͷύϥϝʔλ৚݅Λಋ͘ɽ

7.2 ਓ޻ࢢ৔Ϟσϧ131

7.2 ਓ޻ࢢ৔ϞσϧຊষͰ͸ୈ 5 ষͰड़΂ͨϕʔεϞσϧʹୈ 6 ষͰड़΂ֶͨशϓϩηεΛՃ͑ͨਓ޻ࢢ
৔ϞσϧΛ༻͍Δɽ࢖༻ͨ͠ύϥϝʔλ΋ಉ༷Ͱ͋Δɽ

7.2.1 ‫੍ن‬ͷϞσϧԽຊ‫Ͱڀݚ‬͸ɼ஋෯੍‫౓੍ݶ‬ɼ‫׬‬શۭചΓ‫੍͓ن‬ΑͼΞοϓςΟοΫɾϧʔϧ͕ଘࡏ͢Δ
৔߹Λൺֱͨ͠ɽ
஋෯੍‫ݶ‬͸ҎԼͷΑ͏ʹϞσϧԽͨ͠ɽຊϞσϧͷ஋෯੍‫ݶ‬͸ɼ੍‫ ؒ࣌ݶ‬tpl ɼ੍‫ݶ‬
஋෯ ΔPpl ͷ 2 ͭͷύϥϝʔλ͕͋Δɽ࣌ࠁ t ͔Β tpl લͷՁ֨ P t−tpl Λ‫ج‬४ͱ͠ɼP t−tpl − ΔPpl ͔Β P t−tpl + ΔPpl ͷؒ͸ɼࣗ༝ʹ஫จΛग़ͤΔɽP t−tpl + ΔPpl ΑΓߴ͍ങ͍஫จ͸‫੍ڧ‬తʹ P t−tpl + ΔPpl ͱ͠ɼP t−tpl − ΔPpl ΑΓ͍҆ചΓ஫จ͸‫੍ڧ‬తʹ

P t−tpl − ΔPpl ͱ͢Δɽ͜ΕʹΑΓɼP t−tpl ± ΔPpl ͷ֎ଆͰ͸ɼऔҾ͸ߦΘΕͳ͍ɽ‫׬‬શۭചΓ‫੍ن‬͸ɼϦεΫࢿ࢈ͷอ༗਺ྔ͕ 0 ͷͱ͖ʹചΓ஫จΛ‫͢ࢭې‬Δ͜ͱͰϞσϧԽͨ͠ɽ͢΂ͯͷΤʔδΣϯτͷॳ‫ʹظ‬อ༗͍ͯ͠ΔϦεΫࢿ࢈͸ 1 ୯ҐͰ͋ΔɽΞοϓςΟοΫɾϧʔϧ͸ɼϦεΫࢿ࢈ͷอ༗਺ྔ͕ 0 ͷͱ͖ʹɼP t ҎԼͷചΓ஫จͨ͠৔
߹ɼ஫จՁ֨Λ‫੍ڧ‬తʹ P t + ΔP ʹมߋͤ͞Δ͜ͱͰϞσϧԽͨ͠ɽ

132

ୈ 7 ষ ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ Iɿ ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌

7.3 γϛϡϨʔγϣϯ݁Ռ7.3.1 ଥ౰ੑ෼ੳ
ୈ 3 ষͰड़΂ͨΑ͏ʹɼਓ޻ࢢ৔Ϟσϧͷଥ౰ੑ͸࣮ূ෼ੳͰಘΒΕ͍ͯΔϑΝοτɾςʔϧ΍ɼϘϥςΟϦςΟɾΫϥελϦϯάͱ͍ͬͨ୅දతͳελΠϥΠζυɾϑΝΫτ͕࠶‫͖Ͱݱ‬Δ͔Ͳ͏͔ͰධՁ͞ΕΔɽ
ຊষͰ͸ɼPf = 10, 000 ͰҰఆͰ͋Δ৔߹ (ϑΝϯμϝϯλϧҰఆ) ͱɼॳΊ Pf =10, 000 Ͱ࣌ࠁ t = 100, 000 Ͱ Pf = 7, 000 ʹมԽ͢Δ৔߹ (ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ)Λߦͬͨɽ·ͨγϛϡϨʔγϣϯ͸ t = 1, 000, 000 ·Ͱߦͬͨɽ·ͨɼ஋෯੍‫ݶ‬ͷύϥϝʔλͱͯ͠·ͣ͸ɼtpl = 50, 000, ΔPpl = 1, 000 Ͱ෼ੳΛߦͬͨɽද 7.1 ͸ɼ͍ͣΕͷ‫੍ن‬΋ͳ͍৔߹ʢ‫͠ͳ੍ن‬ʣɼ஋෯੍‫͕͋ݶ‬Δ৔߹ʢ஋෯੍‫ݶ‬ʣɼ‫׬‬શʹۭചΓ͕‫͞ࢭې‬Ε͍ͯΔ৔߹ʢ‫׬‬શۭചΓ‫੍ن‬ʣɼΞοϓςΟοΫɾϧʔϧ͕͋Δ৔߹
ʢΞοϓςΟοΫɾϧʔϧʣͷ֤ࢼߦͰͷελΠϥΠζυɾϑΝΫτΛ͍ࣔͯ͠Δɽ֤ʑͷ৔߹ʹ͍ͭͯ 100 ճࢼߦ͠ฏ‫ۉ‬஋ΛͱͬͨɽελΠϥΠζυɾϑΝΫτ͸͢΂ͯ 100εςοϓִؒͰͷՁ֨Λ༻͍ͯ‫ͨ͠ࢉܭ‬ɽ͍ͣΕͷγϛϡϨʔγϣϯͰ΋ઑ౓*1 ͕ϓϥεͰϑΝοτɾςʔϧͱͳ͓ͬͯΓɼಅམ཰ͷ̎৐ͷࣗ‫ݾ‬૬ؔ΋େ͖ͳϥά͕͋ͬͯ΋ϓϥεͰϘϥςΟϦςΟɾΫϥελϦϯά΋࠶‫͞ݱ‬Ε͍ͯΔɽ͜ΕΒʹΑΓ௕‫؍ʹظ‬ଌ͞ΕΔ
Ձ֨มಈͷ౷‫ܭ‬తͳੑ࣭Λ࠶‫͍ͯ͠ݱ‬Δ͜ͱΛࣔ͞Εͨɽ·ͨɼຊষͰ͸ɼόϒϧ΍όϒϧ่յͳͲҰ࣌తͳେ͖ͳՁ֨มಈ͕͋Δͱ͖ʹޮՌ͕‫ظ‬଴͞ΕΔ஋෯੍‫ݶ‬΍֤छۭചΓ‫੍ن‬Λ෼ੳ͢ΔͨΊɼ͜ΕΒͷ‫ݱ‬৅΋࠶‫͖Ͱݱ‬Δඞཁ͕
͋Δɽୈ 6 ষͰड़΂ͨΑ͏ʹɼόϒϧ΍όϒϧ่յ͕ൃੜ͍ͯ͠Δ͔Ͳ͏͔Λఆྔతʹ
ଌΔख๏ͱͯ͠ϋβʔυɾϨʔτ (Hq ) Λ༻͍ͨख๏͕͋ΔɽHq ͸͋Δଌఆ‫( ؒظ‬1 ೔΍1 िؒ) ͷՁ֨ͷಅམ཰͕ q ճ࿈ଓͰϓϥε (ϚΠφε) ͩͬͨ৔߹ɼ࣍ͷଌఆ‫ؒظ‬ͷಅམ཰͕ϚΠφε (ϓϥε) ʹͳׂͬͨ߹Λࣔ͢ɽଌఆ‫ʹ಺ؒظ‬όϒϧ΍όϒϧ่յ͕‫·ؚ‬Ε͍ͯΔ৔߹ɼq ͷ૿ՃʹΑΓ Hq ͕‫ݮ‬গ͢Δ͜ͱ͕஌ΒΕ͍ͯΔ [McQueen 94, Chan

98, Mizuta 13f]ɽͭ·Γɼόϒϧ (όϒϧ่յ) ͷ‫ؒظ‬͸ಅམ཰͕࿈ଓͰϓϥε (ϚΠφε) ʹͳΓ΍͘͢ɼͦͷ࿈ଓ͕ଓ͚͹ଓ͘΄Ͳɼͦͷ‫ޙ‬ϓϥε (ϚΠφε) ͕ଓ͖΍͘͢ͳΔ͜ͱΛ͍ࣔͯ͠Δɽ
ද 7.1 Ͱ͸ɼಅམ཰͕ q ճ࿈ଓͰϚΠφεͩͬͨͱ͖ʹϓϥεʹͳׂͬͨ߹Λࣔͨ͠ɽଌఆ‫ؒظ‬͸ 100 εςοϓִؒͱͨ͠ɽq ͕૿͑Δʹ࿈Εͯ Hq ͕‫ݮ‬গ͢Δ৔߹͸ɼόϒϧ*1 ͜͜Ͱͷઑ౓ͷఆٛ͸ɼਖ਼‫ن‬෼෍Ͱ 0 ͱͳΔఆٛͰ͋Δɽ͢ͳΘͪɼn ‫ݸ‬ͷσʔλ xi (i = 1, , , n) ͕͋Δnͱ͖ɼxi ͷฏ‫ۉ‬Λ X ɼඪ४ภࠩΛ S ͱ͢Δͱઑ౓ K ͸ɼK = 1/(nS 4 ) ×(x − X)4 − 3ɼͱ
i=1 i



͢ΔఆٛΛ࢖༻ͨ͠ɽ

7.3 γϛϡϨʔγϣϯ݁Ռ่յ࣌ͷΑ͏ͳՁ֨ਪҠ͕ൃੜͨ͜͠ͱΛ͍ࣔͯ͠ΔɽϑΝϯμϝϯλϧՁ֨Ұఆͷ৔߹͸ɼ‫׬‬શۭചΓ‫੍ن‬ͷͱ͖ɼHq ͕‫ݮ‬গ͍ͯ͠ΔɽϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌͸஋෯੍‫౓੍ݶ‬ͷͱ͖Ҏ֎͸ɼHq ͕‫ݮ‬গ͓ͯ͠Γɼόϒϧ่յͷΑ͏ͳ‫ݱ‬৅͕ൃੜ͍ͯ͠ΔՄೳ
ੑ͕͋Δɽ͜ΕΒʹΑΓόϒϧ่յ΋࠶‫͖Ͱݱ‬ΔϞσϧͰ͋Δ͜ͱ͕ࣔ͞Εɼຊ‫ڀݚ‬ͷ໨తͰ͋Δ஋෯੍‫ݶ‬΍֤छۭചΓ‫੍ن‬ͷ෼ੳΛߦ͏ͷʹଥ౰ͳϞσϧͰ͋Δ͜ͱ͕ࣔ͞
Εͨɽ

7.3.2 Ձ֨ਪҠਤ 7.1 ͸ϑΝϯμϝϯλϧҰఆͷ৔߹ͷՁ֨ͷਪҠΛ͍ࣔͯ͠Δɽͦ΋ͦ΋ۚ༥ࢢ৔͸ɼࢢ৔ࢀՃऀͨͪͷऔҾΛ௨࣮ͯ͡ଶՁ஋Ͱ͋ΔϑΝϯμϝϯλϧՁ֨Λൃ‫͢ݟ‬ΔɼՁ
֨ൃ‫ػݟ‬ೳΛ࣋ͭ͜ͱ͕‫ظ‬଴͞Ε͓ͯΓɼͦͷͨΊɼϑΝϯμϝϯλϧՁ͔֨Βେ͖͘ဃ཭͍ͯ͠ͳ͍Ձ֨ͰऔҾ͞ΕΔ͜ͱ͕‫ظ‬଴͞Ε͍ͯΔɽͦΕ͕ୡ੒͞Εͨঢ়ଶΛޮ཰ੑ͕ߴ͍ͱΑͿɽ‫ͱ͠ͳ੍ن‬஋෯੍‫ݶ‬ͷ৔߹͸ϑΝϯμϝϯλϧՁ֨Ͱ͋Δ 10, 000 पลΛৼಈ͍ͯ͠Δɽޮ཰ੑ͕ߴ͍ࢢ৔Ͱ͋Δͱ͍͑ΔɽҰํɼ‫׬‬શۭചΓ‫੍ن‬ͷ৔߹͸ɼৗʹϑΝϯμϝϯλϧՁ֨ΑΓߴ͍Ձ֨ͰऔҾ͞Εɼৼ෯͸େ͖͘ͳ͍΋ͷͷɼόϒϧͱόϒϧ่յͷΑ͏ͳՁ֨ਪҠΛ‫܁‬Γฦ͍ͯ͠Δɽ͜Ε͸ઌߦͷγϛϡϨʔγϣϯ‫[ ڀݚ‬Yagi

10, ീ໦ 11a] ͷ݁ՌͱҰக͢Δɽ( [Yagi 10, ീ໦ 11a] Ͱ͸ৼ෯͕ඇৗʹେ͖͍͕ɼॳ‫ظ‬ͷΩϟογϡΛ‫ݮ‬Βͤ͹ৼ෯͕খ͘͞ͳΓɼຊ‫ͱڀݚ‬ಉఔ౓ͷৼ෯ʹͳΔ͜ͱΛ֬ೝ͍ͯ͠Δɽ) ΞοϓςΟοΫɾϧʔϧͷ৔߹΋‫׬‬શۭചΓ‫੍ن‬ͷ৔߹΄ͲͰ͸ͳ͍͕ɼϑΝϯμϝϯλϧՁ֨ΑΓৗʹߴ͍Ձ֨ͰऔҾ͕͞Ε͍ͯΔɽ
࣍ʹϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌ͷՁ֨ਪҠΛٞ࿦͢Δɽ࠷΋ޮ཰తͳࢢ৔Ͱ͸ɼऔҾՁ͕֨ϑΝϯμϝϯλϧՁ֨ͱৗʹҰக͢ΔɽͦͷͨΊɼϑΝϯμϝϯλϧՁ͕֨‫ٸ‬མ͢Ε͹औҾՁ֨΋ಉ༷ʹ‫ٸ‬མ͢Δ͜ͱ͕‫ظ‬଴͞ΕΔɽຊ‫ڀݚ‬ͷϞσϧͰ͸ɼϑΝϯμϝϯλ
ϧՁ͕֨‫ٸ‬མ͢Δͱɼࣜ 5.1 ͷୈ 1 ߲໨͸ Pf < P t ΑΓɼϚΠφεͷ༧૝ϦλʔϯΛࣔͨ͢ΊɼऔҾՁ֨͸Լམ‫ޙ‬ͷ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹ͍͍ۙͮͯ͘ɽ
ਤ 7.2 ͸ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌ͷՁ֨ͷਪҠͰ͋Δɽ‫͍ͳ੍͕ن‬৔߹ɼ৽͍͠
ϑΝϯμϝϯλϧՁ֨Ͱ͋Δ 7, 000 ΑΓ΋͞ΒʹԼམ͠Ξϯμʔγϡʔτ͍ͯ͠Δɽ΋ͬͱ΋଎͘৽͍͠ϑΝϯμϝϯλϧՁ֨ʹ౸ୡ͍ͯ͠Δ͕ɼͦͷ‫ޙ‬ͷΞϯμʔγϡʔτʹΑΓ৽͍͠ϑΝϯμϝϯλϧՁ֨ΑΓ͔ͳΓ௿͍Ձ֨ͰऔҾ͞Εɼͦͷ‫ޙ‬େ͖͘Ϧό΢ϯυ
͢Δͱ͍͏ɼόϒϧ่յͷΑ͏ͳ‫ݱ‬৅͕‫ݟ‬ΒΕΔɽ͜ͷΑ͏ͳΞϯμʔγϡʔτͱϦό΢ϯυ͸࣮ࡍͷࢢ৔Ͱ΋ଟ͘‫؍‬ଌ͞Ε͓ͯΓଟํ໘͔Βͷ෼ੳ͕ͳ͞Ε͍ͯΔ [Bremer

91, Bremer 97, Benou 03, ീ໦ 12a, Mizuta 13f]ɽ
Ұํɼ஋෯੍‫ݶ‬ɼ‫׬‬શۭചΓ‫੍ن‬ɼΞοϓςΟοΫɾϧʔϧͷ৔߹ɼ৽͍͠ϑΝϯμϝ
ϯλϧՁ֨ʹୡ͢Δ·Ͱͷ͕࣌ؒ‫͠ͳ੍ن‬ͷ৔߹ΑΓ΋͔͔͍ͬͯΔ΋ͷͷɼΞϯμʔ

133

134

ୈ 7 ষ ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ Iɿ ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌γϡʔτ͕ൃੜ͍ͯ͠ͳ͍ɽ࠷΋ࢢ৔͕ޮ཰తͳͷ͸ɼ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹॠ࣌ʹ౸ୡ͠ɼ͔ͭɼΞϯμʔγϡʔτ͕શ͘ൃੜ͠ͳ͍ঢ়ଶͰ͋Δɽ͔͠͠ɼࠓճௐ΂ͨൣғͰ͸ɼ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹ౸ୡ͢Δ࣌ؒΛ୹͘͢Δ͜ͱͱɼΞϯμʔγϡʔτΛখ͘͢͞Δ͜ͱ͸ɼཱ྆͠ͳ͍͜ͱ͕෼͔ͬͨɽ

7.3.3 ઓུ੾Γସ͑
ਤ 7.3ɼਤ 7.4 ͸ϑΝϯμϝϯλϧՁ͕֨‫ٸ‬མͨ͠ͱ͖ͷ‫͠ͳ੍ن‬ͷ৔߹ͱ஋෯੍‫ݶ‬ͷ৔߹ʹ͍ͭͯɼ֤ઓུ੒෼ͷ߹‫ܭ‬΢ΤΠτɼn
Wi =  n

j=1 wi,jj=1 (w1,j + w2,j + uj )

,

(7.1)

ͷ࣌‫ྻܥ‬Λࣔͨ͠ɽi = 1 ͷ৔߹͕ϑΝϯμϝϯλϧ੒෼Ͱ͋Γɼi = 2 ͷ৔߹͕ςΫχΧϧ੒෼Ͱ͋Δɽਤ 7.3 ͕ࣔ͢Α͏ʹɼ‫͍ͳ੍͕ن‬৔߹͸ϑΝϯμϝϯλϧ੒෼͕‫ʹ୺ۃ‬গͳ͘ͳΔ࣌‫͕ظ‬ଘࡏ͢Δɽ͜Ε͸ɼΞϯμʔγϡʔτͯ͠৽͍͠ϑΝϯμϝϯλϧՁ͔֨Β͞ΒʹԼམ͍ͯ͠Δͱ͖ϑΝϯμϝϯλϧ౤ࢿ͕༗ޮͰͳ͘ͳΔͨΊɼςΫχΧϧ౤ࢿʹ੾Γସ͑Δ͔ΒͰ͋ΔɽϑΝϯμϝϯλϧ੒෼͕‫ݮ‬গ͢Δ͜ͱʹΑΓ৽͍͠ϑΝϯμϝϯλϧ΁޲͔͏ͱ༧૝͢ΔΤʔδΣϯτ͕‫ݮ‬ΓɼΞϯμʔγϡʔτ͕·͢·͢‫͖ى‬΍͘͢ͳ͍ͬͯΔɽҰํɼਤ 7.4 ͕ࣔ͢Α͏ʹɼ஋෯੍‫ݶ‬ͷ৔߹͸ɼΏͬ͘ΓԼམ͢Δ͜ͱʹΑΓΞϯμʔγϡʔτ͕ൃੜ͠ͳ͍ͨΊɼςΫχΧϧ౤ࢿ΁ͷ੾Γସ͕͑‫͍ͳ͍͖ͯى‬ɽͭ·Γɼ஋෯੍‫Ͳͳݶ‬ͷ‫੍ن‬͸ԼམΛ؇΍͔ʹ͢͠Δ͔ΘΓʹɼϑΝϯμϝϯλϧ౤ࢿ͔ΒςΫχΧϧ
౤ࢿ΁ͷ੾Γସ͑Λ͓͑͞ɼΞϯμʔγϡʔτΛൃੜͤ͞ͳ͍͜ͱʹ੒ޭ͍ͯ͠Δɽ‫׬‬શۭചΓ‫੍ن‬ɼΞοϓςΟοΫɾϧʔϧͷ৔߹΋஋෯੍‫ݶ‬ͷ৔߹ͱಉ༷ͷ݁ՌͰ͋ͬͨɽ

7.3.4 ങ͍஫จ਺ྔͷҧ͍‫͍ͳ੍͕ن‬৔߹ͱ஋෯੍‫͕͋ݶ‬Δ৔߹ͷɼ৽͍͠ϑΝϯμϝϯλϧՁ֨ (7, 000) ҎԼͷങ͍஫จ਺ྔͷҧ͍Λௐ΂Δɽ৽͍͠ϑΝϯμϝϯλϧՁ֨ҎԼͷങ͍஫จͷྔ͕ଟ͍ͱɼͦΕҎԼͷՁ֨΁Լམ͢Δͷʹଟ͘ͷചΓ஫จΛඞཁͱ͢ΔͨΊɼΞϯμʔγϡʔτΛΑΓ๷͗΍͍͢ɽਤ 7.4 ͸ɼങ͍஫จྔͷଌఆ࣌ࠁΛ͍ࣔͯ͠Δ*2 ɽͦΕͧΕͷଌఆ࣌ࠁ͸ɼ‫͠ͳ੍ن‬ͷ৔߹͸ɼ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹ౸ୡͨ࣌͠ࠁɼ஋෯੍‫͕͋ݶ‬Δ৔߹͸ɼ৽͍͠ϑΝϯμϝϯλϧՁ֨ҎԼͷചΓ஫จ͕࠷ॳʹ‫ڐ‬Մ͞Εͨ࣌ࠁͱͨ͠ɽऔҾՁ͔֨Βେ͖*2 ਤ 7.2 ͱ͸ॳ‫ظ‬ཚ਺ͷҧ͏ࢼߦΛ༻͍͍ͯΔͨΊɼՁ֨ਪҠ͕গ͠ҟͳΔɽ

7.3 γϛϡϨʔγϣϯ݁Ռ135

͘཭ΕͨɼऔҾ͕੒ཱ͢Δ‫ࠐݟ‬Έͷͳ͍ങ͍஫จ͸ɼ্‫ه‬ͷΑ͏ͳޮՌΛൃ‫͢ش‬Δͱ͸ߟ͑ʹ͍ͨ͘ΊɼՁ֨ 6, 500 Ҏ্ͷങ͍஫จͷΈΛू‫ܭ‬ର৅ͱͨ͠ɽ͜ͷ࣌ࠁʹ͓͍ͯ͸ɼऔҾՁ͕֨৽͍͠ϑΝϯμϝϯλϧՁ֨ʹୡ͍ͯ͠ΔͨΊɼ৽͍͠ϑΝϯμϝϯλϧՁ֨Ҏ্ͷങ͍஫จ͸ଘࡏ͠ͳ͍ɽ݁ՌΛද 7.7 ʹࣔͨ͠ɽ‫͍ͳ੍͕ن‬৔߹͸ɼର৅ͷ஫จ਺
ྔ͕ 270 ͩͬͨͷରͯ͠ɼ஋෯੍‫͕͋ݶ‬Δ৔߹͸ 426 Ͱ͋ͬͨɽ
ୈ 7.3.3 અͰ͸ɼ஋෯੍‫ʹݶ‬͸ςΫχΧϧ౤ࢿ΁੾Γସ͑Δͱ͍͏ֶशΛ͓͑͞ΔޮՌ
͕͋Δ͜ͱΛࣔͨ͠ɽຊઅͰ͸ͦͷޮՌʹՃ͑ɼԼམ଎౓͕མͪΔ͜ͱʹΑΓɼ৽͍͠ϑΝϯμϝϯλϧҎԼͷങ͍஫จ͕ू·Δ·Ͱͷ࣌ؒՔ͗Λ͢Δ͜ͱʹΑͬͯ΋ɼΞϯμʔγϡʔτΛ͓͍͑ͯ͞Δ͜ͱΛࣔͨ͠ɽ

7.3.5 ֶश଎౓ͷ஋෯੍‫ݶ‬ͷޮՌʹ༩͑Δ‫ײ‬Ԡ౓࠷‫ʹޙ‬ɼֶश଎౓ kl ͷ஋෯੍‫ݶ‬ͷޮՌʹ༩͑Δ‫ײ‬Ԡ౓Λௐ΂ͨɽਤ 7.3 ͸ɼ஋෯੍‫͕ݶ‬
͋Δ৔߹ʹ͓͍ͯɼkl Λ͞·͟·ʹมߋͨ͠ͱ͖ͷՁ֨ਪҠͰ͋ΔɽͲͷ kl ʹରͯ͠΋ɼ஋෯੍‫ݶ‬͸ಉ༷ͷޮՌΛ͍ࣔͯ͠Δɽୈ 6.3.3 અͰड़΂ͨΑ͏ʹɼkl ͕େ͖͍ͱ͖͸ɼ৽͍͠ϑΝϯμϝϯλϧՁ֨౸ୡ‫ʹޙ‬ෆ҆ఆʹͳΔ͜ͱ͕෼͔͍ͬͯΔɽਤ 7.3 ʹ͓͍ͯ΋ɼkl = 100 ͷ৔߹͸ɼ৽͍͠ϑΝϯμϝϯλϧՁ֨౸ୡ‫ʹޙ‬ෆ҆ఆʹͳ͍ͬͯΔ͕ɼ‫ن‬੍͕ͳͯ͘΋ൃੜ͢Δ‫ݱ‬৅Ͱ͋Γɼଞͷ kl ͷ৔߹ͱಉ༷ʹɼ஋෯੍‫ݶ‬͸ΞϯμʔγϡʔτΛ๷͍Ͱ͍Δɽ

136

ୈ 7 ষ ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ Iɿ ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌

ද 7.1

֤ࢼߦͷελΠϥΠζυɾϑΝΫτɽ䝣䜯䞁䝎䝯䞁䝍䝹౯᱁୍ᐃ㻌㻔㻌㻩㻌㻝㻜㻘㻜㻜㻜㻌㻕᏶඲✵኎䜚 䜰䝑䝥䝔䜱䝑
್ᖜไ㝈
つไ
䜽
㻡㻚㻟㻥
㻡㻚㻟㻥
㻣㻚㻞㻤
㻥㻚㻟㻣

つไ䛺䛧
ᑤᗘ

䝸䝍䞊䞁䛾䠎஌䛾
⮬ᕫ┦㛵

䝷䜾
㻝
㻞
㻟
㻠
㻡
㻢

䝣䜯䞁䝎䝯䞁䝍䝹౯᱁ᛴⴠ㻌㻔㻌㻩㻌㻝㻜㻘㻜㻜㻜㻌䊻㻌㻣㻘㻜㻜㻜㻌㻕᏶඲✵኎䜚 䜰䝑䝥䝔䜱䝑
್ᖜไ㝈
つไ
䜽
㻠㻚㻥㻢
㻤㻚㻝㻡
㻥㻚㻞㻝
㻥㻚㻞㻣

つไ䛺䛧

㻜㻚㻝㻟
㻜㻚㻝㻝
㻜㻚㻜㻥
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻡

㻜㻚㻝㻞
㻜㻚㻝㻜
㻜㻚㻜㻥
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻡

㻜㻚㻝㻜
㻜㻚㻜㻥
㻜㻚㻜㻣
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻡

㻜㻚㻝㻡
㻜㻚㻝㻞
㻜㻚㻝㻜
㻜㻚㻜㻥
㻜㻚㻜㻤
㻜㻚㻜㻣

㻜㻚㻞㻠
㻜㻚㻞㻝
㻜㻚㻝㻥
㻜㻚㻝㻤
㻜㻚㻝㻤
㻜㻚㻝㻤

㻜㻚㻝㻠
㻜㻚㻝㻟
㻜㻚㻝㻝
㻜㻚㻝㻝
㻜㻚㻝㻜
㻜㻚㻝㻜

㻜㻚㻜㻥
㻜㻚㻜㻥
㻜㻚㻜㻣
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻢

㻜㻚㻝㻤
㻜㻚㻝㻢
㻜㻚㻝㻡
㻜㻚㻝㻠
㻜㻚㻝㻠
㻜㻚㻝㻟

㻡㻡㻑
㻡㻟㻑
㻠㻥㻑
㻠㻣㻑
㻠㻠㻑
㻠㻠㻑

㻡㻡㻑
㻡㻞㻑
㻠㻥㻑
㻠㻣㻑
㻠㻢㻑
㻠㻡㻑

㻡㻞㻑
㻠㻤㻑
㻠㻡㻑
㻠㻝㻑
㻠㻜㻑
㻟㻣㻑

㻣㻜㻑
㻣㻞㻑
㻣㻞㻑
㻣㻝㻑
㻢㻡㻑
㻢㻝㻑

㻡㻡㻑
㻡㻜㻑
㻠㻡㻑
㻠㻜㻑
㻟㻠㻑
㻞㻤㻑

㻡㻡㻑
㻡㻟㻑
㻡㻜㻑
㻠㻤㻑
㻠㻢㻑
㻠㻠㻑

㻡㻝㻑
㻠㻣㻑
㻠㻠㻑
㻠㻝㻑
㻟㻤㻑
㻟㻡㻑

㻣㻜㻑
㻣㻜㻑
㻢㻡㻑
㻡㻞㻑
㻟㻤㻑
㻞㻡㻑

㼕
䝝䝄䞊䝗䝺䞊䝖
㻴㼕

㻝
㻞
㻟
㻠
㻡
㻢

137

7.3 γϛϡϨʔγϣϯ݁Ռ䝣䜯䞁䝎䝯䞁䝍䝹౯᱁୍ᐃ㻌㻔㻩㻝㻜㻘㻜㻜㻜㻕㻌
つไ䛺䛧㻌
್ᖜไ㝈㻌
᏶඲✵኎䜚つไ㻌䜰䝑䝥䝔䜱䝑䜽䞉䝹䞊䝹㻌㻝㻜㻘㻡㻜㻜
㻝㻜㻘㻠㻜㻜
㻝㻜㻘㻟㻜㻜
౯᱁㻌㻝㻜㻘㻞㻜㻜
㻝㻜㻘㻝㻜㻜
㻝㻜㻘㻜㻜㻜

㻥㻜㻜㻘㻜㻜㻜

㻤㻜㻜㻘㻜㻜㻜

㻣㻜㻜㻘㻜㻜㻜

㻢㻜㻜㻘㻜㻜㻜

㻡㻜㻜㻘㻜㻜㻜

㻠㻜㻜㻘㻜㻜㻜

㻟㻜㻜㻘㻜㻜㻜

㻞㻜㻜㻘㻜㻜㻜

㻝㻜㻜㻘㻜㻜㻜

㻥㻘㻤㻜㻜

㻜

㻥㻘㻥㻜㻜

᫬้㻌
ਤ 7.1

ϑΝϯμϝϯλϧՁ֨Ұఆ (=10,000) ͷͱ͖ͷՁ֨ਪҠɽ

138

ୈ 7 ষ ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ Iɿ ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌䝣䜯䞁䝎䝯䞁䝍䝹౯᱁ᛴⴠ᫬㻌㻔㻩㻝㻜㻘㻜㻜㻜䊻㻣㻘㻜㻜㻜㻕㻌㻝㻜㻘㻡㻜㻜

つไ䛺䛧㻌

㻥㻘㻡㻜㻜

್ᖜไ㝈㻌

㻥㻘㻜㻜㻜

᏶඲✵኎䜚つไ㻌㻤㻘㻡㻜㻜䜰䝑䝥䝔䜱䝑䜽䞉䝹䞊䝹㻌㻤㻘㻜㻜㻜䝣䜯䞁䝎䝯䞁䝍䝹౯᱁㻌

㻣㻘㻡㻜㻜
㻣㻘㻜㻜㻜

㻥㻜㻜㻘㻜㻜㻜

㻤㻜㻜㻘㻜㻜㻜

㻣㻜㻜㻘㻜㻜㻜

㻢㻜㻜㻘㻜㻜㻜

㻡㻜㻜㻘㻜㻜㻜

㻠㻜㻜㻘㻜㻜㻜

㻟㻜㻜㻘㻜㻜㻜

㻞㻜㻜㻘㻜㻜㻜

㻢㻘㻜㻜㻜㻝㻜㻜㻘㻜㻜㻜

㻢㻘㻡㻜㻜
㻜

౯᱁㻌

㻝㻜㻘㻜㻜㻜᫬้㻌
ਤ 7.2ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌ (=10,000 ˠ 7,000) ͷͱ͖ͷՁ֨ਪҠɽ

139

7.3 γϛϡϨʔγϣϯ݁Ռᡓ␎䛤䛸䛾ྜィ䜴䜶䜲䝖㻔つไ䛺䛧㻕㻌
㻝㻜㻑

㻝㻜㻜㻑

㻢㻑
㻥㻜㻑

㻠㻑
㻤㻡㻑

㻥㻜㻜㻘㻜㻜㻜

㻤㻜㻜㻘㻜㻜㻜

㻣㻜㻜㻘㻜㻜㻜

㻢㻜㻜㻘㻜㻜㻜

㻡㻜㻜㻘㻜㻜㻜

㻠㻜㻜㻘㻜㻜㻜

㻟㻜㻜㻘㻜㻜㻜

㻞㻜㻜㻘㻜㻜㻜

㻜㻑㻝㻜㻜㻘㻜㻜㻜

㻞㻑᫬้㻌䝣䜯䞁䝎䝯䞁䝍䝹ᡂศྜィ䜴䜶䜲䝖䠄ᕥ㍈䠅㻌䝔䜽䝙䜹䝹ᡂศྜィ䜴䜶䜲䝖䠄ྑ㍈䠅㻌
ਤ 7.3‫͍ͳ੍͕ن‬৔߹ͷઓུ͝ͱͷ߹‫ܭ‬΢ΤΠτਪҠɽ㻤㻜㻑䜴䜶䜲䝖㻔䝔䜽䝙䜹䝹㻕㻌㻥㻡㻑㻜䜴䜶䜲䝖㻔䝣䜯䞁䝎䝯䞁䝍䝹㻕㻌

㻤㻑

140

ୈ 7 ষ ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ Iɿ ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌ᡓ␎䛤䛸䛾ྜィ䜴䜶䜲䝖㻔್ᖜไ㝈㻕㻌
㻝㻠㻑

㻝㻜㻜㻑

㻤㻑
㻥㻜㻑

㻢㻑
㻠㻑

㻤㻡㻑

㻥㻜㻜㻘㻜㻜㻜

㻤㻜㻜㻘㻜㻜㻜

㻣㻜㻜㻘㻜㻜㻜

㻢㻜㻜㻘㻜㻜㻜

㻡㻜㻜㻘㻜㻜㻜

㻠㻜㻜㻘㻜㻜㻜

㻟㻜㻜㻘㻜㻜㻜

㻞㻜㻜㻘㻜㻜㻜

㻜㻑㻝㻜㻜㻘㻜㻜㻜

㻞㻑᫬้㻌䝣䜯䞁䝎䝯䞁䝍䝹ᡂศྜィ䜴䜶䜲䝖䠄ᕥ㍈䠅㻌䝔䜽䝙䜹䝹ᡂศྜィ䜴䜶䜲䝖䠄ྑ㍈䠅㻌
ਤ 7.4஋෯੍‫͕͋ݶ‬Δ৔߹ͷઓུ͝ͱͷ߹‫ܭ‬΢ΤΠτਪҠɽ㻤㻜㻑䜴䜶䜲䝖㻔䝔䜽䝙䜹䝹㻕㻌

㻥㻡㻑

㻝㻜㻑

㻜

䜴䜶䜲䝖㻔䝣䜯䞁䝎䝯䞁䝍䝹㻕㻌

㻝㻞㻑

141

7.3 γϛϡϨʔγϣϯ݁Ռ㈙䛔ὀᩥᩘ㔞

ᐃ᫬้

10,500つไ䛺䛧್ᖜไ㝈䝣䜯䞁䝎䝯䞁䝍䝹౯᱁

10,000
9,500
౯᱁

9,000

8,500
8,000
7,500
7,000
6,500
250,000

200,000

150,000

100,000

50,000

0

6,000

᫬้
ਤ 7.5

৽͍͠ϑΝϯμϝϯλϧՁ֨ҎԼɼՁ֨ 6,500 Ҏ্ͷങ͍஫จྔΛଌఆ͢Δ࣌ࠁɽ

142

ୈ 7 ষ ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ Iɿ ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌

ද 7.2

৽͍͠ϑΝϯμϝϯλϧՁ֨ҎԼɼՁ֨ 6,500 Ҏ্ͷങ͍஫จྔɽ

౯᱁㻢㻘㻡㻜㻜௨ୖ
䛾㈙䛔ὀᩥ䛾ᩘつไ䛺䛧౯᱁㻣㻘㻜㻜㻜฿㐩᫬್ᖜไ㝈䛒䜚
౯᱁㻣㻘㻜㻜㻜௨ୗ䛾ไ㝈ゎ㝖᫬

㻞㻣㻜

㻠㻞㻢

143

kl=0
kl=1
kl=4
kl=10
kl=40

900,000

800,000

700,000

600,000

500,000

400,000

300,000

200,000

kl=100100,000

10,50010,000
9,500
9,000
8,500
8,000
7,500
7,000
6,500
6,000

klឤᛂᗘ䠖 ್ᖜไ㝈䛒䜚0౯᱁

7.3 γϛϡϨʔγϣϯ݁Ռ

᫬้
ਤ 7.6

஋෯੍‫͕͋ݶ‬Δ৔߹ʹ͓͍ͯɼkl Λ͞·͟·ʹมߋͨ͠ͱ͖ͷՁ֨ਪҠɽ

144

ୈ 7 ষ ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ Iɿ ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌

7.4 ࠷దͳ஋෯੍‫ݶ‬࣍ʹɼ࠷దͳ ΔPpl , tpl ͷ૊Έ߹ΘͤΛٞ࿦͢Δɽ஋෯੍‫ݶ‬͸ɼ৽͍͠ϑΝϯμϝϯλ
ϧՁ֨ʹ౸ୡ͢Δ·Ͱͷ͕࣌ؒ௕͘ͳͬͯ͠·͏୅ΘΓʹɼΞϯμʔγϡʔτͷൃੜΛ͓͑͞Δɽ࠷΋ࢢ৔͕ޮ཰తͳͷ͸ɼ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹॠ࣌ʹ౸ୡ͠ɼ͔ͭɼ
Ξϯμʔγϡʔτ͕શ͘ൃੜ͠ͳ͍ঢ়ଶͰ͋Δɽ͔͠͠ɼ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹ
౸ୡ͢Δ࣌ؒΛ୹͘͢Δ͜ͱͱɼΞϯμʔγϡʔτΛখ͘͢͞Δ͜ͱ͸ɼཱ྆͠ͳ͍ɽͦ
ͷͨΊɼେ͖ͳΞϯμʔγϡʔτ͕ൃੜ͠ͳ͍ൣғ಺ͰͳΔ΂͘ૣ͘৽͍͠ϑΝϯμϝϯ
λϧՁ֨ʹ౸ୡ͢Δ ΔPpl , tpl ͷ૊Έ߹ΘͤΛ‫͚ͭݟ‬Δ͜ͱ͕ॏཁͰ͋Δɽ
ද 7.3 ͸ ΔPpl , tpl Λ͞·͟·ͳ஋ʹม͑ͨ৔߹ͷՁ֨ͷ࠷খ஋͔Β৽͍͠ϑΝϯμϝ
ϯλϧՁ֨ 7, 000 ΛҾ͍ͨ஋ (৽͍͠ϑΝϯμϝϯλϧՁ֨Λ௨Γӽͯ͠Լམͨ͠෦෼ͷՁ֨) Λɼද 7.4 ͸৽͍͠ϑΝϯμϝϯλϧՁ֨ʹมΘ͔ͬͯΒ࣮ࡍʹՁ͕֨৽͍͠ϑΝϯμϝϯλϧՁ֨ʹ౸ୡ͢Δ·Ͱͷ࣌ؒͷ 1,000 ෼ͷ 1 Ͱ͋Δɽԣʹ͞·͟·ʹมԽͤͨ͞ tpl Λɼॎʹ ΔPpl Λࣔͨ͠ɽ·ͨɼ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹ౸ୡ͢Δͷʹ

600, 000 εςοϓҎ্͔͔ͬͨ৔߹͸ “—”Λදࣔͨ͠ɽ
ද 7.3 ͕ࣔ͢Α͏ʹ tpl ͕௕͘ͳΔ΄ͲɼΔPpl ͕খ͘͞ͳΔ΄ͲΞϯμʔγϡʔτ͕͓͑͞ΒΕ͍ͯΔɽද 7.4 ͸‫ ʹٯ‬tpl ͕୹͘ͳΔ΄ͲɼΔPpl ͕େ͖͘ͳΔ΄Ͳ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹૣ͘౸ୡ͓ͯ͠ΓɼࠨԼͷྖҬͰ͸໿ 39, 000 ͷ஋Λͱ͍ͬͯͯ΄ͱΜͲมԽ͕ͳ͍ɽ͜Ε͸ɼ஋෯੍‫͔ͨͬͳ͕ݶ‬৔߹ͷ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹ౸ୡ͢Δͷʹ͔͔Δ࣌ؒͱಉ͡Ͱ͋Δɽ
Ձ͕֨ 3,000 Լམ͢Δͷʹ 39,000 εςοϓ͔͔͍ͬͯΔͨΊɼ࣌ؒ 1 ͋ͨΓͷԼམՁ֨ v ͸ v = 3, 000/39, 000  0.077 Ͱ͋Δɽද 7.3ɼද 7.4 ʹ͔͚ͨӨͷ෦෼͸ɼ

ΔPpl< v  0.077
tpl

(7.2)

ΛΈͨ͢ྖҬͰ͋Δɽ͜ͷྖҬͰ͸Ξϯμʔγϡʔτ͕͓͑͞ΒΕ͍ͯΔ͜ͱ͕෼͔Δɽͭ·Γɼࣜ 7.2 ͸ΞϯμʔγϡʔτΛ͓͑͞Δ͜ͱ͕ग़དྷΔ஋෯੍‫ݶ‬ͷ৚݅Ͱ͋Δɽ͢ͳΘͪɼΞϯμʔγϡʔτΛ͓͑͞ΔͨΊʹ͸ɼΔPpl /tpl ͕Ձ֨Լམ଎౓ΑΓখ͍͞ඞཁ͕
͋Δɽ͔֬ʹɼࠨล͕খ͚͞Ε͹খ͍͞΄ͲʢTable ͷӈ্ʹߦ͚͹ߦ͘΄ͲʣΞϯμʔγϡʔτ͸খ͘͞ͳΔ͕ɼ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹ౸ୡ͢Δͷʹ͔͔Δ͕࣌ؒԆͼͯͱ͍͏఺ʹ͓͍ͯ͸ࢢ৔ͷޮ཰ੑ͕௿Լ͍ͯ͠Δɽࣜ 7.2 Λຬͨͭͭ͠΋ɼࠨล͕খ͞
͗͢ͳ͍஋෯੍‫͢ʹݶ‬Δ͜ͱ͕ɼ੍౓Λઃ‫͢ܭ‬Δ্ͰॏཁͰ͋Δɽ
ਤ 7.7 ͸ ΔPpl /tpl ͕ಉ͡Ͱ͋ΔɼΔPpl = 200, tpl = 5ɼΔPpl = 2, 000, tpl = 50ɼ

ΔPpl = 20, 000, tpl = 500 ͷͱ͖ͷՁ֨ͷਪҠͰ͋Δɽ͜Ε·Ͱड़΂͖ͯͨΑ͏ʹɼද
7.3ɼද 7.4ɼࣜ 7.2 Λ‫ݟ‬ΔͱɼΔPpl /tpl ͕ҰఆͰ͋Ε͹Ձ֨ͷਪҠ͸ಉ༷͡ͳ΋ͷͱͳΔ

145

7.4 ࠷దͳ஋෯੍‫ݶ‬ͱࢥΘΕΔɽ͔͠͠ɼਤ 7.7 ͷ ΔPpl = 200, tpl = 5 ͷ৔߹͸ɼՁ֨ͷԼམ͸Θ͔ͣͰ͋ΓɼγϛϡϨʔγϣϯ࣮ߦ‫( ؒظ‬t = 500, 000) ·Ͱʹ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹ౸ୡ͍ͯ͠ͳ͍ɽ͜Ε͸ɼͨͱ͑ ΔPpl /tpl ͕খͯ͘͞΋ɼΔPpl ͱ tpl ͕͋·Γʹ΋খ͍͞৔߹͸ɼ৽͍͠ϑΝϯμϝϯλϧՁ֨΁౸ୡ͢Δ͜ͱΛ๦͛ࢢ৔͕ஶ͘͠ޮ཰ੑΛࣦ͏͜ͱ͕෼͔ͬͨɽ
ද 7.5 ͸͞·͟·ͳখ͍͞ ΔPpl , tpl ʹ͓͍ͯɼ100 ճͷγϛϡϨʔγϣϯࢼߦதͲΕ͘Β͍ͷׂ߹ͷࢼߦͰɼγϛϡϨʔγϣϯ࣮ߦ‫( ಺ؒظ‬t = 500, 000) ʹ৽͍͠ϑΝϯμϝ
ϯλϧՁ֨ʹ౸ୡ͔ͨ͠Λࣔͨ͠ɽ·ͨɼtpl ͝ͱʹɼ‫ ؒظ‬tpl Ͱଌఆͨ͠Ձ֨ͷಅམ෯ͷඪ४ภࠩɼΣtpl Λࣔͨ͠ɽӨͷ͍ͭͨྖҬ͸ɼࣜ 7.2ɼΔPpl /tpl < v ɼΛΈͨ͢ྖҬͰ͋
Δɽද 7.5 ͕ࣔ͢Α͏ʹɼ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹ౸ୡ͢Δ͔Ͳ͏͔͸ɼࣜ 7.2 ͱ͸ؔ܎͕ͳ͍Α͏ʹΈ͑ΔɽҰํɼ࣮ઢͷӈ্͸ ΔPpl < Σtpl Λຬͨ͢ྖҬͰ͋Δ͕ɼ͜ͷྖҬͰ͸৽͍͠ϑΝϯμϝϯλϧՁ֨ʹऩଋ͍ͯ͠ͳ͍ɽ͢ͳΘͪɼࢢ৔Λޮ཰తʹ͢
Δ஋෯੍‫ݶ‬ͷ৚݅͸ɼࣜ 7.2 ͚ͩͰͳ͘

ΔPpl > Σtpl

(7.3)

΋ຬͨ͢ඞཁ͕͋Δɽ͜Ε͸ ΔPpl ͕‫ ؒظ‬tpl Ͱଌఆ͞Εͨಅམ෯ͷඪ४ภࠩΑΓେ͖͍ͱ͍͏͜ͱɼ͢ͳΘͪɼฏৗ࣌ʹ͓͍ͯ͸஋෯੍‫ʹݶ‬఍৮͢Δ‫ػ‬ձ͕ଟ͗͢ͳ͍͜ͱ͕ඞ
ཁͰ͋Δ͜ͱΛ͍ࣔͯ͠Δɽ

146

ୈ 7 ষ ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ Iɿ ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌

ද 7.3

ΔPpl , tpl Λ͞·͟·ͳ஋ʹม͑ͨ৔߹ͷՁ֨ͷ࠷খ஋͔Β৽͍͠ϑΝϯμϝ
ϯλϧՁ֨ 7, 000 ΛҾ͍ͨ஋ (৽͍͠ϑΝϯμϝϯλϧՁ֨Λ௨Γӽͯ͠Լམͨ͠෦෼
ͷՁ֨)ɽ
᭱ᑠ౯᱁
㻌㻙㻌᪂䝣䜯䞁䝎䝯䞁䝍䝹౯᱁
㻝㻜㻜
㻞㻜㻜
㻟㻜㻜
㻠㻜㻜
㻡㻜㻜
㻣㻜㻜
䏓㻼㼜㼘
㻝㻘㻜㻜㻜
㻝㻘㻡㻜㻜
㻞㻘㻜㻜㻜
㻞㻘㻡㻜㻜
㻟㻘㻜㻜㻜

㼠㼜㼘
㻝㻘㻜㻜㻜
㻙㻝㻘㻜㻢㻠
㻙㻝㻘㻝㻤㻜
㻙㻝㻘㻞㻝㻟
㻙㻝㻘㻝㻡㻠
㻙㻝㻘㻝㻤㻜
㻙㻝㻘㻝㻟㻠
㻙㻝㻘㻝㻠㻝
㻙㻝㻘㻝㻣㻞
㻙㻝㻘㻝㻡㻣
㻙㻝㻘㻝㻟㻣
㻙㻝㻘㻝㻠㻢㻞㻘㻜㻜㻜㻙㻡㻠㻢㻙㻝㻘㻝㻠㻝
㻙㻝㻘㻝㻡㻥
㻙㻝㻘㻝㻠㻜
㻙㻝㻘㻝㻥㻤
㻙㻝㻘㻝㻠㻤
㻙㻝㻘㻝㻝㻞
㻙㻝㻘㻝㻥㻢
㻙㻝㻘㻝㻟㻡
㻙㻝㻘㻝㻣㻞
㻙㻝㻘㻝㻤㻤

㻟㻘㻜㻜㻜
㻙㻟㻝㻞
㻙㻤㻟㻡
㻙㻝㻘㻝㻟㻢
㻙㻝㻘㻝㻢㻥
㻙㻝㻘㻝㻡㻝
㻙㻝㻘㻝㻣㻝
㻙㻝㻘㻞㻜㻞
㻙㻝㻘㻞㻜㻥
㻙㻝㻘㻝㻢㻢
㻙㻝㻘㻝㻟㻞
㻙㻝㻘㻝㻝㻤

㻠㻘㻜㻜㻜
㻙㻞㻝㻠
㻙㻡㻠㻜
㻙㻥㻜㻤
㻙㻝㻘㻝㻣㻡
㻙㻝㻘㻞㻞㻤
㻙㻝㻘㻝㻣㻜
㻙㻝㻘㻝㻢㻥
㻙㻝㻘㻝㻡㻣
㻙㻝㻘㻝㻢㻥
㻙㻝㻘㻝㻡㻢
㻙㻝㻘㻝㻠㻢

㻡㻘㻜㻜㻜
㻙㻝㻡㻡
㻙㻠㻜㻡
㻙㻣㻜㻞
㻙㻥㻡㻤
㻙㻝㻘㻜㻥㻠
㻙㻝㻘㻝㻟㻡
㻙㻝㻘㻝㻠㻤
㻙㻝㻘㻝㻤㻝
㻙㻝㻘㻝㻡㻣
㻙㻝㻘㻝㻞㻜
㻙㻝㻘㻝㻢㻜

㻣㻘㻜㻜㻜 㻝㻜㻘㻜㻜㻜 㻝㻡㻘㻜㻜㻜 㻞㻜㻘㻜㻜㻜 㻞㻡㻘㻜㻜㻜 㻟㻜㻘㻜㻜㻜
㻙㻝㻝㻝
㻙㻢㻥
㻙㻠㻢
㻙㻙
㻙㻙
㻙㻙
㻙㻞㻟㻠 㻙㻝㻠㻥
㻙㻤㻤
㻙㻢㻢
㻙㻡㻟
㻙㻠㻜
㻙㻠㻠㻝 㻙㻞㻡㻤 㻙㻝㻠㻠 㻙㻝㻜㻡㻙㻣㻟㻙㻡㻝㻙㻢㻟㻞 㻙㻟㻥㻥 㻙㻝㻡㻢 㻙㻝㻜㻡㻙㻣㻤㻙㻣㻠㻙㻤㻞㻜 㻙㻡㻞㻤 㻙㻞㻤㻞 㻙㻝㻥㻡 㻙㻝㻟㻣㻙㻢㻡㻙㻝㻘㻝㻞㻞 㻙㻣㻣㻠 㻙㻠㻤㻝 㻙㻞㻜㻝 㻙㻝㻜㻡㻙㻣㻠㻙㻝㻘㻝㻥㻝 㻙㻝㻘㻝㻥㻥 㻙㻣㻞㻢 㻙㻡㻢㻝 㻙㻟㻢㻝 㻙㻝㻟㻞㻙㻝㻘㻝㻤㻢 㻙㻝㻘㻝㻢㻡 㻙㻝㻘㻝㻤㻥 㻙㻤㻠㻝 㻙㻣㻡㻡 㻙㻟㻣㻥㻙㻝㻘㻝㻢㻠 㻙㻝㻘㻝㻠㻣 㻙㻝㻘㻝㻠㻟 㻙㻝㻘㻝㻢㻜 㻙㻣㻤㻤 㻙㻡㻠㻜㻙㻝㻘㻝㻢㻠 㻙㻝㻘㻝㻡㻤 㻙㻝㻘㻝㻝㻞 㻙㻝㻘㻝㻤㻢 㻙㻝㻘㻝㻠㻠 㻙㻥㻝㻜㻙㻝㻘㻝㻡㻤 㻙㻝㻘㻝㻜㻤 㻙㻝㻘㻝㻞㻢 㻙㻝㻘㻝㻟㻝 㻙㻝㻘㻝㻟㻝 㻙㻝㻘㻝㻠㻥

7.4 ࠷దͳ஋෯੍‫ݶ‬

ද 7.4

৽͍͠ϑΝϯμϝϯλϧՁ֨ʹมΘ͔ͬͯΒ࣮ࡍʹՁ͕֨৽͍͠ϑΝϯμϝϯ

λϧՁ֨ʹ౸ୡ͢Δ·Ͱͷ࣌ؒͷ 1,000 ෼ͷ 1ɽ᪂䝣䜯䞁䝎䝯䞁䝍䝹౯᱁㼠㼜㼘฿㐩ᡤせ᫬㛫㻌㻔㼤㻌㻝㻜㻜㻜㻕㻝㻘㻜㻜㻜 㻞㻘㻜㻜㻜 㻟㻘㻜㻜㻜 㻠㻘㻜㻜㻜 㻡㻘㻜㻜㻜 㻣㻘㻜㻜㻜 㻝㻜㻘㻜㻜㻜 㻝㻡㻘㻜㻜㻜 㻞㻜㻘㻜㻜㻜 㻞㻡㻘㻜㻜㻜 㻟㻜㻘㻜㻜㻜
㻝㻜㻜
㻠㻜
㻢㻡
㻥㻠 㻝㻞㻢 㻝㻡㻥 㻞㻞㻟
㻟㻞㻡
㻠㻣㻥
㻙㻙
㻙㻙
㻙㻙
㻞㻜㻜
㻟㻥
㻟㻥
㻡㻜
㻢㻠
㻣㻤 㻝㻜㻥
㻝㻡㻡
㻞㻟㻝
㻟㻜㻢
㻟㻤㻜
㻠㻡㻡
㻟㻜㻜
㻟㻥
㻟㻥
㻟㻥
㻠㻢
㻡㻡
㻣㻟
㻝㻜㻟
㻝㻡㻡
㻞㻜㻠
㻞㻡㻠
㻟㻜㻟
㻠㻜㻜
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻠㻠
㻡㻣
㻣㻤
㻝㻞㻜
㻝㻡㻤
㻝㻥㻤
㻞㻟㻢
㻡㻜㻜
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻠㻤
㻢㻠
㻥㻡
㻝㻞㻠
㻝㻡㻞
㻝㻤㻜
㻣㻜㻜
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻠㻤
㻢㻣
㻥㻞
㻝㻝㻣
㻝㻠㻟
䏓㻼㼜㼘
㻝㻘㻜㻜㻜
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻡㻜
㻢㻠
㻣㻣
㻥㻝
㻝㻘㻡㻜㻜
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻠㻢
㻡㻟
㻢㻝
㻞㻘㻜㻜㻜
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻠㻡
㻡㻠
㻞㻘㻡㻜㻜
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻠㻝
㻟㻘㻜㻜㻜
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥
㻟㻥

147

148

ୈ 7 ষ ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ Iɿ ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌

Δ 㻼㼜㼘䠈㼠㼜㼘䛜ᑠ䛥䛔ሙྜ㻌㼠㼜㼘㻩㻞㻜㻜㻘㻌䏓㻼㼜㼘㻩㻡㻌㻝㻝㻘㻜㻜㻜

㼠㼜㼘㻩㻞㻘㻜㻜㻜㻘㻌䏓㻼㼜㼘㻩㻡㻜㻌㼠㼜㼘㻩㻞㻜㻘㻜㻜㻜㻌䏓㻼㼜㼘㻩㻡㻜㻜㻌౯᱁㻌㻝㻜㻘㻜㻜㻜㻥㻘㻜㻜㻜㻤㻘㻜㻜㻜㻠㻡㻜㻘㻜㻜㻜

㻠㻜㻜㻘㻜㻜㻜

㻟㻡㻜㻘㻜㻜㻜

㻟㻜㻜㻘㻜㻜㻜

㻞㻡㻜㻘㻜㻜㻜

㻞㻜㻜㻘㻜㻜㻜

㻝㻡㻜㻘㻜㻜㻜

㻝㻜㻜㻘㻜㻜㻜

㻡㻜㻘㻜㻜㻜

㻢㻘㻜㻜㻜

㻜

㻣㻘㻜㻜㻜

᫬้㻌
ਤ 7.7

ΔPpl /tpl ͕ಉ͡Ͱ͋ΔɼΔPpl = 200, tpl = 5ɼΔPpl = 2, 000, tpl = 50ɼ
ΔPpl = 20, 000, tpl = 500 ͷͱ͖ͷՁ֨ͷਪҠɽ

149

7.4 ࠷దͳ஋෯੍‫ݶ‬

ද 7.5

͞·͟·ͳখ͍͞ ΔPpl , tpl ʹ͓͍ͯɼ100 ճͷγϛϡϨʔγϣϯࢼߦதͲΕ͘Β͍ͷׂ߹ͷࢼߦͰɼγϛϡϨʔγϣϯ࣮ߦ‫( ಺ؒظ‬t = 500, 000) ʹ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹ౸ୡ͔ͨ͠ɽΣtpl ͸ɼ‫ ؒظ‬tpl ͷՁ֨ͷಅམ෯ͷඪ४ภࠩɽ
᪂䛧䛔䝣䜯䞁䝎䝯䞁䝍䝹
౯᱁฿㐩⋡
Σ 㼠㼜㼘

䏓㻼㼜㼘

㻝
㻞
㻡
㻝㻜
㻞㻜
㻡㻜
㻝㻜㻜

㻡
㻜㻚㻢
㻜㻑
㻜㻑
㻤㻠㻑
㻥㻥㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑

㻝㻜
㻝㻚㻟
㻜㻑
㻜㻑
㻤㻟㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑

㻞㻜
㻝㻚㻤
㻜㻑
㻜㻑
㻤㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑

㻡㻜
㻞㻚㻡
㻜㻑
㻜㻑
㻤㻣㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑

㼠㼜㼘
㻝㻜㻜
㻟㻚㻣
㻜㻑
㻜㻑
㻞㻑
㻥㻥㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑

㻞㻜㻜
㻠㻚㻥
㻜㻑
㻜㻑
㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑

㻡㻜㻜
㻢㻚㻝
㻜㻑
㻜㻑
㻜㻑
㻞㻡㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑

㻝㻘㻜㻜㻜
㻣㻚㻢
㻜㻑
㻜㻑
㻜㻑
㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑

㻞㻘㻜㻜㻜
㻤㻚㻢
㻜㻑
㻜㻑
㻜㻑
㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑

㻡㻘㻜㻜㻜
㻝㻜㻚㻟
㻜㻑
㻜㻑
㻜㻑
㻜㻑
㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑

150

ୈ 7 ষ ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ Iɿ ϑΝϯμϝϯλϧՁ֨‫ٸ‬མ࣌

7.5 ·ͱΊͱࠓ‫ޙ‬ͷ՝୊ຊষͰ͸ɼୈ 5 ষͰड़΂ͨϕʔεϞσϧʹୈ 6 ষͰड़΂ֶͨशϓϩηεΛՃ͑ͨਓ޻ࢢ
৔ϞσϧΛ༻͍ͯɼ஋෯੍‫׬ͱݶ‬શۭചΓ‫੍ن‬ɼ͓ΑͼΞοϓςΟοΫɾϧʔϧͷޮՌΛൺֱͨ͠ɽฏৗ࣌ʹ૬౰͢ΔϑΝϯμϝϯλϧՁ͕֨Ұఆͷ৔߹ͱɼόϒϧ่յ࣌ʹ૬౰͢ΔϑΝϯμϝϯλϧՁ͕֨‫ٸ‬མͨ͠৔߹ʹ͍ͭͯ෼ੳΛߦ͍ɼ֤‫੍͕ن‬ฏৗ࣌ͱόϒϧ่յ࣌ʹࢢ৔ͷޮ཰ੑΛߴΊΔ͔ɼ·ͨ͸ޮ཰ੑΛԼ͛ͯ͠·͏ͷ͔Λ‫ݕ‬౼ͨ͠ɽͦͷ݁Ռɼ‫͍ͳ੍͕ن‬৔߹ʹόϒϧ่յ͕͓͜ΔͱϑΝϯμϝϯλϧՁ֨ΑΓ΋͞ΒʹՁ͕֨Լམ͢Δͱ͍͏Ξϯμʔγϡʔτ͕ൃੜ͢Δ͜ͱ͕෼͔ͬͨɽҰํɼ‫੍͕͋ن‬Δ৔
߹͸Ξϯμʔγϡʔτ͕ൃੜͤͣࢢ৔ͷޮ཰ੑ͕ߴ·Δ͜ͱ͕෼͔ͬͨɽ͔͠͠ɼ‫׬‬શۭചΓ‫ͱ੍ن‬ΞοϓςΟοΫɾϧʔϧ͸ฏৗ࣌ʹɼׂߴͳՁ֨Ͱ͔͠औҾ͞Εͳ͍ͱ͍͏෭
࡞༻Λ΋͍ͬͯΔ͜ͱ͕෼͔ͬͨɽ͜ΕΒΛ૯߹͢Δͱɼ஋෯੍‫͕ݶ‬ฏৗ࣌ͷ෭࡞༻΋ແ͘ɼ΋ͬͱ΋ࢢ৔ͷޮ཰ੑΛߴΊΔՄೳੑ͕͋Δ͜ͱΛࣔͨ͠ɽ͜ͷ݁Ռ͸࣮ূ෼ੳ [େ෿ 12] ͱ΋੔߹తͳ݁ՌͰ͋Γɼຊ‫ࢢ݊ূ͕ڀݚ‬৔ͷ੍౓ɾ‫ͭ̍ͯؔ͠ʹ੍ن‬ͷ‫ํݟ‬ΛఏࣔͰ͖ͨͱߟ͍͑ͯΔɽ͞Βʹɼ࠷దͳ஋෯੍‫ݶ‬ͷύϥϝʔλΛٞ࿦ͨ͠ɽΞϯμʔγϡʔτΛ๷͗ͭͭɼͳΔ΂͘ૣ͘ϑΝϯμϝϯλϧՁ֨ʹ౸ୡͤ͞Δ஋෯੍‫ݶ‬ͷύϥϝʔλ৚݅ࣜ 7.2ɼ͓Αͼɼ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹऩଋ͢Δ৚݅ࣜ 7.3 Λಋ͍ͨɽ͜ΕΒͷࣜ͸ࢢ৔Λޮ཰తͳ΋ͷʹ͢ΔͨΊʹ͸ɼΞϯμʔγϡʔτΛ͓͑͞ΔͨΊʹɼ

ΔPpl /tpl ͕Ձ֨Լམ଎౓ΑΓখ͍͜͞ͱ͕ඞཁ͕͋Γɼ͔ͭɼ৽͍͠ϑΝϯμϝϯλϧ
Ձ֨ʹऩଋ͢ΔͨΊʹɼΔPpl ͸‫ ؒظ‬tpl Ͱଌఆ͞Εͨಅམ෯ͷඪ४ภࠩΑΓ΋େ͖͍͜ͱɼ͢ͳΘͪɼฏৗ࣌ʹ͓͍ͯ͸஋෯੍‫ʹݶ‬఍৮͢Δ‫ػ‬ձ͕ଟ͗͢ͳ͍͜ͱ͕ඞཁͰ͋Δ
͜ͱΛࣔͨ͠ɽ
ࠓ‫ޙ‬ͷ՝୊ʹ͍ͭͯड़΂Δɽຊ‫ֶ͍ͨ༻Ͱڀݚ‬शϞσϧ͸ɼ‫͍ͳ੍͕ن‬৔߹ʹ͓͍ͯଥ౰ੑΛٞ࿦ͨ͠ͱߟ͑ΒΕΔɽ͔͠͠ɼΤʔδΣϯτ͕‫੍ن‬ͷଘࡏΛߟྀ͍ͯ͠ͳֶ͍श
Ϟσϧͱͳ͓ͬͯΓɼ࣮ࡍͷۚ༥ࢢ৔ʹ͓͍ͯ‫੍͕͋ن‬Δ͜ͱΛे෼஌͍ͬͯΔ౤ࢿՈߦಈΛද‫͍ͳ͍͖ͯͰݱ‬Մೳੑ͕͋Δɽຊ‫Ͱڀݚ‬͸·ͣɼ‫͍ͳ੍͕ن‬৔߹Ͱଥ౰Ͱ͋Δͱߟ͑ΒΕΔֶशϞσϧΛ‫੍͕͋ن‬Δ৔߹ʹ΋༻͍ɼͲͷ৔߹ʹ͓͍ͯ΋ಉֶ͡शϞσϧΛ༻
͍Δ͜ͱʹΑͬͯൺֱ͠΍͍͢͜ͱʹॏ఺Λ͓͍ͨɽ‫੍͕͋ن‬Δ৔߹ʹ౤ࢿՈ͕ͲͷΑ͏ͳֶशΛߦ͏ͷ͔͸ྑ͘Θ͔͓ͬͯΒͣϞσϧԽʹ͸ଟ͘ͷٞ࿦͕ඞཁͰ͋Δͱߟ͑ΒΕ
Δɽྫ͑͹ɼ஋෯੍‫ݶ‬ͷ৔߹͸ɼ‫ʹ੍ن‬ΑͬͯՁ֨มಈ͕ఀࢭ͍ͯ͠Δ‫ؒظ‬Λআ͍ͯա‫ڈ‬ϦλʔϯΛ‫͢ࢉܭ‬ΔͳͲͷߟྀΛ͢ΔՄೳੑ͸͔֬ʹ͋Δɽ͔͠͠ɼಉ༷ͷ͜ͱΛۭചΓ‫ͱ͜͏ߦͰ੍ن‬ɼͭ·Γ‫͔ͨͬͳ੍͕ن‬৔߹ͷՁ֨Լམ଎౓Λߟ͑ΔͳͲ͸ɼ‫࣮ݱ‬ͷۚ༥ࢢ৔Ͱ͸ࠔ೉Ͱ͋Δͱ΋ߟ͑ΒΕΔɽ
·ͨɼࢢ৔ࠞཚ࣌͸ฏৗ࣌ΑΓ΋ϘϥςΟϦςΟ্͕ঢ͢Δ͜ͱ͕޿͘஌ΒΕ͍ͯ

7.5 ·ͱΊͱࠓ‫ޙ‬ͷ՝୊

151

Δ [ฏ໦ 12]ɽຊ‫Ͱڀݚ‬͸ɼϑΝϯμϝϯλϧՁ֨ͷ‫ٸ‬མલ‫ͦͰޙ‬ͷଞͷύϥϝʔλΛҰఆʹ͓ͯ͠ΓɼϘϥςΟϦςΟ͕มԽ͢ΔΑ͏ͳޮՌΛೖΕ͍ͯͳ͍ɽྫ͑͹ɼ౤ࢿՈ͕
༧૝͢ΔϑΝϯμϝϯλϧՁ֨ͷ෯Λେ͖͘͢Δ (σ Λ্ঢͤ͞Δ) ͜ͱʹΑΓϘϥςΟ
ϦςΟΛ্ঢͤ͞Δ͜ͱ͕Ͱ͖ΔɽϘϥςΟϦςΟ্ঢʹΑͬͯΞϯμʔγϡʔτͷੑ࣭͕มΘΔՄೳੑ΋͋Γࠓ‫ޙ‬ͷ՝୊Ͱ͋Δɽ͞Βʹɼ࣮ࡍͷ஋෯੍‫ݶ‬Λ۩ମతʹͲͷΑ͏ʹ͢΂͖͔Λఏ‫͖Ͱݴ‬ΔΑ͏ʹ͢Δ͜ͱ΋ࠓ‫ޙ‬ͷ՝୊Ͱ͋Δɽ͜͜Ͱ‫ٻ‬Ίͨ v ͸࣮ࡍʹ͸‫ܭ‬ଌͰ͖ͳ͍ɽͱ͜ΖͰɼ౦‫݊ূژ‬औҾॴͰ͸ɼ̍೔ͷՁ֨มಈΛ੍‫͢ݶ‬Δ஋෯੍‫ͱ౓੍ݶ‬ɼ3 ෼Ҏ಺ͷՁ֨‫ٸ‬มΛ‫͢ࢭې‬Δಛผ
‫ؾ‬഑ͱ͍͏஋෯੍‫౓੍ݶ‬ͷɼ2 ͭͷҟͳΔ࣌ؒ಺Ͱͷ஋෯੍‫͕౓੍ݶ‬ଘࡏ͢Δ [TSE 13]ɽͦͯ͠ɼͦΕΒͷ஋෯ΛͲͷΑ͏ʹ͢Δ͔͸ଟ͘ͷٞ࿦͕͋Δ (ྫ͑͹ [౦ূ 09])ɽ੍‫ݶ‬‫͍୹͕ؒظ‬ಛผ‫ؾ‬഑Ͱ v ΛҰఆҎԼʹ͓͑͞ɼͦͷ্Ͱɼ੍‫ؒظݶ‬ͷ௕͍̍೔ͷ஋෯੍‫Ͱݶ‬όϒϧΛ͓͍͑ͯ͞ΔͱղऍͰ͖Δɽ͢ͳΘͪɼ੍‫͕ؒظݶ‬௕͍ํͷ஋෯੍‫ݶ‬ͷύϥϝʔλΛ ΔPpl,1 , tpl,1 ɼ੍‫ํ͍୹͕ؒظݶ‬ͷ஋෯੍‫ݶ‬ͷύϥϝʔλΛ ΔPpl,2 , tpl,2 ͱ͢Δ
ͱɼΔPpl,1 /tpl,1 < ΔPpl,2 /tpl,2 Λຬͨ͠ɼ͔ͭӈลʹରͯ͠ࠨล͕খ͗͢͞ͳ͍͜ͱ͕ɼ
̎ஈ֊ͷ஋෯੍‫ݶ‬ͷ࠷దͳύϥϝʔλͰ͋ΔՄೳੑ͕͋Δɽྫ͑͹ɼ౦‫݊ূژ‬औҾॴͷ৔߹ɼ1,000 ԁҎ্ 1,500 ԁະຬͷ‫ג‬Ձͷ‫ࣜג‬͸ɼ̍೔
ʢtpl,1 = 300 ෼ʣͷ஋෯੍‫ݶ‬͸ ΔPpl,1 = 300ɼಛผ‫ؾ‬഑ʢtpl,2 = 3 ෼ʣͰͷ஋෯੍‫ݶ‬͸

ΔPpl,2 = 30 Ͱ͋Δɽ͜ͷ࣌ɼΔPpl,1 /tpl,1 = 1ɼΔPpl,2 /tpl,2 = 10 Ͱ͋Γɼे෼ʹ্ࣜΛຬ͍ͨͯͯ͠ɼόϒϧΛ͓͑͞Δ‫ػ‬ೳΛ࣋ͭՄೳੑ͕ࣔ͞ΕΔɽ͔͠͠ɼࠨล͕ӈลʹରͯ͠খ͗͢͞ΔͨΊ̍೔ͷ஋෯੍‫ݶ‬͸ա৒Ͱ͋ΔՄೳੑ͕͋Δ͕ɼຊষͰ͸͜͜·Ͱٞ࿦Ͱ͖͓ͯΒͣࠓ‫ޙ‬ͷ՝୊Ͱ͋Δɽ
·ͨɼ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹऩଋ͢Δ৚݅ࣜ 7.3 Λ·΋͍ͬͯͳ͍ྫͱͯ͠ɼ
தࠃ੓෎ʹΑΔதࠃਓຽ‫ݩ‬ͷ֎ࠃҝସऔҾ΁ͷհೖ͕͋͛ΒΕΔɽதࠃਓຽ‫ݩ‬͸ถυϧʹ͍࣮࣭ͨͯ͠తͳ̍೔ͷ஋෯੍‫͕ݶ‬ɼதࠃ੓෎ͷհೖʹΑͬͯ՝ͤΒΕ͍ͯΔɽฏৗ࣌ʹ͓͍ͯ΋஋෯੍‫ʹݶ‬఍৮͢Δ‫ػ‬ձ͕ͱͯ΋ଟ͘ɼຊདྷͷதࠃਓຽ‫ݩ‬ͷՁ஋ʹɼऔҾՁ͕֨౸ୡ͠ͳ͍‫ڪ‬Ε͕ࢦఠͰ͖Δɽ͜Ε΋ࠓ‫ޙ‬ͷ՝୊Ͱ͋Δɽ

153

ୈ8ষ

ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳIIɿ ‫ൃޡ‬஫࣌ͷ஋෯੍‫ݶ‬ɼτϦΨʔࣜΞοϓςΟοΫɾϧʔϧͷ෼ੳ
8.1 ͸͡Ίʹۚ༥ࢢ৔Ͱ͸ɼ͠͹͠͹ɼେ‫ن‬໛ͳ‫ൃޡ‬஫͕‫ݪ‬Ҽͱߟ͑ΒΕΔՁ֨ͷ‫ٸ‬ಅɾ‫ٸ‬མ͕ൃੜ
͢Δɽ͜ͷΑ͏ͳՁ֨ͷཚߴԼ͸ۚ༥ࢢ৔શମ΁ͷࠞཚཁҼʹͳΔɽྫ͑͹ɼ2010 ೥ 5݄ʹถࠃࢢ৔Ͱൃੜͨ͠ϑϥογϡɾΫϥογϡ͸ɼ‫ൃޡ‬஫΋‫ݪ‬ҼͰ͋Δͱ‫ݴ‬ΘΕ͓ͯΓɼۚ༥ࢢ৔શମΛେ͖ࠞ͘ཚͤͨ͞ [CFTC 10]ɽ·ͨ‫ൃޡ‬஫͸ɼͦΕΛߦͬͯ͠·ͬͨۚ༥‫͕ؔػ‬େ͖ͳଛࣦΛग़ͨ͠Γഁ୼ͨ͠Γ͢Δ৔߹΋͋ΔͳͲେ͖ͳ໰୊Ͱ͋ΔɽͦͷͨΊɼେ‫ن‬໛ͳ‫ൃޡ‬஫ʹରͯ͠ͲͷΑ͏ͳ‫੍ن‬ɾ੍౓ͰରԠ͢Δ͔͕େ͖ͳٞ࿦ͱͳͬ
͍ͯΔ [ਗ਼ਫ 13]ɽେ‫ن‬໛‫ൃޡ‬஫ʹΑΔࢢ৔ࠞཚΛ཈͑Δͱ‫ظ‬଴͞ΕΔ੍౓ɾ‫ͯ͠ͱ੍ن‬ɼ͋Δ࣌ؒ಺ͰͷՁ֨มಈ͕ҰఆҎ্Λ௒͑ͨऔҾΛ‫͢ࢭې‬Δ஋෯੍‫౓੍ݶ‬΍ɼ௚ۙͷ΋ͬͱ΋ߴ͍ങ͍஫
จՁ֨ҎԼͰۭചΓ (อ༗͍ͯ͠ͳ͍ূ݊Λଞऀ͔ΒआΓ͖ͯͯച٫͢Δ͜ͱ) ͢Δ͜ͱΛ‫͡ې‬ΔΞοϓςΟοΫɾϧʔϧͳͲ͕͋Δɽ೔ຊʹ͓͍ͯ͸ɼΞοϓςΟοΫɾϧʔϧ͸ৗ࣌࠾༻͞Ε͍ͯͨɽ͔͠͠ɼՁ্֨ঢ
࣌ʹͦͷ্ঢΛॿ௕͢ΔͳͲͱ͍ͬͨ‫݁ڀݚ‬Ռ [େ෿ 12, ਫా 13b, Mizuta 13e] ΋͋Γɼ

2013 ೥ 11 ݄ΑΓՁ֨‫ٸ‬མ࣌ͷΈΞοϓςΟοΫɾϧʔϧ͕దԠ͞ΕΔͱ͍͏τϦΨʔࣜ΁Ҡߦͨ͠ [ۚ༥ி 13b]ɽ͔͠͠ͳ͕ΒɼτϦΨʔࣜΞοϓςΟοΫɾϧʔϧ͕େ‫ن‬໛‫ޡ‬ൃ஫ʹΑΔࢢ৔ࠞཚΛ཈͑ΒΕΔ͔Ͳ͏͔͸ௐ΂ΒΕ͍ͯͳ͍ɽ
େ‫ن‬໛ͳ‫ൃޡ‬஫͸ଟ͘ͷࣄྫ͕͋ΔΘ͚Ͱͳ͘ɼՁ֨‫ܗ‬੒ʹ͸͞·͟·ͳཁҼ͕ෳࡶʹؔΘ͍ͬͯΔͨΊɼ࣮ূ‫Ͱڀݚ‬͸‫ൃޡ‬஫ͷޮՌ͚ͩΛऔΓग़͢͜ͱ͕ࠔ೉Ͱ͋Δɽͦ

154

ୈ8ষ

ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ IIɿ ‫ൃޡ‬஫࣌ͷͨΊɼ࣮ূ‫ൃޡͰ͚ͩڀݚ‬஫ʹͲͷΑ͏ͳ‫੍ن‬ɾ੍౓ͰରԠ͢Δ͔Λٞ࿦͢Δͷ͸೉͍͠ɽ͜ͷΑ͏ͳٞ࿦Λ͢ΔͨΊʹ͸ɼਓ޻ࢢ৔γϛϡϨʔγϣϯ͕༗ޮͰ͋Δ [࿨ઘ03, LeBaron 06, Chen 12, ࿨ઘ 12b, Cristelli 14]ɽຊষͰ͸ɼୈ 5 ষͰड़΂ͨϕʔεϞσϧʹୈ 6 ষͰड़΂ֶͨशϓϩηεΛՃ͑ͨਓ޻ࢢ
৔ϞσϧΛ༻͍ͯɼେ‫ن‬໛‫ൃޡ‬஫͕Ձ֨มಈʹ༩͑ΔӨ‫ڹ‬ͷ෼ੳΛৄࡉʹߦ͍ɼ஋෯੍‫ݶ‬͓ΑͼτϦΨʔࣜΞοϓςΟοΫɾϧʔϧ͕ࢢ৔ࠞཚΛ཈͑ΔޮՌ͕͋Δ͔Ͳ͏͔Λ෼ੳͨ͠ɽ

8.2 ਓ޻ࢢ৔Ϟσϧ155

8.2 ਓ޻ࢢ৔ϞσϧຊষͰ͸ୈ 5 ষͰड़΂ͨϕʔεϞσϧʹୈ 6 ষͰड़΂ֶͨशϓϩηεΛՃ͑ͨਓ޻ࢢ
৔ϞσϧΛ༻͍Δɽ࢖༻ͨ͠ύϥϝʔλ΋ಉ༷Ͱ͋Δɽ

8.2.1 ‫ൃޡ‬஫ͷϞσϧԽຊষͰ͸ɼ‫ൃޡ‬஫͕͋ͬͨ৔߹ͷՁ֨มಈΛ෼ੳ͢Δɽ‫ൃޡ‬஫͸ҎԼͷΑ͏ʹϞσϧԽͨ͠ɽ࣌ࠁ 300, 000 ͔Β‫ൃޡ‬஫‫ ؒظ‬tg ͷΈɼ֤ΤʔδΣϯτ͸֬཰ pg Ͱ஫จΛɼ࠷΋ߴ͍ങ͍஫จΑΓ͍҆Ձ֨Ͱͷ 1 ୯ҐͷചΓ஫จ΁ͱɼ‫੍ڧ‬తʹมߋͤ͞ΒΕΔɽ͜ͷ஫จ͸ɼଈ࠲ʹऔҾ͕੒ཱ͢Δɽ

8.2.2 ੍౓ɾ‫੍ن‬ͷϞσϧԽຊষͰ͸ɼ஋෯੍‫͓౓੍ݶ‬ΑͼΞοϓςΟοΫɾϧʔϧ͕ଘࡏ͢Δ৔߹Λൺֱͨ͠ɽ
஋෯੍‫ݶ‬͸ҎԼͷΑ͏ʹϞσϧԽͨ͠ɽຊϞσϧͷ஋෯੍‫ݶ‬͸ɼ੍‫ ؒ࣌ݶ‬tpl ɼ੍‫ݶ‬
஋෯ ΔPpl ͷ 2 ͭͷύϥϝʔλ͕͋Δɽ࣌ࠁ t ͔Β tpl લͷՁ֨ P t−tpl Λ‫ج‬४ͱ͠ɼP t−tpl − ΔPpl ͔Β P t−tpl + ΔPpl ͷؒ͸ɼࣗ༝ʹ஫จΛग़ͤΔɽP t−tpl + ΔPpl ΑΓߴ͍ങ͍஫จ͸‫੍ڧ‬తʹ P t−tpl + ΔPpl ͱ͠ɼP t−tpl − ΔPpl ΑΓ͍҆ചΓ஫จ͸‫੍ڧ‬తʹ

P t−tpl − ΔPpl ͱ͢Δɽ͜ΕʹΑΓɼP t−tpl ± ΔPpl ͷ֎ଆͰ͸ɼऔҾ͸ߦΘΕͳ͍ɽΞοϓςΟοΫɾϧʔϧ͸ɼϦεΫࢿ࢈ͷอ༗਺ྔ͕ 0 ͷͱ͖ʹɼ࠷΋ߴ͍ങ͍஫จ

P bb ҎԼͷചΓ஫จͨ͠৔߹ɼ஫จՁ֨Λ‫੍ڧ‬తʹ P bb + ΔP ʹมߋͤ͞Δ͜ͱͰϞσϧԽͨ͠ɽ͢΂ͯͷΤʔδΣϯτͷॳ‫ʹظ‬อ༗͍ͯ͠ΔϦεΫࢿ࢈͸ 1 ୯ҐͰ͋ΔɽຊষͰ͸ɼτϦΨʔࣜΞοϓςΟοΫɾϧʔϧʹ͍ͭͯௐ΂ΔɽτϦΨʔࣜͰ͸ɼ௨ৗ͸ΞοϓςΟοΫɾϧʔϧΛ࠾༻͠ͳ͍͕ɼ͋ΔՁ֨ҎԼʹԼམ͢ΔͱΞοϓςΟοΫɾϧʔϧ͕ൃಈ͠ɼҰఆ‫( ؒظ‬tut ) ͕‫ܦ‬ա͢Δ͔ɼ͋ΔՁ֨ (put ) ·Ͱճ෮͢ΔͱɼΞοϓςΟοΫɾϧʔϧ͕ղআ͞ΕΔํࣜͰ͋ΔɽຊষͰ͸ɼҰఆ‫( ؒظ‬tut ) Ͱղআ͢ΔํࣜΛ࣌ؒղআํ
ࣜͱΑͼɼ͋ΔՁ֨ (put ) ·Ͱճ෮͢Δͱղআ͢ΔํࣜΛಅམ཰ղআํࣜͱΑͼɼ྆ํͷ৔߹ʹ͍ͭͯௐ΂Δɽ

156

ୈ8ষ

ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ IIɿ ‫ൃޡ‬஫࣌

8.3 γϛϡϨʔγϣϯ݁Ռ
8.3.1 ଥ౰ੑ෼ੳ
ද 8.1 ͸ɼ‫ൃޡ‬஫͕ͳ͍৔߹ͱ͋ͬͨ৔߹ (tg = 30, 000, pg = 0.15) ͷ౷‫ྔܭ‬Λࣔͨ͠ɽ౷‫ྔܭ‬͸ 100 ճͷࢼߦͷฏ‫ۉ‬஋Λ༻͍ͨɽୈ 3 ষͰड़΂ͨΑ͏ʹɼਓ޻ࢢ৔Ϟσϧͷଥ౰ੑ͸࣮ূ෼ੳͰಘΒΕ͍ͯΔϑΝοτɾςʔϧ΍ϘϥςΟϦςΟɾΫϥελϦϯάͱ͍ͬͨ୅දతͳελΠϥΠζυɾϑΝΫτ͕࠶‫͖Ͱݱ‬Δ͔Ͳ͏͔ͰධՁ͞ΕΔɽද 8.1 Ͱ͸ɼ

100 ‫ͱؒ͝ظ‬ͷಅམ཰Λ༻͍ͯ‫ͨ͠ࢉܭ‬ઑ౓*1 ͱಅམ཰ͷ 2 ৐ͷࣗ‫ݾ‬૬ؔ΋͍ࣔͯ͠Δɽ
͍ͣΕͷγϛϡϨʔγϣϯͰ΋ઑ౓͕ϓϥεͰϑΝοτɾςʔϧͱͳ͓ͬͯΓɼಅམ཰ͷ2 ৐ͷࣗ‫ݾ‬૬ؔ΋ϥά͕͋ͬͯ΋ϓϥεͰϘϥςΟϦςΟɾΫϥελϦϯά΋࠶‫͞ݱ‬Ε͍ͯΔɽ͜ΕΒʹΑΓ௕‫؍ʹظ‬ଌ͞ΕΔՁ֨มಈͷ౷‫ܭ‬తͳੑ࣭Λ࠶‫͍ͯ͠ݱ‬Δ͜ͱΛࣔ͞Εͨɽ·ͨɼຊষͰ͸ɼେ‫ن‬໛‫ൃޡ‬஫ʹΑΔࢢ৔ࠞཚ͕͋Δͱ͖ʹޮՌ͕‫ظ‬଴͞ΕΔ੍౓ɾ‫ن‬੍Λ෼ੳ͢ΔͨΊɼ͜ΕΒͷ‫ݱ‬৅΋࠶‫͖Ͱݱ‬Δඞཁ͕͋Δɽୈ 6 ষͰड़΂ͨΑ͏ʹɼࢢ৔ࠞཚͷΑ͏ͳେ͖ͳՁ֨มಈ͕ൃੜ͍ͯ͠Δ͔Ͳ͏͔ΛఆྔతʹଌΔख๏ͱͯ͠ϋβʔυɾϨʔτ (Hq ) Λ༻͍ͨख๏͕͋ΔɽHq ͸͋Δଌఆ‫( ؒظ‬1 ೔΍ 1 िؒ) ͷՁ֨ͷಅམ཰͕ q ճ࿈ଓͰϓϥε (ϚΠφε) ͩͬͨ৔߹ɼ࣍ͷଌఆ‫ؒظ‬ͷಅམ཰͕ϚΠφε (ϓϥε) ʹͳׂͬͨ߹Λࣔ͢ɽଌఆ‫ࢢʹ಺ؒظ‬৔ࠞཚͷΑ͏ͳେ͖ͳՁ֨มಈ͕‫·ؚ‬Ε͍ͯΔ
৔߹ɼq ͷ૿ՃʹΑΓ Hq ͕‫ݮ‬গ͢Δ͜ͱ͕஌ΒΕ͍ͯΔ [McQueen 94,Chan 98,Mizuta

13f]ɽͭ·Γɼࢢ৔ࠞཚͷΑ͏ͳେ͖ͳՁ֨มಈͷ‫ؒظ‬͸ಅམ཰͕࿈ଓͰϓϥε (·ͨ͸ϚΠφε) ʹͳΓ΍͘͢ɼͦͷ࿈ଓ͕ଓ͚͹ଓ͘΄Ͳɼͦͷ‫ޙ‬ϓϥε (·ͨ͸ϚΠφε) ͕ଓ͖΍͘͢ͳΔ͜ͱΛ͍ࣔͯ͠Δɽ
ද 8.1 Ͱ͸ɼಅམ཰͕ q ճ࿈ଓͰϚΠφεͩͬͨͱ͖ʹϓϥεʹͳׂͬͨ߹Λࣔͨ͠ɽଌఆ‫ؒظ‬͸ 100 εςοϓִؒͱͨ͠ɽq ͕૿͑Δʹ࿈Εͯ Hq ͕‫ݮ‬গ͢Δ৔߹͸ɼେ‫ن‬໛‫ൃޡ‬஫ʹΑΔࢢ৔ࠞཚͷΑ͏ͳେ͖ͳՁ֨ਪҠ͕ൃੜͨ͜͠ͱΛ͍ࣔͯ͠Δɽ͍ͣΕͷ৔߹΋ Hq ͸ q ͕૿͑ΔʹͭΕ‫ݮ‬গ͍ͯ͠Δ͕ɼ‫ൃޡ‬஫͕͋ͬͨ৔߹͸ಛʹ‫ݦ‬ஶͰ͋Δɽ͜ͷͨΊɼ‫ൃޡ‬஫͕͋Δ৔߹ɼ࣮ূ෼ੳͰ‫ݟ‬ΒΕΔࢢ৔ࠞཚʹΑΔେ͖ͳՁ֨มಈͷੑ࣭Λ࠶‫͍͖ͯͰݱ‬Δͱ‫͑ݴ‬Δɽ͜ΕΒʹΑΓେ‫ن‬໛‫ൃޡ‬஫ʹΑΔࢢ৔ࠞཚ΋࠶‫͖Ͱݱ‬ΔϞσϧ
Ͱ͋Δ͜ͱ͕ࣔ͞Εɼຊষͷ໨తͰ͋Δ஋෯੍‫ݶ‬΍ΞοϓςΟοΫɾϧʔϧʹΑΔࢢ৔ࠞཚͷ཈ࢭޮՌ෼ੳΛߦ͏ͷʹଥ౰ͳϞσϧͰ͋Δ͜ͱ͕ࣔ͞Εͨɽ*1 ͜͜Ͱͷઑ౓ͷఆٛ͸ɼਖ਼‫ن‬෼෍Ͱ 0 ͱͳΔఆٛͰ͋Δɽ͢ͳΘͪɼn ‫ݸ‬ͷσʔλ xi (i = 1, , , n) ͕͋Δnͱ͖ɼxi ͷฏ‫ۉ‬Λ X ɼඪ४ภࠩΛ S ͱ͢Δͱઑ౓ K ͸ɼK = 1/(nS 4 ) ×(x − X)4 − 3ɼͱ
i=1 i



͢ΔఆٛΛ࢖༻ͨ͠ɽ

157

8.3 γϛϡϨʔγϣϯ݁Ռ

8.3.2 ‫ൃޡ‬஫ʹΑΔࢢ৔ࠞཚͷಛੑ
ਤ 8.1 ͸‫ൃޡ‬஫͕͋ͬͨ৔߹ (tg = 30, 000, pg = 0.15) ͷՁ֨ਪҠͰ͋ΔɽӨͷ෦෼͸‫ൃޡ‬஫͕͋ͬͨ‫͋Ͱؒظ‬Δɽ‫ൃޡ‬஫͕͋ͬͨ‫ؒظ‬ͷΈͳΒͣɼ‫ൃޡ‬஫͕ͳ͘ͳ͔ͬͯΒ͠͹Β͘Ձ͕֨Լམ͠ଓ͚͍ͯΔ͜ͱ͕෼͔Δ*2 ɽਤ 8.2 ͸֤ઓུ੒෼ͷ߹‫ܭ‬΢ΤΠτɼn
Wi =  n

j=1 wi,jj=1 (w1,j + w2,j + uj )

,

(8.1)

ͷ࣌‫ྻܥ‬Λࣔͨ͠ɽi = 1 ͷ৔߹͕ϑΝϯμϝϯλϧ੒෼Ͱ͋Γɼi = 2 ͷ৔߹͕ςΫχΧϧ੒෼Ͱ͋ΔɽϑΝϯμϝϯλϧ੒෼͕‫ʹ୺ۃ‬গͳ͘ͳΔ࣌‫͕ظ‬ଘࡏ͢Δɽ͜Ε͸ɼ‫ޡ‬ൃ஫ʹΑΓϑΝϯμϝϯλϧՁ͔֨ΒԼམ͍ͯ͠Δͱ͖ɼϑΝϯμϝϯλϧ౤ࢿ͕༗ޮͰ
ͳ͘ͳΔͨΊɼςΫχΧϧ౤ࢿʹ੾Γସ͑Δ͔ΒͰ͋ΔɽϑΝϯμϝϯλϧ੒෼͕‫ݮ‬গ͢
Δ͜ͱʹΑΓϑΝϯμϝϯλϧ΁޲͔͏ͱ༧૝͢ΔΤʔδΣϯτ͕‫ݮ‬ΓɼԼམ͕·͢·͢‫͖ى‬΍͘͢ͳ͍ͬͯΔɽ‫ൃޡ‬஫͕ͳ͘ͳͬͯ͠͹Β͘͸ɼςΫχΧϧ౤ࢿͷ੒෼͕ଟ͍ͨ
ΊɼԼམ͠ଓ͚͍ͯΔɽ
ਤ 8.3 ͸ɼtg , pg Λ͞·͟·ʹมߋͨ͠৔߹ͷԼམՁ֨ͷେ͖͞Λɼਤ 8.4 ͸ɼ࠷খՁ֨ʹ౸ୡ͢Δ·Ͱͷ࣌ؒΛࣔͨ͠ɽԣ࣠͸‫ൃޡ‬஫‫ ؒظ‬tg ɼ֤ઢ͸૯‫ൃޡ‬஫਺ྔ sg = tg × pgΛҰఆʹ͍ͯ͠Δ*3 ɽ֤ʑͷ৔߹ʹ͍ͭͯ 100 ճࢼߦ͠ฏ‫ۉ‬஋Λͱͬͨɽ݁Ռ͕҆ఆ͠ͳ͔ͬͨύϥϝʔλ (sg = 3, 000, 4, 500 ͷͱ͖ͷ tg ͕খ͍͞ͱ͖) ͷ݁Ռ͸ল͍ͨɽਤ 2ࠨ͕ࣔ͢Α͏ʹɼ૯‫ൃޡ‬஫਺ྔ sg ͕ҰఆͳΒɼԼམՁ֨෯͸͓͓ΉͶҰఆͱͳΓɼsg ͕େ͖͘ͳΕ͹ԼམՁ֨෯͸େ͖͘ͳΔɽ·ͨɼਤ 2 ӈ͕ࣔ͢Α͏ʹɼsg ͕ҰఆͳΒ tg ͕௕͘ͳͬͯ΋࠷খՁ֨ʹ౸ୡ͢Δ࣌ؒ͸ tg ΄Ͳʹ͸৳ͼ͍ͯͳ͍ɽsg ͕େ͖͘ͳΔͱɼ௕‫ؒظ‬Լམ͕ଓ͘ɽ͢ͳΘͪɼsg ͸Ձ֨‫ܗ‬੒ʹେ͖ͳӨ‫ڹ‬Λ༩͑Δ͕ɼsg ͕ಉ͡ͳΒɼ‫ޡ‬ൃ஫‫ ؒظ‬tg ΍‫ൃޡ‬஫ͷີ౓Ͱ͋Δ pg ͸ൺֱతେ͖ͳӨ‫ڹ‬Λ༩͑ͳ͍͜ͱ͕෼͔Δɽ

8.3.3 ஋෯੍‫ʹݶ‬ΑΔࢢ৔ࠞཚͷ཈੍ޮՌਤ 8.5 ͸ tg = 30, 000, pg = 0.15 ͷ৔߹Ͱɼ஋෯੍‫ ؒظݶ੍( ݶ‬tpl = 1, 000ɼ੍‫ݶ‬஋෯

ΔPpl = 200) ͕͋Δ৔߹ͷՁ֨ͷਪҠΛ͍ࣔͯ͠Δɽਤ 8.1 ͷ৔߹ͱൺ΂େ෯ʹԼམΛ͓͑͞Δ͜ͱ͕ग़དྷ͍ͯΔɽ

*2[ീ໦ 12a, Yagi 12b] ͷϞσϧʹ͓͍ͯ΋ಉ༷ͷ࣮‫ݧ‬Λߦ͏ͱɼఆੑతʹ͸ಉ༷ͷ݁Ռ͕ಘΒΕΔɽ[ീ໦ 12a, Yagi 12b] ͱͰ͸Ϟσϧ͕େ͖͘ҟͳΔʹ΋ؔΘΒͣಉҰͷ݁Ռ͕ग़ͨ͜ͱ͸ɼਓ޻ࢢ৔Λ༻͍ͨ෼ੳ݁Ռͷଥ౰ੑͷߴ͞Λ͍ࣔͯ͠Δͱߟ͍͑ͯΔɽ*3 ຊϞσϧͷ࣌ࠁ͸ςΟοΫ࣌ࠁͰ͋Γɼ࣌ࠁ 1 Ͱ 1 ΤʔδΣϯτ͔͠஫จΛग़͞ͳ͍ɽ͞ΒʹɼຊϞσϧͰ͸֤ΤʔδΣϯτ͕Ұ౓ʹग़͢஫จ͸ඞͣ 1 ୯ҐͰ͋ΔͨΊɼ࣌ؒͱ૯ൃ஫਺ྔ͕Ұக͢Δɽ

158

ୈ8ষ

ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ IIɿ ‫ൃޡ‬஫࣌

ਤ 8.2 ͸ sg = tg × pg = 1, 500 ͓Αͼ ΔPpl /tpl = 0.015 ΛҰఆͱͯ͠ɼ‫ൃޡ‬஫ͷύϥϝʔλ tg , pg ͓Αͼ஋෯੍‫ݶ‬ͷύϥϝʔλ ΔPpl , tpl Λ͞·͟·ʹม͑ͨ৔߹ͷԼམՁ֨෯Λࣔͨ͠ɽ֤ʑͷ৔߹ʹ͍ͭͯ 100 ճࢼߦ͠ฏ‫ۉ‬஋Λͱͬͨɽઌʹࣔͨ͠Α͏ʹ sg ͕ҰఆͳΒಉ͡Α͏ͳՁ֨‫ܗ‬੒Λࣔ͢ɽ·ͨɼୈ 7 ষͰड़΂ͨΑ͏ʹɼΔPpl /tpl ͕ಉ͡ͳΒ஋෯੍‫ݶ‬͸ಉ͡Α͏ͳޮՌΛࣔ͢ɽෆ౳ࣜɼ

tpl ≤ tg ,(8.2)Λຬͨ͢ྖҬʹӨΛ͚ͭͨɽ͜ͷྖҬͰ͸ಛʹԼམΛ͓͑͞Δ͜ͱ͕ग़དྷ͍ͯΔɽ͢ͳΘͪɼ஋෯੍‫ؒظݶ‬͸‫ൃޡ‬஫‫ؒظ‬ΑΓ΋୹͍ඞཁ͕͋Δ͜ͱΛ͍ࣔࠦͯ͠Δɽ

8.3.4 ΞοϓςΟοΫɾϧʔϧʹΑΔࢢ৔ࠞཚͷ཈੍ޮՌਤ 8.6 ͸ tg = 30, 000, pg = 0.15 ͷ৔߹ͰɼτϦΨʔࣜΞοϓςΟοΫɾϧʔϧ͕͋Δ
৔߹ͷՁ֨ਪҠͰ͋Γɼղআͳ͠ͷ৔߹Λɼਤ 8.7 ͸࣌ؒղআ͋Γͷ৔߹ (ӈ, ղআ࣌ؒtut = 50, 000) Λࣔͨ͠ɽ͍ͣΕͷ৔߹΋ɼՁ͕֨ 9, 000 ʹͳΔͱΞοϓςΟοΫɾϧʔϧ͕ൃಈ͢Δɽ‫ൃޡ‬஫͕ൃੜ͢ΔલͷՁ֨͸ɼPf = 10, 000 ෇ۙͰ͋ΔͨΊɼ10% ͷԼམͰൃಈ͢Δ͜ͱͱͳΔɽ͍ͣΕͷ৔߹΋ɼΞοϓςΟοΫɾϧʔϧͷൃಈՁ֨Ͱ͋Δ

9, 000 ΛԼճͬͨ‫ޙ‬͸ɼେ෯ԼམΛ཈͍͑ͯΔ͜ͱ͕Ͱ͖͍ͯΔɽ͔͠͠ɼղআͳ͠ͷ৔߹ (ਤ 8.6)ɼՁ͕֨΋ͱͷਫ४ʹ໭ͬͨ‫ޙ‬΋্ঢΛଓ͚ͯ͠·͍ͬͯΔɽ͜Ε͸ৗʹΞοϓςΟοΫɾϧʔϧ͕ଘࡏ͢Δ৔߹Λ෼ੳͨ͠ઌߦ‫[ ڀݚ‬ਫా 13b, Mizuta 13e] ͱ੔߹తͰ͋ΔɽҰํɼ࣌ؒղআ͋Γ (ղআ࣌ؒ tut = 50, 000) ͷ৔߹ (ਤ 8.7)ɼՁ֨ճ෮தʹΞοϓςΟοΫɾϧʔϧ͕ղআ͞Εɼ্ঢΛॿ௕͢Δͱ͍͏෭࡞༻ΛճආͰ͖ͨ͜ͱ͔Βɼ΋ͱͷਫ४Λେ্͖͘ճΔͱ͍͏ࢢ৔ࠞཚΛճආ͢Δ͜ͱ͕ग़དྷͨɽ
ਤ 8.3 ͸ɼτϦΨʔࣜΞοϓςΟοΫɾϧʔϧʢՁ֨ 9, 000 Ͱൃಈʣ͕͋Δ৔߹ͷɼղআํࣜ͝ͱͷɼՁ֨ͷ࠷େɾ࠷খ஋Λ·ͱΊͨ΋ͷͰ͋Δɽ֤ʑͷ৔߹ʹ͍ͭͯ 100 ճͷࢼߦ͠ฏ‫ۉ‬஋Λͱͬͨɽ࠷େՁ֨͸ 11, 000 ҎԼʹɼ࠷খՁ֨͸ 8, 000 Ҏ্ʹӨΛ͚ͭͨɽ྆ํʹӨ͕͍͍ͭͯΔࢼߦͰ͸ൺֱతɼࢢ৔ࠞཚΛආ͚Δ͜ͱ͕ग़དྷͨͱ͍͑Δɽઌʹड़΂ͨΑ͏ʹɼ‫͍ͳ੍͕ن‬৔߹͸େ͖ͳԼམͱɼେ͖ͳ্ঢͷ྆ํ͕‫ݟ‬ΒΕΔɽ·ͨɼղআͳ͠ͷ৔߹ɼԼམ͸཈͑ΒΕΔ΋ͷͷɼେ͖ͳ্ঢΛҾ͖‫͍ͯͬ·ͯ͜͠͠ى‬Δɽ࣌
ؒղআํࣜͷ৔߹ɼ‫ൃޡ‬஫‫ ؒظ‬tg = 30, 000 ͱղআ࣌ؒ tut ͕େ͖͘͸ҧΘͳ͍৔߹ɼ͢ͳΘͪɼ

tut ∼ tg ,(8.3)ͷ৔߹͸ɼԼམɾ্ঢͱ΋ʹ཈͑ΒΕ͍ͯΔɽಅམ཰ղআํࣜͷ৔߹͸ɼ͍ͣΕͷ৔߹΋ɼԼམɾ্ঢͱ΋ʹ཈͑ΒΕ͍ͯΔɽ

159

8.3 γϛϡϨʔγϣϯ݁Ռද 8.1‫ൃޡ‬஫͕ͳ͍৔߹ͱ͋Δ৔߹ͷ౷‫ྔܭ‬ɽ

ᑤᗘ

㦐ⴠ⋡䛾
䠎஌䛾
⮬ᕫ┦㛵

䝝䝄䞊䝗
䝺䞊䝖

㼘㼍㼓
㻝
㻞
㻟
㻠
㻡
㻢
㼝
㻝
㻞
㻟
㻠
㻡
㻢

ㄗⓎὀ
䛺䛧
㻡㻚㻟㻥

ㄗⓎὀ
䛒䜚
㻡㻚㻡㻠

㻜㻚㻝㻟
㻜㻚㻝㻝
㻜㻚㻜㻥
㻜㻚㻜㻣
㻜㻚㻜㻢
㻜㻚㻜㻡

㻜㻚㻠㻥
㻜㻚㻠㻞
㻜㻚㻠㻜
㻜㻚㻠㻜
㻜㻚㻟㻤
㻜㻚㻟㻤

㻡㻡㻑
㻡㻟㻑
㻠㻥㻑
㻠㻣㻑
㻠㻠㻑
㻠㻠㻑

㻡㻡㻑
㻠㻤㻑
㻠㻞㻑
㻟㻢㻑
㻟㻜㻑
㻞㻡㻑

ਤ 8.1᫬้㻌‫ൃޡ‬஫࣌ͷՁ֨ਪҠɽ㻢㻡㻜㻘㻜㻜㻜

㻢㻜㻜㻘㻜㻜㻜

㻡㻡㻜㻘㻜㻜㻜

㻡㻜㻜㻘㻜㻜㻜

㻠㻡㻜㻘㻜㻜㻜

㻠㻜㻜㻘㻜㻜㻜

㻟㻡㻜㻘㻜㻜㻜

ୈ8ষ㻟㻜㻜㻘㻜㻜㻜

㻞㻡㻜㻘㻜㻜㻜

㻞㻜㻜㻘㻜㻜㻜

㻝㻡㻜㻘㻜㻜㻜

㻝㻜㻜㻘㻜㻜㻜

㻡㻜㻘㻜㻜㻜

㻜౯᱁㻌160
ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ IIɿ ‫ൃޡ‬஫࣌

ㄗⓎὀ᫬䛾౯᱁᥎⛣㻌㻞㻜㻘㻜㻜㻜

㻝㻡㻘㻜㻜㻜

㻝㻜㻘㻜㻜㻜㻡㻘㻜㻜㻜㻜䝣䜯䞁䝎䝯䞁䝍䝹ᡂศ䜴䜶䜲䝖㻌

㻥㻡㻑

㻢㻑
㻥㻜㻑

㻠㻑
㻤㻡㻑

㻞㻑
㻤㻜㻑

㻜㻑
㻣㻡㻑

ਤ 8.2

᫬้㻌

‫ൃޡ‬஫࣌ͷ֤ઓུ੒෼ͷ΢ΤΠτਪҠɽ㻢㻡㻜㻘㻜㻜㻜

㻢㻜㻜㻘㻜㻜㻜

㻡㻡㻜㻘㻜㻜㻜

䝣䜯䞁䝎䝯䞁䝍䝹㻌㻡㻜㻜㻘㻜㻜㻜

㻠㻡㻜㻘㻜㻜㻜

㻠㻜㻜㻘㻜㻜㻜

㻟㻡㻜㻘㻜㻜㻜

㻟㻜㻜㻘㻜㻜㻜

㻞㻡㻜㻘㻜㻜㻜

㻞㻜㻜㻘㻜㻜㻜

㻝㻡㻜㻘㻜㻜㻜

㻝㻜㻜㻘㻜㻜㻜

㻡㻜㻘㻜㻜㻜

㻝㻜㻑䝔䜽䝙䜹䝹㻌

䝔䜽䝙䜹䝹ᡂศ䜴䜶䜲䝖㻌㻤㻑㻜

8.3 γϛϡϨʔγϣϯ݁Ռ
161ྛᡓ␎ᡂศ䛾䜴䜶䜲䝖᥎⛣㻌
㻝㻜㻜㻑

162

ୈ8ষ

ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ IIɿ ‫ൃޡ‬஫࣌ୗⴠ౯᱁ᖜ㻌

㻡㻘㻜㻜㻜

㻟㻘㻜㻜㻜

㼟㼓㻌㻩㻌㻝㻡㻜
㼟㼓㻌㻩㻌㻝㻘㻡㻜㻜㼟㼓㻌㻩㻌㻟㻘㻜㻜㻜㼟㼓㻌㻩㻌㻠㻘㻡㻜㻜

㻞㻘㻜㻜㻜
㻝㻘㻜㻜㻜

㻡㻜㻘㻜㻜㻜

㻠㻜㻘㻜㻜㻜

㻟㻜㻘㻜㻜㻜

㻞㻜㻘㻜㻜㻜

㻝㻜㻘㻜㻜㻜

㻡㻘㻜㻜㻜

㻜
㻞㻘㻜㻜㻜

ୗⴠ౯᱁ᖜ㻌

㻠㻘㻜㻜㻜ㄗⓎὀᮇ㛫㻌
ਤ 8.3

૯‫ൃޡ‬஫਺ྔ͝ͱͷԼམՁ֨ͷେ͖͞ɽ

163

8.3 γϛϡϨʔγϣϯ݁Ռ᭱ᑠ౯᱁䛻฿㐩䛩䜛䜎䛷䛾᫬㛫㻌㻝㻜㻜㻘㻜㻜㻜
㻤㻜㻘㻜㻜㻜
㼟㼓㻌㻩㻌㻝㻡㻜
㼟㼓㻌㻩㻌㻝㻘㻡㻜㻜㼟㼓㻌㻩㻌㻟㻘㻜㻜㻜㼟㼓㻌㻩㻌㻠㻘㻡㻜㻜㻢㻜㻘㻜㻜㻜
㻠㻜㻘㻜㻜㻜
㻞㻜㻘㻜㻜㻜

㻡㻜㻘㻜㻜㻜

㻠㻜㻘㻜㻜㻜

㻟㻜㻘㻜㻜㻜

㻞㻜㻘㻜㻜㻜

㻝㻜㻘㻜㻜㻜

㻡㻘㻜㻜㻜

㻜
㻞㻘㻜㻜㻜

᭱ᑠ౯᱁฿㐩᫬㛫㻌㻝㻞㻜㻘㻜㻜㻜

ㄗⓎὀᮇ㛫㻌
ਤ 8.4

૯‫ൃޡ‬஫਺ྔ͝ͱͷ࠷খՁ֨ʹ౸ୡ͢Δ·Ͱͷ࣌ؒɽ

164

ୈ8ষ

ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ IIɿ ‫ൃޡ‬஫࣌

ㄗⓎὀ᫬౯᱁᥎⛣䠖㻌್ᖜไ㝈䛒䜚㻌㻞㻜㻘㻜㻜㻜

㻝㻡㻘㻜㻜㻜
౯᱁㻌㻝㻜㻘㻜㻜㻜
㻡㻘㻜㻜㻜

᫬้㻌
ਤ 8.5

஋෯੍‫͕͋ݶ‬Δ৔߹ͷ‫ൃޡ‬஫࣌ͷՁ֨ਪҠɽ㻢㻡㻜㻘㻜㻜㻜

㻢㻜㻜㻘㻜㻜㻜

㻡㻡㻜㻘㻜㻜㻜

㻡㻜㻜㻘㻜㻜㻜

㻠㻡㻜㻘㻜㻜㻜

㻠㻜㻜㻘㻜㻜㻜

㻟㻡㻜㻘㻜㻜㻜

㻟㻜㻜㻘㻜㻜㻜

㻞㻡㻜㻘㻜㻜㻜

㻞㻜㻜㻘㻜㻜㻜

㻝㻡㻜㻘㻜㻜㻜

㻝㻜㻜㻘㻜㻜㻜

㻡㻜㻘㻜㻜㻜

㻜㻜

165

8.3 γϛϡϨʔγϣϯ݁Ռ

ද 8.2

್ᖜ
ไ㝈

‫ൃޡ‬஫͓Αͼ஋෯੍‫ݶ‬ͷύϥϝʔλΛมԽͤͨ͞৔߹ͷԼམՁ֨ͷେ͖͞ɽ᫬㛫㻌㼠㼜㼘
㻝㻘㻜㻜㻜
㻞㻘㻜㻜㻜
㻡㻘㻜㻜㻜
㻝㻜㻘㻜㻜㻜
㻞㻜㻘㻜㻜㻜
㻟㻜㻘㻜㻜㻜
㻠㻜㻘㻜㻜㻜
㻡㻜㻘㻜㻜㻜
㻝㻜㻜㻘㻜㻜㻜

ㄗⓎὀ᫬㛫㻌㼠㼓
ㄗⓎὀᐦᗘ㻌㼜㼓
್ᖜ㻌䏓㻼㼜㼘
㻝㻡
㻟㻜
㻣㻡
㻝㻡㻜
㻟㻜㻜
㻠㻡㻜
㻢㻜㻜
㻣㻡㻜
㻝㻘㻡㻜㻜
䛺䛧

㻞㻘㻜㻜㻜
㻣㻡㻑

㻡㻘㻜㻜㻜
㻟㻜㻑

ㄗⓎὀ㻌㻔㼟㼓㻌㻩㻌㻝㻘㻡㻜㻜㻕㻝㻜㻘㻜㻜㻜 㻞㻜㻘㻜㻜㻜 㻟㻜㻘㻜㻜㻜
㻝㻡㻑
㻣㻚㻡㻑
㻡㻚㻜㻑

㻠㻜㻘㻜㻜㻜
㻟㻚㻣㻡㻑㻡㻜㻘㻜㻜㻜
㻟㻚㻜㻜㻑

㻥㻞
㻥㻡
㻝㻠㻣
㻝㻣㻠
㻟㻝㻣
㻠㻡㻣
㻢㻝㻜
㻣㻢㻡
㻝㻘㻠㻥㻠
㻝㻘㻢㻡㻢

㻝㻡㻤
㻝㻣㻡
㻝㻡㻞
㻝㻣㻡
㻟㻝㻣
㻠㻢㻤
㻢㻝㻤
㻣㻣㻜
㻝㻘㻠㻡㻠
㻝㻘㻡㻥㻠

㻞㻠㻝
㻞㻠㻟
㻞㻞㻞
㻝㻤㻝
㻟㻝㻡
㻠㻢㻣
㻢㻝㻠
㻣㻢㻜
㻝㻘㻠㻠㻣
㻝㻘㻡㻞㻢

㻢㻝㻢
㻢㻟㻤
㻢㻡㻠
㻢㻢㻢
㻢㻠㻞
㻢㻢㻠
㻢㻝㻥
㻣㻢㻡
㻝㻘㻟㻠㻡
㻝㻘㻟㻥㻜

㻣㻝㻥
㻣㻡㻝
㻣㻤㻠
㻣㻥㻡
㻣㻤㻤
㻤㻡㻜
㻣㻡㻡
㻣㻣㻜
㻝㻘㻟㻞㻢
㻝㻘㻟㻟㻝

㻟㻣㻜
㻟㻤㻜
㻟㻢㻤
㻟㻟㻥
㻟㻞㻝
㻠㻢㻟
㻢㻝㻣
㻣㻢㻢
㻝㻘㻟㻥㻟
㻝㻘㻠㻟㻣

㻠㻥㻣
㻡㻝㻟
㻡㻝㻡
㻡㻜㻞
㻢㻝㻡
㻠㻣㻜
㻢㻝㻡
㻣㻢㻜
㻝㻘㻟㻣㻡
㻝㻘㻟㻥㻤

166

ୈ8ষ

ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ IIɿ ‫ൃޡ‬஫࣌

ㄗⓎὀ᫬౯᱁᥎⛣䠖㻌䝖䝸䜺䞊ᘧ䜰䝑䝥䝔䜱䝑䜽䞉䝹䞊䝹䛒䜚㻌㻠㻜㻘㻜㻜㻜

౯᱁㻌㻟㻜㻘㻜㻜㻜

㻞㻜㻘㻜㻜㻜

㻝㻜㻘㻜㻜㻜

㻢㻡㻜㻘㻜㻜㻜

㻢㻜㻜㻘㻜㻜㻜

㻡㻡㻜㻘㻜㻜㻜

㻡㻜㻜㻘㻜㻜㻜

㻠㻡㻜㻘㻜㻜㻜

㻠㻜㻜㻘㻜㻜㻜

㻟㻡㻜㻘㻜㻜㻜

㻟㻜㻜㻘㻜㻜㻜

㻞㻡㻜㻘㻜㻜㻜

㻞㻜㻜㻘㻜㻜㻜

㻝㻡㻜㻘㻜㻜㻜

㻝㻜㻜㻘㻜㻜㻜

㻡㻜㻘㻜㻜㻜

㻜

㻜

᫬้㻌㻌
ਤ 8.6

τϦΨʔࣜΞοϓςΟοΫɾϧʔϧ͕͋Δ৔߹ͷՁ֨ਪҠɽղআͳ͠ͷ৔߹ɽ

Ձ͕֨ 9, 000 ʹͳΔͱΞοϓςΟοΫɾϧʔϧ͕ൃಈ͢Δɽ167

8.3 γϛϡϨʔγϣϯ݁Ռ

ㄗⓎὀ᫬౯᱁᥎⛣䠖㻌䝖䝸䜺䞊ᘧ䜰䝑䝥䝔䜱䝑䜽䞉䝹䞊䝹䠖᫬㛫ゎ㝖䛒䜚㻌ゎ㝖᫬㛫㼠㼡㼠㻩㻡㻜㻘㻜㻜㻜㻌㻞㻜㻘㻜㻜㻜

౯᱁㻌㻝㻡㻘㻜㻜㻜

㻝㻜㻘㻜㻜㻜

㻡㻘㻜㻜㻜㻢㻡㻜㻘㻜㻜㻜

㻢㻜㻜㻘㻜㻜㻜

㻡㻡㻜㻘㻜㻜㻜

㻡㻜㻜㻘㻜㻜㻜

㻠㻡㻜㻘㻜㻜㻜

㻠㻜㻜㻘㻜㻜㻜

㻟㻡㻜㻘㻜㻜㻜

㻟㻜㻜㻘㻜㻜㻜

㻞㻡㻜㻘㻜㻜㻜

㻞㻜㻜㻘㻜㻜㻜

㻝㻡㻜㻘㻜㻜㻜

㻝㻜㻜㻘㻜㻜㻜

㻡㻜㻘㻜㻜㻜

㻜

㻜

᫬้㻌
ਤ 8.7

τϦΨʔࣜΞοϓςΟοΫɾϧʔϧ͕͋Δ৔߹ͷՁ֨ਪҠɽ࣌ؒղআ͋Γͷ৔߹ɽՁ͕֨ 9, 000 ʹͳΔͱΞοϓςΟοΫɾϧʔϧ͕ൃಈ͢Δɽ

168

ୈ8ষ

ද 8.3

ࢢ৔ࠞཚΛ๷͙‫੍ن‬ɾ੍౓ͷ෼ੳ IIɿ ‫ൃޡ‬஫࣌τϦΨʔࣜΞοϓςΟοΫɾϧʔϧ͕͋Δ৔߹ͷɼղআํࣜ͝ͱͷɼՁ֨ͷ࠷େɾ࠷খ஋ɽՁ͕֨ 9, 000 ʹͳΔͱΞοϓςΟοΫɾϧʔϧ͕ൃಈ͢Δɽ
䜰䝑䝥䝔䜱䝑䜽䞉䝹䞊䝹㦐ⴠ⋡ゎ㝖᪉ᘧ
᫬㛫ゎ㝖᪉ᘧ
つไ䛺䛧䠄ゎ㝖౯᱁㼜㼡㼠䠅ゎ㝖䛺䛧䠄ゎ㝖᫬㛫㼠㼡㼠䠅㻡㻘㻜㻜㻜 㻝㻜㻘㻜㻜㻜 㻞㻜㻘㻜㻜㻜 㻟㻜㻘㻜㻜㻜 㻠㻜㻘㻜㻜㻜 㻡㻜㻘㻜㻜㻜 㻢㻜㻘㻜㻜㻜 㻣㻜㻘㻜㻜㻜 㻤㻜㻘㻜㻜㻜 㻝㻜㻜㻘㻜㻜㻜 㻥㻘㻜㻜㻜 㻥㻘㻡㻜㻜 㻝㻜㻘㻜㻜㻜᭱኱౯᱁㻝㻡㻘㻞㻡㻝 㻟㻡㻘㻥㻡㻡 㻝㻠㻘㻢㻞㻢 㻝㻟㻘㻟㻟㻣 㻝㻜㻘㻢㻡㻟 㻝㻜㻘㻢㻡㻟 㻝㻜㻘㻢㻤㻟 㻝㻜㻘㻣㻤㻤 㻝㻝㻘㻞㻞㻜 㻝㻝㻘㻤㻤㻠 㻝㻞㻘㻣㻣㻠 㻝㻠㻘㻢㻡㻠 㻝㻜㻘㻢㻥㻠 㻝㻜㻘㻣㻥㻟 㻝㻝㻘㻜㻞㻣
᭱ᑠ౯᱁
㻡㻘㻝㻜㻠
㻤㻘㻠㻝㻤 㻡㻘㻡㻠㻜 㻢㻘㻟㻝㻡 㻤㻘㻟㻥㻢 㻤㻘㻠㻝㻞 㻤㻘㻠㻝㻥 㻤㻘㻠㻞㻞 㻤㻘㻠㻝㻣 㻤㻘㻠㻝㻤 㻤㻘㻠㻝㻣㻤㻘㻟㻟㻞 㻤㻘㻠㻝㻥 㻤㻘㻠㻜㻥 㻤㻘㻠㻞㻢

8.4 ·ͱΊͱ࣮ࢢ৔΁ͷࣔࠦ

169

8.4 ·ͱΊͱ࣮ࢢ৔΁ͷࣔࠦຊষͰ͸ɼୈ 5 ষͰड़΂ͨϕʔεϞσϧʹୈ 6 ষͰड़΂ֶͨशϓϩηεΛՃ͑ͨਓ޻
ࢢ৔ϞσϧΛ༻͍ͯɼେ‫ن‬໛‫ൃޡ‬஫͕Ձ֨มಈʹ༩͑ΔӨ‫ڹ‬ͷ෼ੳΛ෼ੳͨ͠ɽେྔͷ‫ޡ‬ൃ஫͕୹࣌ؒʹूத͢Δ৔߹ͱɼগྔͷ‫ൃޡ‬஫͕௕‫ʹظ‬ΘͨΔ৔߹Λൺֱ͢Δͱɼ૯‫ൃޡ‬஫‫͕਺ג‬ಉҰͰ͋ΔͳΒ͹ɼ྆ऀ͸ಉఔ౓ͷՁ֨ԼམΛಋ͘͜ͱ͕෼͔ͬͨɽ·ͨɼ‫ൃޡ‬஫࣌ͷ஋෯੍‫ݶ‬ͷޮՌΛ෼ੳͨ݁͠Ռɼ‫ൃޡ‬஫͕ଓ͘‫ؒظ‬ΑΓ୹͍‫ؒظ‬ͷಅམ཰Λ੍‫͢ݶ‬Δ஋෯੍‫͕ݶ‬༗ޮͰ͋Δ͜ͱ͕෼͔ͬͨɽ͞ΒʹɼۭചΓͷՁ֨‫੍ن‬ͷҰछͰ͋ΔΞοϓςΟοΫɾϧʔϧʹ͍ͭͯ΋ɼ‫ൃޡ‬஫࣌ͷޮՌΛ෼ੳͨ͠ɽͦͷ݁Ռɼ࣌ؒղআํࣜͷ৔߹ɼ‫ൃޡ‬஫‫ ؒظ‬tg ͱղআ࣌ؒ tut ͕େ͖͘͸ҧΘͳ͍৔߹ͷΈ༗ޮͰ͋Δ͜ͱ͕෼͔ͬ
ͨɽ·ͨɼಅམ཰ղআํ͕ࣜ༗ޮͰ͋Δ͜ͱ͕෼͔ͬͨɽ
࣮ࡍͷࢢ৔ͷ੍౓ɾ‫΁੍ن‬ͷࣔࠦΛ࠷‫ʹޙ‬ड़΂Δɽ࣮ࡍͷࢢ৔Ͱ͸‫ൃޡ‬஫‫ؒظ‬͸͋Β͔͡Ί෼͔Βͣɼ͞·͟·ͳ‫ൃޡ‬஫ʹରԠͰ͖ΔΑ͏ʹ͢Δඞཁ͕͋Δɽ஋෯੍‫Ͱ౓੍ݶ‬͸ɼෳ਺ͷ੍‫ؒظݶ‬ͷ஋෯੍‫ݶ‬Λ༻ҙ͢Δඞཁ͕͋ΔՄೳੑΛ͍ࣔࠦͯ͠Δɽ౦‫݊ূژ‬औҾॴͷ஋෯੍‫[ ݶ‬TSE 13] ͸ɼಛผ‫ؾ‬഑ (3 ෼) ͱετοϓߴɾ҆ (̍Ӧ‫ۀ‬೔ɼ5 ࣌ؒ) ͷ 2
छྨଘࡏ͢Δ͕ɼߴස౓औҾͷग़‫Ͳͳݱ‬Λߟ͑Δͱɼ΋͏ 1 ͭ୹੍͍‫ؒظݶ‬ͷ஋෯੍‫͕ݶ‬͋ͬͨ΄͏͕ྑ͍ՄೳੑΛࢦఠͰ͖Δɽ·ͨɼ‫ࡏݱ‬೔ຊͰಋೖ͕‫ݕ‬౼͞Ε͍ͯΔτϦΨʔࣜΞοϓςΟοΫɾϧʔϧ͸ɼ“ൃಈ͔ͯ͠ΒཌʑӦ‫ۀ‬೔ʹղআ”ͱ͍͏࣌ؒղআํࣜͰ͋
Δ [ۚ༥ி 13b]ɽ‫ൃޡ‬஫‫͕̍ؒظ‬Ӧ‫ۀ‬೔ఔ౓ͷ৔߹ͷΈ༗ޮͰ͋ΔՄೳੑ͕͋Δɽ·ͨɼಅམ཰ղআํࣜͰ͋Ε͹ɼͲͷΑ͏ͳ‫ൃޡ‬஫‫Ͱؒظ‬΋ରԠͰ͖ΔՄೳੑ͕͋Γɼৄࡉͳௐ
ࠪ͸ࠓ‫ޙ‬ͷ՝୊Ͱ͋Δɽ

171

ୈ9ষ

औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ Iɿ ςΟοΫɾαΠζͷҧ͍ʹΑΔऔҾࢢ৔ؒ‫ڝ‬૪
9.1 ͸͡Ίʹۙ೥ɼถࠃ΍ԤभΛத৺ʹ IT ٕज़Λ‫ͨ͠࢖ۦ‬௿ίετͷऔҾࢢ৔͕૿Ճ͓ͯ͠Γɼ఻౷తͳऔҾࢢ৔ͱग़དྷߴʢചങऔҾͷ਺ྔʣͷγΣΞΛ෼͚߹͏·Ͱʹͳͬͨ [Ҫ্07, Ҫ্ 09, ਂ‫ ݟ‬12, ਗ਼ਫ 13]ɽಉҰ໏ฑͷ‫͕ࣜג‬ෳ਺ͷऔҾࢢ৔ʹ͓͍ͯऔҾ͞ΕΔͱ͍
͏ࢢ৔෼அԽ͕‫͓͖ͯى‬Γɼͦͷੋඇ͕‫ʹൃ׆‬ٞ࿦͞Ε͍ͯΔɽ೔ຊʹ͓͍ͯ΋ɼPTS
ʢProprietary Trading SystemʣͱΑ͹ΕΔࢲઃऔҾγεςϜ͕ग़‫͠ݱ‬ɼঃʑʹऔҾ਺ྔΛ৳͹͍ͯ͠Δ [େ࡚ 12]ɽऔҾࢢ৔ؒͰͷऔҾ਺ྔͷγΣΞΛܾΊΔཁҼʹ͸ɼςΟοΫɾαΠζʢՁ֨ʹର͢Δ‫ݺ‬஋ͷࠁΈɼՁ֨ʹର͢Δ஫จՁ֨ͷ࠷খ୯Ґʣͷࡉ͔͞ɼऔҾ࣌ؒɼܾࡁͷํ๏ɼऔΓѻ͏஫จͷଟ༷ੑɼߴ଎ੑ*1 ɼγεςϜͷ҆ఆੑͳͲ༷ʑͰ͋ΔɽͦͷதͰɼςΟοΫɾαΠζͷҧ͍͸ಛʹॏཁͰ͋Δͱ͍ΘΕ͍ͯΔ͕ɼऔҾࢢ৔ؒͷऔҾ਺ྔγΣΞʹͲͷΑ͏ͳӨ‫ڹ‬Λ༩͍͑ͯΔͷ͔෼ੳ࣮ͨ͠ূ‫ڀݚ‬͸ଟ͘ͳ͍ [Ӊ໺ 12]ɽถࠃʹ͓͍ͯ͸ɼ2000 ೥લ‫͔͍ͭ͘ʹޙ‬ͷऔҾࢢ৔͕ςΟοΫɾαΠζͷେ෯ͳॖখΛߦ͓ͬͯΓɼͦͷલ‫͍͓ͯʹޙ‬ɼॖখΛߦͬͨ̍ͭͷऔҾࢢ৔ͰͲͷΑ͏ͳมԽ͕͔͋ͬͨΛௐ΂࣮ͨূ‫ڀݚ‬͸ଟ͍ɽྫ͑͹ɼ[Bessembinder 03, Chakravarty 04] ͸ɼςΟοΫɾαΠζॖখ‫ޙ‬͸ϏοτɾΞεΫɾεϓϨουʢ࠷΋ߴ͍ങ͍஫จՁ֨ͱ࠷΋͍҆ചΓ஫จՁ֨ͷࠩʣ͕‫ݮ‬গ͓ͯ͠ΓɼऔҾՁ֨෇ۙͷ஫จྔ΋૿͍͑ͯΔ͜ͱΛࣔͨ͠ɽ[Chung 04] ͸͞ΒʹɼಛʹऔҾྔ͕ଟ͍‫ࣜג‬΍ϏοτɾΞεΫɾεϓϨου͕޿͔ͬͨ‫ג‬*1 औҾࢢ৔ؒͷ‫ڝ‬૪ʹ͓͚Δߴ଎Խͷॏཁੑʹؔͯ͠ͷղઆʹ [ਫా 12a]ɽ

172

ୈ9ষ

औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ Iɿ ςΟοΫɾαΠζͷҧ͍ʹΑΔऔҾࢢ৔ؒ‫ڝ‬૪ࣜʹɼͦͷ܏޲͕‫ݦ‬ஶͰ͋Δ͜ͱΛࣔͨ͠ɽ[Zhao 06] ͸ςΟοΫɾαΠζͷॖখͰϑΝϯμϝϯλϧՁ֨ʹ‫ͮ͘ج‬౤ࢿઓུʹΑΔ஫จ͕૬ରతʹ૿͑ͨՄೳੑΛࢦఠͨ͠ɽ
͔͠͠ͳ͕ΒɼςΟοΫɾαΠζ͸༰қʹมߋͰ͖ͳ͍ͨΊɼςΟοΫɾαΠζ͸୯७ʹࡉ͔͚Ε͹ࡉ͔͍΄ͲγΣΞ͕޲্͢Δ΋ͷͳͷ͔ɼͦ΋ͦ΋ςΟοΫɾαΠζͷཧ૝తͳਫ४ʹ͍ͭͯͷٞ࿦Λ࣮ূ෼ੳͰߦ͏͜ͱ͸ࠔ೉Λ൐͏ɽ͜ͷΑ͏ͳٞ࿦Λ͢ΔͨΊʹ͸ɼਓ޻ࢢ৔γϛϡϨʔγϣϯ͕༗ޮͰ͋Δ [࿨ઘ 03, LeBaron 06, Chen 12, ࿨ઘ

12b, Cristelli 14]ɽ̍ͭͷऔҾࢢ৔͕ଘࡏ͢Δ৔߹ɼςΟοΫɾαΠζͷେখͰՁ֨‫ܗ‬੒ʹͲͷΑ͏ͳӨ‫ڹ‬Λ༩͑ɼͲͷΑ͏ͳछྨͷ౤ࢿՈʹͱͬͯ༗རʹͳΔ͔ɼෆརʹͳΔ͔Λௐ΂ͨਓ޻ࢢ৔
γϛϡϨʔγϣϯ‫ͯ͠ͱڀݚ‬ɼ[Darley 07] ͕͋Δɽ͔͠͠ɼςΟοΫɾαΠζ͕ҟͳΔෳ਺ͷऔҾࢢ৔ؒͰͷऔҾ਺ྔγΣΞͷҠΓมΘΓʹؔͯ͠ਓ޻ࢢ৔γϛϡϨʔγϣϯͰ෼ੳͨ͠‫ڀݚ‬͸ͳ͔ͬͨɽ
औҾࢢ৔ͷબ୒͸ɼ਺ϛϦඵɼ਺ϚΠΫϩඵͱ͍ͬͨɼߴස౓ʹൃ஫Λߦ͏ΞϧΰϦζ
ϜɾτϨʔυͳͲͰࣗಈతʹߦΘΕΔ͜ͱ͕ଟ͍ɽͦͷͨΊɼऔҾࢢ৔ͷબ୒ʹ͍ͭͯ෼ੳΛߦ͏ͨΊͷਓ޻ࢢ৔Ϟσϧ͸ɼ໿ఆ݅਺΍Ωϟϯηϧ཰ɼ1 ςΟοΫ͝ͱͷಅམ཰ͷඪ४ภࠩͳͲɼߴස౓ͳ࣌ؒεέʔϧͰͷੑ࣭ʢϚʔέοτɾϚΠΫϩɾετϥΫνϟʔ [ଠా 11]ʣΛ࠶‫͢ݱ‬Δඞཁ͕͋Δͱߟ͑ΒΕΔɽ
ຊষͰ͸ɼୈ 5 ষͰड़΂ͨϕʔεϞσϧʹࡉ͔͍मਖ਼ΛՃ͑ͯϚʔέοτɾϚΠΫϩɾετϥΫνϟʔΛ࠶‫͠ݱ‬ɼ̎ͭͷऔҾࢢ৔͕ଘࡏ͢Δ৔߹ΛϞσϧԽͨ͠ɽ͜ͷਓ޻ࢢ৔ϞσϧΛ༻͍ͯγϛϡϨʔγϣϯΛߦ͍ɼςΟοΫɾαΠζͱॳ‫ظ‬ͷग़དྷߴγΣΞͷΈ͕ҟͳΔ 2 ͭͷऔҾࢢ৔͕͋Δ৔߹ʹɼͲͷΑ͏ͳ৚݅ͷ৔߹ʹγΣΞ͕ҠΓมΘΔͷ͔ௐ΂Δɽͦͯ͠ɼ౦‫݊ূژ‬औҾॴͷ 1 ೥෼ (2012 ೥) ͷ࣮ࢢ৔σʔλΛ༻͍࣮ͨূ෼ੳ΋ߦ͍ɼγϛϡϨʔγϣϯ݁Ռͱͷൺֱ΋ߦ͏ɽ

173

9.2 ਓ޻ࢢ৔Ϟσϧ

9.2 ਓ޻ࢢ৔Ϟσϧୈ 5 ষͰड़΂ͨϕʔεϞσϧʹࡉ͔͍मਖ਼ΛՃ͑ͯϚʔέοτɾϚΠΫϩɾετϥΫνϟʔΛ࠶‫͠ݱ‬ɼ̎ͭͷऔҾࢢ৔͕ଘࡏ͢Δ৔߹΋ϞσϧԽͨ͠ɽ9.2.1 ϚʔέοτɾϚΠΫϩɾετϥΫνϟʔͷ࠶‫ݱ‬ͷͨΊͷमਖ਼t
ୈ 5 ষͰड़΂ͨϕʔεϞσϧͷ͏ͪɼ஫จՁ֨ Po,jͷܾఆʹमਖ਼ΛՃ͑ͨɽ஫จՁ
tt
֨ Po,j͸ฏ‫ ۉ‬Pe,jɼඪ४ภࠩ Pσ ͷਖ਼‫ن‬෼෍ཚ਺ͰܾΊΔɽ͜͜ͰɼPσ ͸ఆ਺Ͱ͋ΓɼPσ = 30 ͱͨ͠ɽ·ͨɼ஫จͷΩϟϯηϧ࣌ؒ tc Λ 1 Ӧ‫ۀ‬೔ʹ͋ΘͤΔͨΊɼtc = 20, 000ͱ஋ͷमਖ਼Λߦͬͨɽͦͯ͠ɼσ = 0.06 ͱमਖ਼ͨ͠ɽ·ͨγϛϡϨʔγϣϯ͸ 500 Ӧ‫ۀ‬೔ʹ૬౰͢Δ࣌ࠁ t = 10, 000, 000 ·Ͱߦͬͨɽͦͷଞͷύϥϝʔλ͸ୈ 5 ষͰड़΂ͨϕʔεϞσϧͱಉ͡Ͱ͋Δɽ

9.2.2 ̎ͭͷऔҾࢢ৔ͷϞσϧԽ
1 ͭͷϦεΫࢿ࢈Λ 2 ͭͷऔҾࢢ৔ͰऔҾͰ͖Δ৔߹ΛϞσϧԽ͢Δɽ2 ͭͷऔҾࢢ৔͸ςΟοΫɾαΠζʢ‫ݺ‬஋ͷࠁΈɼ஫จՁ֨ͷ࠷খ୯ҐʣͱɼҎԼʹड़΂Δग़དྷߴʢചങ
औҾ͕੒ཱͨ͠਺ྔʣͷγΣΞ WA , WB ͷॳ‫ظ‬஋Ҏ֎͸શ͘ಉ͡Ͱ͋Δɽ2 ͭͷऔҾࢢ৔ AɼB ͕͋Δ৔߹ɼ֤ΤʔδΣϯτ͸ͲͪΒͷऔҾࢢ৔ʹ஫จΛग़͔͢ΛܾΊΔඞཁ͕͋ΔɽҎԼʹड़΂ΔຊϞσϧͰͷࢢ৔બ୒ํ๏͸ɼ࣮ࡍͷۚ༥ࢢ৔Ͱ༻͍ΒΕ͍ͯΔࢢ৔഑෼ΞϧΰϦζϜ (SOR, Smart Order Routing)*2 ΍ɼ[Adhami 10] ͰఏҊ͞Εͨํ๏*3 ͱಉ͡ํ๏Ͱ͋Δɽ֤ΤʔδΣϯτ͸஫จΛग़͢͝ͱʹͲͪΒͷऔҾࢢ৔ʹग़͔͢Λ൑ఆ͢
Δɽങ͍ (ചΓ) ஫จͷ৔߹ɼऔҾࢢ৔ AɼB ͝ͱʹ࠷΋͍҆ (ߴ͍) ചΓʢങ͍ʣ஫จΛ୳͠ɼ͜ΕΛ࠷ྑՁ֨ͱ‫Ϳݺ‬ɽऔҾࢢ৔ AɼB ͷ࠷ྑՁ͕֨ҟͳΓɼ͔ͭগͳ͘ͱ΋͍ͣΕ͔ͷऔҾࢢ৔Ͱ੒ߦ஫จͱͳΔ৔߹͸ɼΑΓΑ͍࠷ྑՁ֨ʢങ͍ʢചΓʣ஫จͷ৔߹͍҆ʢߴ͍ʣํͷ࠷ྑՁ֨ʣΛఏ͍ࣔͯ͠ΔऔҾࢢ৔ʹ஫จΛग़͢ɽͦͷଞͷ৔߹ɼͭ·Γ 2 ͭͷऔҾࢢ৔ͷ࠷ྑՁ͕֨ಉ͔͡ɼ͍ͣΕͷ࠷ྑՁ֨ʹ͓͍ͯ΋ࢦ஋஫จͱͳΔ৔߹
͸ɼ֬཰ WA ɼ

WA =

*2
*3

TA
TA + T B(9.1)[ਿ‫ ݪ‬10, CS 13, GS 13] ͳͲʹ۩ମతͳํ๏͕ड़΂ΒΕ͍ͯΔɽ
[Adhami 10] Ͱ͸ࢢ৔ผʹऔҾख਺ྉ΍ࣥߦεϐʔυ΋ҟͳΔ৔߹΋ѻ͍ͬͯΔ͕ɼຊ‫ڀݚ‬ͷΑ͏ʹςΟοΫɾαΠζҎ֎ͱա‫ڈ‬ͷചങγΣΞҎ֎͸ಉҰͰ͋ΔͱԾఆ͢ΔͱɼຊϞσϧͱಉҰʹͳΔɽ

174

ୈ9ষ

औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ Iɿ ςΟοΫɾαΠζͷҧ͍ʹΑΔऔҾࢢ৔ؒ‫ڝ‬૪ͰऔҾࢢ৔ A ΛબͿɽ͜͜ͰɼTA ͸औҾࢢ৔ A ͷա‫ ڈ‬tAB ‫ؒظ‬ͷग़དྷߴɼTB ͸औҾࢢ
৔ B ͷͦΕͰ͋Δɽ͕ͨͬͯ͠औҾࢢ৔ B ΛબͿ֬཰ WB ͸ɼ֬཰ WB = 1 − WA =TB /(TA + TB ) ͱͳΔɽ·ͨɼ࣌ࠁ tAB ʹୡ͢Δ·Ͱͷ WA ͸ग़དྷߴγΣΞͷॳ‫ظ‬஋ͱͯ͠֎͔Β༩͑ΔɽऔҾࢢ৔ͷબ୒ʹ͍ͭͯ·ͱΊΔͱɼ੒ߦ஫จͰऔҾՁ͕֨ҟͳΔ৔
߹͸ɼඞͣ༗རͱͳΔऔҾࢢ৔ʹɼͦͷଞͷ৔߹͸ɼग़དྷߴͷγΣΞʹԠͯ͡஫จΛग़͢ɽ

9.3 γϛϡϨʔγϣϯ݁Ռ175

9.3 γϛϡϨʔγϣϯ݁Ռ9.3.1 ଥ౰ੑ෼ੳ
ද 9.1 ͸ɼऔҾࢢ৔͕ 1 ͭͷ৔߹ʹ͓͍ͯɼςΟοΫɾαΠζΛ༷ʑʹมԽͤͨ͞৔߹
ͷ౷‫ྔܭ‬Λࣔͨ͠ɽ౷‫ྔܭ‬͸ 100 ճͷࢼߦͷฏ‫ۉ‬஋Λ༻͍ͨɽ͜͜ͰςΟοΫɾαΠζ͸ɼϑΝϯμϝϯλϧՁ֨ Pf ʹର͢Δൺ཰Ͱࣔͨ͠ɽ·ͨɼ֓Ͷ t = 20, 000 ‫࣮Ͱؒظ‬ࡍͷࢢ৔Ͱͷ 1 Ӧ‫ۀ‬೔ͷ໿ఆ (ചങ੒ཱ) ݅਺ʹୡ͢ΔͨΊɼ͜ͷ‫ؒظ‬Λ 1 Ӧ‫ۀ‬೔ͱఆٛͨ͠ɽ໿ఆ཰ɼΩϟϯηϧ཰ͱ΋ʹ͍ͣΕͷςΟοΫɾαΠζʹ͓͍ͯ΋࣮ࡍͷࢢ৔ͷ஋ʹ͍ۙ஋Λಘ͓ͯΓɼϞσϧͷଥ౰ੑΛ͍ࣔࠦͯ͠Δ*4 ɽ1 ೔ (20,000 ‫ͱ͝ )ؒظ‬ͷಅམ཰ͷඪ४ภࠩ΋ɼ֓Ͷ࣮ࡍͷࢢ৔ʹ͍ۙ஋*5 ͕ಘΒΕɼ͜ͷଆ໘͔Β΋Ϟσϧͷଥ౰ੑΛ͍ࣔࠦͯ͠Δɽͨͩ͠ɼςΟοΫɾαΠζ͕ 1% ʹͳΔͱɼ1 ςΟοΫ͝ͱɼ‫ͼٴ‬ɼ1 ೔͝ͱͷ྆ํͷಅམ཰ͷඪ४ภ্͕ࠩঢ͍ͯ͠Δ͜ͱ΋෼͔Δɽ
ୈ 3 ষͰड़΂ͨΑ͏ʹɼਓ޻ࢢ৔Ϟσϧͷଥ౰ੑ͸࣮ূ෼ੳͰಘΒΕ͍ͯΔϑΝοτɾςʔϧ΍ϘϥςΟϦςΟɾΫϥελϦϯάͱ͍ͬͨ୅දతͳελΠϥΠζυɾϑΝΫτ͕࠶‫͖Ͱݱ‬Δ͔Ͳ͏͔ͰධՁ͞ΕΔɽද 9.1 Ͱ͸ɼ10 ඵ (໿ 10 ‫ͱ͝ )ؒظ‬ͷಅམ཰Λ༻͍ͯ‫ͨ͠ࢉܭ‬ઑ౓*6 ͱಅམ཰ͷ 2 ৐ͷࣗ‫ݾ‬૬ؔ΋͍ࣔͯ͠Δɽ͍ͣΕͷγϛϡϨʔγϣϯͰ΋ઑ౓͕ϓϥεͰϑΝοτɾςʔϧͱͳ͓ͬͯΓɼಅམ཰ͷ 2 ৐ͷࣗ‫ݾ‬૬ؔ΋ϥά͕͋ͬͯ΋ϓϥεͰϘϥςΟϦςΟɾΫϥελϦϯά΋࠶‫͞ݱ‬Ε͓ͯΓɼϞσϧ͕ଥ౰Ͱ͋Δ͜ͱ
Λ͍ࣔͯ͠Δɽ͔͠͠ɼςΟοΫɾαΠζ͕ 1% ͷ৔߹ͷΈɼϥά͕େ͖͘ͳΔͱಅམ཰ͷ 2 ৐ͷࣗ‫ݾ‬૬ؔ͸΄ͱΜͲθϩʹͳͬͯ͠·͍ͬͯΔɽ͜Ε͸ɼςΟοΫɾαΠζ͕େ͖͗͢ΔͨΊɼ10 ඵؒͩͱಅམͷେ͖͕͞ 0 ͔ 1 ςΟοΫ෼ͷ 1% ͔͠΄ͱΜͲͱΓ͑ͳ͍ͨΊɼঃʑʹϘϥςΟϦςΟ্͕ঢͨ͠Γ‫ݮ‬গͨ͠ΓͰ͖ͳ͘ͳ͍ͬͯΔ͜ͱ͕ߟ͑
ΒΕΔɽҎ্ʹΑΓɼຊষͷϞσϧ͕ɼ໿ఆ݅਺΍Ωϟϯηϧ཰ɼ̍ςΟοΫ͝ͱͷಅམ཰ͷඪ४ภࠩͳͲϚʔέοτɾϚΠΫϩɾετϥΫνϟʔͷੑ࣭͓Αͼɼ௕‫؍ʹظ‬ଌ͞ΕΔՁ
֨มಈͷ౷‫ܭ‬తͳੑ࣭΋࠶‫͍ͯ͠ݱ‬Δ͜ͱ͕ࣔ͞ΕͨɽͦΕΏ͑ɼຊষͷ໨తͰ͋Δɼ2
ͭͷऔҾࢢ৔ؒͰͷऔҾྔγΣΞҠಈͷ෼ੳΛߦ͏ͷʹଥ౰ͳϞσϧͰ͋Δ͜ͱ͕ࣔ͞
*4 ࣮ࡍͷࢢ৔ͷ౷‫ྔܭ‬ͷ͏ͪɼ1 ໏ฑ͋ͨΓͷ 1 Ӧ‫ۀ‬೔ͷ໿ఆ݅਺ (ςΟοΫճ਺)ɼ໿ఆ཰ = ໿ఆ݅਺/(஫จ݅਺ + Ωϟϯηϧ݅਺)ɼΩϟϯηϧ཰=Ωϟϯηϧ݅਺/(஫จ݅਺ + Ωϟϯηϧ݅਺) ͸ [౦ূ 10]Λࢀরɽ*5 ຊ‫ڀݚ‬ͷγϛϡϨʔγϣϯͰ͸ΦʔόʔφΠτ͕ଘࡏ͠ͳ͍ͷͰɼ͜͜Ͱͷ 1 ೔͝ͱͷಅམ཰ͷඪ४ภࠩ͸ɼ࣮ࡍͷࢢ৔ͷΠϯτϥσΠͷϘϥςΟϦςΟʹ૬౰͢Δɽ࣮ࡍͷࢢ৔ͷ஋͸ [Ӊ໺ 12] Λࢀরɽ
*6 ͜͜Ͱͷઑ౓ͷఆٛ͸ɼਖ਼‫ن‬෼෍Ͱ 0 ͱͳΔఆٛͰ͋Δɽ͢ͳΘͪɼn ‫ݸ‬ͷσʔλ xi (i = 1, , , n) ͕͋Δnͱ͖ɼxi ͷฏ‫ۉ‬Λ X ɼඪ४ภࠩΛ S ͱ͢Δͱઑ౓ K ͸ɼK = 1/(nS 4 ) ×(x − X)4 − 3ɼͱi=1 i
͢ΔఆٛΛ࢖༻ͨ͠ɽ

176

ୈ9ষ

औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ Iɿ ςΟοΫɾαΠζͷҧ͍ʹΑΔऔҾࢢ৔ؒ‫ڝ‬૪Εͨɽ

9.3.2 γΣΞͷਪҠ࣍ʹऔҾࢢ৔͕ 2 ͭ͋Δ৔߹ͷγΣΞͷҠΓมΘΓΛௐ΂ͨɽऔҾࢢ৔ A ͱऔҾࢢ৔B ͸ɼςΟοΫɾαΠζͱॳ‫ظ‬ͷग़དྷߴγΣΞҎ֎͸શ͘ಉ͡Ͱ͋ΔɽtAB = 10, 000 ͱͨ͠ɽਤ 9.1 ͸ɼऔҾࢢ৔ A ͷग़དྷߴͷγΣΞͷਪҠͰ͋ΔɽॳΊ WA = 0.9 ͱ͠ɼऔҾࢢ৔ B ͷςΟοΫɾαΠζ ΔPB = 0.01% ͱͨ͠ɽऔҾࢢ৔ A ͷςΟοΫɾαΠζ ΔPAΛ༷ʑʹมԽͤͨ͞ͱ͜ΖɼΔPA ͕େ͖͚Ε͹େ͖͍΄ͲɼऔҾࢢ৔ B ΁γΣΞͷҠΓมΘΔͷ͕଎͍͜ͱ͕෼͔Δɽ
Ұํɼਤ 9.2 ͸ ΔPB = 0.0001% ͱͨ͠৔߹ͷγΣΞͷਪҠͰ͋Δɽਤ 1 ͷ৔߹ΑΓ΋

ΔPB ͕ 100 ෼ͷ 1 ͱͳ͍ͬͯΔͨΊɼΔPA ΋ 100 ෼ 1 ͱͨ͠ɽ͢ΔͱɼऔҾࢢ৔ B ͸γΣΞΛ΄ͱΜͲୣ͑ͳ͍͜ͱ͕෼͔ͬͨɽ྆औҾࢢ৔ͷςΟοΫɾαΠζ͸ਤ 1 ͷ৔߹ͱಉ͘͡Β͍ͷൺ཰ͷ͕ࠩ͋Δʹ΋ؔΘΒͣɼ΄ͱΜͲγΣΞΛୣ͑ͳ͍ͷͰ͋Δɽͭ·Γɼ༨Γʹ΋ࡉ͔͍ςΟοΫɾαΠζͷ‫ڝ‬૪͸ҙຯ͕ͳ͘ɼ‫ࡏݱ‬ͷγΣΞΛҡ࣋͢Δ͜ͱ͕෼͔Δɽ

ΔPB = 0.01% ʹ‫ݻ‬ఆ͠ɼtAB Λ͞·͟·ʹมԽͤͨ͞ɽtAB
ਤ 9.3 ͸ɼΔPA = 0.1%ɼ
͕େ͖͍΄ͲγΣΞͷҠΓมΘΔ଎͕͞஗͍͜ͱ͕෼͔ΓɼॏཁͳύϥϝʔλͰ͋Δ͜ͱ
Λ͍ࣔͯ͠Δɽ

9.3.3 γΣΞ͕มಈ͢ΔςΟοΫɾαΠζͲΕ͘Β͍ͷςΟοΫɾαΠζҎԼͳΒγΣΞ૪͍ʹӨ‫ڹ‬Λ༩͑ͳ͍ͷ͔ٞ࿦͢Δɽද

9.2 ͸ tAB Λ‫ݻ‬ఆ͠ɼΔPA ͱ ΔPB Λ༷ʑʹมԽͤͨ͞৔߹ͷ 500 Ӧ‫ۀ‬೔‫ޙ‬ͷऔҾࢢ৔A ͷग़དྷߴγΣΞ WA Λࣔͨ͠ɽ֤ύϥϝʔλͰ 100 ճͷࢼߦΛߦ͍ͦͷฏ‫ۉ‬஋Λ༻͍
ͨɽ10% Ҏ্ 80% ະຬΛബ͍ӨΛɼ10% ະຬΛೱ͍ӨΛ͚ͭͨɽॳ‫ظ‬ͷ WA = 0.9 Ͱ͋Δɽ·ͨɼ͜͜ʹ 3 ͭͷ‫ڥ‬քઢɼ

ΔPA ≤ ΔPB (ഁઢ)(9.2)

ΔPA < σt  0.05% (2 ॏઢ)
1ΔPA <σt  0.005% (࣮ઢ)
10

(9.3)
(9.4)

Λඳ͍ͨɽ͜͜Ͱ σt ͸ςΟοΫɾαΠζ͕े෼খ͍͞ͱ͖ͷ 1 ςΟοΫ͝ͱͷಅམ཰ͷඪ४ภࠩͰ͋Γɼද 1 ΑΓ໿ 0.05% ͱ‫ٻ‬Ίͨɽ
ද 9.2 ʹ͓͍ͯɼࣜ 9.2 ͕ࣔ͢ͷ͸֊ஈঢ়ͷഁઢΑΓӈ্Ͱ͋Γɼࣜ 9.3ɼࣜ 9.4 ͕ࣔ͢ͷ͸ 2 ॏઢɼ࣮ઢΑΓ্Ͱ͋Δɽࣜ 9.2ɼࣜ 9.4 ͷ͍ͣΕ͔ҰํΛຬͨͤ͹ɼӨ͕͍͍ͭͯͳ͍ྖҬͱͳ͓ͬͯΓɼऔҾࢢ৔ A ͸γΣΞΛ΄ͱΜͲୣΘΕ͍ͯͳ͍͜ͱ͕෼͔Δɽ

9.3 γϛϡϨʔγϣϯ݁Ռ177

ࣜ 9.2ɼࣜ 9.3 ͷ྆ํΛຬͨ͞ͳ͍ࠨԼͷྖҬ͸΄ͱΜͲ͕ೱ͍Өͱͳ͓ͬͯΓɼγΣΞΛ‫ٸ‬଎ʹୣΘΕ͍ͯΔ͜ͱ͕෼͔Δɽࣜ 9.4 ͕࣮ࣔ͢ઢΑΓ্ଆͰ͸ ΔPB ͕ͲΜͳʹখͯ͘͞΋औҾࢢ৔ A ͸γΣΞΛୣΘΕͣɼࣜ 9.3 ͕ࣔ͢ 2 ॏઢΑΓ্ଆͰ͸γΣΞ͕‫ٸ‬଎ʹ͸ୣΘΕ͍ͯͳ͍͜ͱ͕෼͔Δɽͭ·ΓɼςΟοΫɾαΠζ͕ σt ΑΓখ͚͞Ε͹γΣΞΛୣΘΕʹ͘͘ͳΓɼσt ͷ 1/10 ΑΓখ͚͞Ε͹γΣΞ͕΄ͱΜͲୣΘΕͯͳ͍ɽද 9.3 ͸ ΔPB = 0.0001% ͱ‫ݻ‬ఆ͠ tAB Λ͞·͟·ʹมԽͤͨ͞ɽࣜ 9.2 ͸શͯͷྖҬͰຬ͍ͨͯ͠ͳ͍ɽtAB ͕େ͖͘ͳΔʹͭΕͯऔҾࢢ৔ A ͸γΣΞΛୣΘΕʹ͘͘ͳ͍ͬͯΔɽ͔͠͠ɼࣜ 9.4 ͕࣮ࣔ͢ઢΑΓ্ଆͰ͸Ͳͷ tAB Ͱ΋γΣΞΛୣΘΕ͍ͯͳ͍ɽςΟοΫɾαΠζ͕ σt ͷ 1/10 ఔ౓ΑΓখ͚͞Ε͹ɼ͞·͟·ͳ‫ڥ؀‬ԼͰγΣΞΛ΄ͱΜͲୣΘΕͳ͍Մೳੑ͕͋Δ͜ͱΛ͍ࣔͯ͠Δɽ
ਤ 9.4 ͸ɼΔPA Λ༷ʑʹม͑ͨͱ͖ͷɼ1 ςΟοΫ͝ͱͷಅམ཰ͷඪ४ภࠩ σt ɼ500 Ӧ‫ۀ‬೔‫ޙ‬ͷऔҾࢢ৔ A ͷग़དྷߴγΣΞ (࠷ऴγΣΞ) Λࣔͨ͠ɽ͍ͣΕͷ஋΋ 100 ճͷࢼߦͷฏ‫ۉ‬஋Λ༻͍ͨɽࠨͷॎ࣠‫ͼٴ‬ԣ࣠͸ର਺໨੝Ͱ͋ΔɽΔPB = 0.0001% Ͱ͋Γɼ͢΂ͯͷྖҬͰࣜ 9.2 Λຬͨ͞ͳ͍ɽσt = σt Λ఺ઢͰɼΔPA = 1/10σt , σt ΛഁઢͰࣔͨ͠ɽ

ΔPA = σt ΑΓࠨଆͰ͸ σt  σt ͱͳ͓ͬͯΓɼΔPA ͷมԽ͕ σt ʹӨ‫ڹ‬Λ༩͍͑ͯͳ͍ɽ͜ΕҎ্ςΟοΫɾαΠζΛখͯ͘͞͠΋Ձ֨‫ܗ‬੒ʹ͸ҙຯΛ΋ͨΒ͞ͳ͍ͱ΋‫͑ݴ‬ΔɽΔPA = σt ΑΓӈଆʹ͓͍ͯ͸ɼΔPA ্͕ঢ͢Δͱ σt ্͕ঢ͍ͯ͠ΔɽຊདྷͳΒ ΔPA ΑΓ΋΋ͬͱࡉ͔͘Ձ͕֨มಈ͢Δͱߟ͑ΒΕΔ৔߹Ͱ΋ɼΔPA ΑΓ΋খ͍͞Ձ֨มಈ͕‫͞ڐ‬Εͳ͍ͨΊɼՁ֨มಈ͕ ΔPA Ͱܾ·ͬͯ͠·͍ͬͯΔ͜ͱΛදͯ͠
͍Δɽग़དྷߴγΣΞΛ‫ݟ‬Δͱɼ͜ͷྖҬͰ͸ɼ‫ٸ‬଎ʹγΣΞ͕ҠΓมΘͬͨ͜ͱ͕෼͔
ΔɽҰํɼΔPA = 1/10σt ΑΓࠨଆͰ͸΄ͱΜͲγΣΞͷҠΓมΘΓ͕ͳ͍ɽؒͷྖҬ

(ΔPA = 1/10σt ʙσt ) Ͱ͸ɼσt  σt ͱͳ͍ͬͯΔ΋ͷͷɼΏͬ͘ΓͰ͸͋Δ͕γΣΞ͕ҠΓมΘ͍ͬͯΔ͜ͱ͕෼͔ΔɽҎ্Λਤ 9.5 Λ༻͍ͯ·ͱΊΔɽΔPA ͕ σt ఔ౓ΑΓେ͖͍৔߹ (ਤ 9.5 ͷ্)ɼ΋͠

ΔPB ͕ ΔPA ΑΓখ͚͞Ε͹ɼΔPA ͷ಺ଆͰଟ͘ͷऔҾ͕ߦΘΕऔҾࢢ৔ B ͷΈͰͷऔҾ͕ଟ͘ͳΓɼग़དྷߴγΣΞ͕औҾࢢ৔ B ʹ‫ٸ‬଎ʹҠΔ͜ͱʹͳΔɽҰํɼΔPA ͕

1/10σt ఔ౓ΑΓখ͍͞৔߹ (ਤ 9.5 ͷԼ) ͸ɼΔPB ͕͍͘Βখͯ͘͞΋ɼΔPA Λ·͙ͨऔҾ͕ଟ͍ͷͰɼऔҾࢢ৔ B ͚ͩͰऔҾ͞ΕΔ͜ͱ͸ଟ͘͸ͳΒͳ͍ͷͰɼग़དྷߴγΣΞ͸΄ͱΜͲಈ͔ͳ͍ɽͦͷؒͷ৔߹ɼ(ΔPA = 1/10σt ʙσt )ɼग़དྷߴγΣΞ͸Ώͬ͘ΓҠΓมΘ͍ͬͯ͘͜ͱͱͳΔɽ

178

ୈ9ষ

औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ Iɿ ςΟοΫɾαΠζͷҧ͍ʹΑΔऔҾࢢ৔ؒ‫ڝ‬૪

ද 9.1

ςΟοΫɾαΠζΛ༷ʑʹมԽͤͨ͞৔߹ͷ౷‫ྔܭ‬ɽ䝔䜱䝑䜽䝃䜲䝈㻔㻑㻕⣙ᐃ⋡ὀᩥ≧ἣ䜻䝱䞁䝉䝹⋡
䠍᪥⣙ᐃ௳ᩘ
㻝䝔䜱䝑䜽㻔㻝ᮇ㛫㻕
㦐ⴠ⋡䛾
ᶆ‽೫ᕪ
䠍᪥㻔㻞㻜㻜㻜㻜ᮇ㛫㻕㦐ⴠ⋡䛾ᑤᗘ䝷䜾㻝㻞㦐ⴠ⋡䛾䠎஌䛾㻟⮬ᕫ┦㛵㻠㻡㻜㻚㻜㻜㻜㻝㻑
㻞㻟㻚㻡㻑
㻞㻢㻚㻞㻑
㻢㻘㻟㻢㻝
㻜㻚㻜㻡㻑
㻜㻚㻡㻥㻑
㻝㻚㻡㻜

㻜㻚㻜㻜㻝㻑
㻞㻟㻚㻡㻑
㻞㻢㻚㻞㻑
㻢㻘㻟㻡㻤
㻜㻚㻜㻡㻑
㻜㻚㻡㻢㻑
㻝㻚㻠㻤

㻜㻚㻜㻝㻑
㻞㻟㻚㻠㻑
㻞㻢㻚㻟㻑
㻢㻘㻟㻠㻡
㻜㻚㻜㻡㻑
㻜㻚㻡㻣㻑
㻝㻚㻠㻡

㻜㻚㻝㻑
㻞㻟㻚㻝㻑
㻞㻢㻚㻢㻑
㻢㻘㻞㻣㻥
㻜㻚㻜㻢㻑
㻜㻚㻡㻣㻑
㻝㻚㻝㻜

㻝㻑
㻞㻞㻚㻝㻑
㻞㻣㻚㻢㻑
㻢㻘㻜㻤㻝
㻜㻚㻝㻢㻑
㻝㻚㻝㻡㻑
㻝㻚㻤㻝

㻜㻚㻞㻞㻥
㻜㻚㻝㻠㻝
㻜㻚㻝㻜㻥
㻜㻚㻜㻥㻝
㻜㻚㻜㻣㻤

㻜㻚㻞㻞㻤
㻜㻚㻝㻠㻝
㻜㻚㻝㻜㻤
㻜㻚㻜㻥㻝
㻜㻚㻜㻣㻤

㻜㻚㻞㻞㻤
㻜㻚㻝㻠㻝
㻜㻚㻝㻜㻤
㻜㻚㻜㻥㻝
㻜㻚㻜㻣㻤

㻜㻚㻞㻝㻜
㻜㻚㻝㻞㻜
㻜㻚㻜㻥㻜
㻜㻚㻜㻣㻡
㻜㻚㻜㻢㻠

㻜㻚㻜㻞㻡
㻜㻚㻜㻝㻟
㻜㻚㻜㻜㻤
㻜㻚㻜㻜㻢
㻜㻚㻜㻜㻠

179

㻝㻜㻜㻑
㻥㻜㻑
㻤㻜㻑
㻣㻜㻑
㻢㻜㻑
㻡㻜㻑
㻠㻜㻑
㻟㻜㻑
㻞㻜㻑
㻝㻜㻑
㻜㻑

ྲྀᘬᕷሙ䠝䛾ฟ᮶㧗䝅䜵䜰᥎⛣㻌㼠㻭㻮㻩㻡᪥䠈䏓㻼㻮㻩㻜㻚㻜㻝㻑䛾ሙྜ㻌䏓㻼㻭㻩㻜㻚㻜㻝㻑㻌䏓㻼㻭㻩㻜㻚㻜㻡㻑㻌䏓㻼㻭㻩㻜㻚㻝㻑㻌䏓㻼㻭㻩㻜㻚㻞㻑㻌

㻜
㻞㻡
㻡㻜
㻣㻡
㻝㻜㻜
㻝㻞㻡
㻝㻡㻜
㻝㻣㻡
㻞㻜㻜
㻞㻞㻡
㻞㻡㻜
㻞㻣㻡
㻟㻜㻜
㻟㻞㻡
㻟㻡㻜
㻟㻣㻡
㻠㻜㻜
㻠㻞㻡
㻠㻡㻜
㻠㻣㻡
㻡㻜㻜

ྲྀᘬᕷሙ䠝䛾ฟ᮶㧗䝅䜵䜰㻌

9.3 γϛϡϨʔγϣϯ݁Ռ⤒㐣Ⴀᴗ᪥㻌ਤ 9.1

ΔPA Λ༷ʑʹมԽͤͨ࣌͞ͷऔҾࢢ৔ A ͷग़དྷߴͷγΣΞͷਪҠ (ΔPB = 0.01%)ɽ

180

㻝㻜㻜㻑
㻥㻜㻑
㻤㻜㻑
㻣㻜㻑
㻢㻜㻑
㻡㻜㻑
㻠㻜㻑
㻟㻜㻑
㻞㻜㻑
㻝㻜㻑
㻜㻑

औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ Iɿ ςΟοΫɾαΠζͷҧ͍ʹΑΔऔҾࢢ৔ؒ‫ڝ‬૪ྲྀᘬᕷሙ䠝䛾ฟ᮶㧗䝅䜵䜰᥎⛣㻌㼠㻭㻮㻩㻡᪥䠈䏓㻼㻮㻩㻜㻚㻜㻜㻜㻝㻑䛾ሙྜ㻌䏓㻼㻭㻩㻜㻚㻜㻜㻜㻝㻑㻌䏓㻼㻭㻩㻜㻚㻜㻜㻜㻡㻑㻌䏓㻼㻭㻩㻜㻚㻜㻜㻝㻑㻌䏓㻼㻭㻩㻜㻚㻜㻜㻞㻑㻌

㻜
㻞㻡
㻡㻜
㻣㻡
㻝㻜㻜
㻝㻞㻡
㻝㻡㻜
㻝㻣㻡
㻞㻜㻜
㻞㻞㻡
㻞㻡㻜
㻞㻣㻡
㻟㻜㻜
㻟㻞㻡
㻟㻡㻜
㻟㻣㻡
㻠㻜㻜
㻠㻞㻡
㻠㻡㻜
㻠㻣㻡
㻡㻜㻜

ྲྀᘬᕷሙ䠝䛾ฟ᮶㧗䝅䜵䜰㻌

ୈ9ষ⤒㐣Ⴀᴗ᪥㻌
ਤ 9.2

ΔPA Λ༷ʑʹมԽͤͨ࣌͞ͷऔҾࢢ৔ A ͷग़དྷߴͷγΣΞͷਪҠ (ΔPB = 0.0001%)ɽ

181

㻝㻜㻜㻑
㻥㻜㻑
㻤㻜㻑
㻣㻜㻑
㻢㻜㻑
㻡㻜㻑
㻠㻜㻑
㻟㻜㻑
㻞㻜㻑
㻝㻜㻑
㻜㻑

ྲྀᘬᕷሙ䠝䛾ฟ᮶㧗䝅䜵䜰᥎⛣㻌㻌䏓㻼㻭㻩㻜㻚㻝㻑䠈䏓㻼㻮㻩㻜㻚㻜㻝㻑䛾ሙྜ㻌㼠㻭㻮㻩㻝᪥㻌㼠㻭㻮㻩㻡᪥㻌㼠㻭㻮㻩㻝㻜᪥㻌㼠㻭㻮㻩㻡㻜᪥㻌

㻜
㻞㻡
㻡㻜
㻣㻡
㻝㻜㻜
㻝㻞㻡
㻝㻡㻜
㻝㻣㻡
㻞㻜㻜
㻞㻞㻡
㻞㻡㻜
㻞㻣㻡
㻟㻜㻜
㻟㻞㻡
㻟㻡㻜
㻟㻣㻡
㻠㻜㻜
㻠㻞㻡
㻠㻡㻜
㻠㻣㻡

ྲྀᘬᕷሙ䠝䛾ฟ᮶㧗䝅䜵䜰㻌

9.3 γϛϡϨʔγϣϯ݁Ռ⤒㐣Ⴀᴗ᪥㻌
ਤ 9.3

tAB Λ༷ʑʹมԽͤͨ࣌͞ͷऔҾࢢ৔ A ͷग़དྷߴͷγΣΞͷਪҠ (ΔPA =0.1%, ΔPB = 0.01%)ɽ

182

ୈ9ষ

ද 9.2

औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ Iɿ ςΟοΫɾαΠζͷҧ͍ʹΑΔऔҾࢢ৔ؒ‫ڝ‬૪

ΔPA ͱ ΔPB Λ༷ʑʹมԽͤͨ͞৔߹ͷ 500 Ӧ‫ۀ‬೔‫ޙ‬ͷऔҾࢢ৔ A ͷग़དྷߴγΣΞɽྲྀᘬᕷሙ㻮䚷䝔䜱䝑䜽䝃䜲䝈㻌䏓㻼㻮ྲྀᘬᕷሙ䠝㻡㻜㻜Ⴀᴗ᪥ᚋ䝅䜵䜰 㻜㻚㻜㻜㻜㻝㻑 㻜㻚㻜㻜㻜㻞㻑 㻜㻚㻜㻜㻜㻡㻑 㻜㻚㻜㻜㻝㻑 㻜㻚㻜㻜㻞㻑 㻜㻚㻜㻜㻡㻑 㻜㻚㻜㻝㻑 㻜㻚㻜㻞㻑㻜㻚㻜㻜㻜㻝㻑
㻥㻜㻑
㻥㻜㻑
㻥㻝㻑
㻥㻝㻑
㻥㻞㻑
㻥㻠㻑
㻥㻣㻑
㻥㻥㻑
㻜㻚㻜㻜㻜㻞㻑
㻥㻜㻑
㻥㻜㻑
㻥㻜㻑
㻥㻝㻑
㻥㻝㻑
㻥㻠㻑
㻥㻣㻑
㻥㻥㻑
㻜㻚㻜㻜㻜㻡㻑
㻤㻥㻑
㻥㻜㻑
㻥㻝㻑
㻥㻝㻑
㻥㻞㻑
㻥㻠㻑
㻥㻢㻑
㻥㻥㻑
㻜㻚㻜㻜㻝㻑
㻤㻥㻑
㻤㻥㻑
㻥㻜㻑
㻥㻜㻑
㻥㻞㻑
㻥㻠㻑
㻥㻣㻑
㻥㻥㻑
ྲྀᘬᕷሙ㻭
㻜㻚㻜㻜㻞㻑
㻤㻣㻑
㻤㻤㻑
㻤㻥㻑
㻤㻥㻑
㻥㻝㻑
㻥㻟㻑
㻥㻣㻑
㻥㻥㻑
䝔䜱䝑䜽
㻜㻚㻜㻜㻡㻑
㻤㻠㻑
㻤㻡㻑
㻤㻡㻑
㻤㻠㻑
㻤㻣㻑
㻥㻞㻑
㻥㻢㻑
㻥㻥㻑
䝃䜲䝈
㻜㻚㻜㻝㻑
㻣㻡㻑
㻣㻢㻑
㻣㻢㻑
㻣㻣㻑
㻣㻤㻑
㻤㻟㻑
㻥㻞㻑
㻥㻤㻑
䏓㻼㻭
㻜㻚㻜㻞㻑
㻡㻟㻑
㻡㻞㻑
㻡㻟㻑
㻡㻠㻑
㻡㻠㻑
㻡㻥㻑
㻣㻜㻑
㻥㻟㻑
㻜㻚㻜㻡㻑
㻡㻑
㻡㻑
㻠㻑
㻡㻑
㻡㻑
㻡㻑
㻢㻑
㻞㻟㻑
㻜㻚㻝㻑
㻜㻑
㻜㻑
㻜㻑
㻜㻑
㻜㻑
㻜㻑
㻜㻑
㻜㻑
㻜㻚㻞㻑
㻜㻑
㻜㻑
㻜㻑
㻜㻑
㻜㻑
㻜㻑
㻜㻑
㻜㻑

㻜㻚㻜㻡㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻥㻟㻑
㻜㻑
㻜㻑

㻜㻚㻝㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻥㻠㻑
㻜㻑

㻜㻚㻞㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻝㻜㻜㻑
㻥㻢㻑

183

9.3 γϛϡϨʔγϣϯ݁Ռ

ද 9.3

ΔPA ͱ tAB Λ༷ʑʹมԽͤͨ͞৔߹ͷ 500 Ӧ‫ۀ‬೔‫ޙ‬ͷऔҾࢢ৔ A ͷग़དྷߴγΣΞɽྲྀᘬᕷሙ䠝㻡㻜㻜Ⴀᴗ᪥ᚋ䝅䜵䜰㻜㻚㻜㻜㻜㻝㻑
㻜㻚㻜㻜㻜㻞㻑
㻜㻚㻜㻜㻜㻡㻑
㻜㻚㻜㻜㻝㻑
ྲྀᘬᕷሙ㻭㻜㻚㻜㻜㻞㻑
䝔䜱䝑䜽㻜㻚㻜㻜㻡㻑
䝃䜲䝈
㻜㻚㻜㻝㻑
䏓㻼㻭
㻜㻚㻜㻞㻑
㻜㻚㻜㻡㻑
㻜㻚㻝㻑
㻜㻚㻞㻑

㻝
㻥㻝㻑
㻤㻥㻑
㻤㻥㻑
㻤㻤㻑
㻤㻠㻑
㻢㻞㻑
㻞㻠㻑
㻜㻑
㻜㻑
㻜㻑
㻜㻑

㐣ཤฟ᮶㧗ཧ↷᪥ᩘ㻌㼠㻭㻮
㻞
㻡
㻝㻜
㻞㻜
㻤㻥㻑
㻥㻜㻑
㻥㻜㻑
㻥㻜㻑
㻥㻜㻑
㻥㻜㻑
㻥㻜㻑
㻥㻜㻑
㻤㻤㻑
㻤㻥㻑
㻥㻜㻑
㻥㻜㻑
㻤㻤㻑
㻤㻥㻑
㻥㻜㻑
㻥㻜㻑
㻤㻢㻑
㻤㻤㻑
㻤㻥㻑
㻥㻜㻑
㻣㻟㻑
㻤㻡㻑
㻤㻣㻑
㻤㻥㻑
㻡㻟㻑
㻣㻤㻑
㻤㻡㻑
㻤㻣㻑
㻝㻞㻑
㻡㻥㻑
㻣㻣㻑
㻤㻠㻑
㻜㻑
㻤㻑
㻠㻠㻑
㻣㻟㻑
㻜㻑
㻜㻑
㻝㻜㻑
㻡㻞㻑
㻜㻑
㻜㻑
㻜㻑
㻞㻠㻑

㻡㻜
㻥㻜㻑
㻥㻜㻑
㻥㻜㻑
㻥㻜㻑
㻥㻜㻑
㻤㻥㻑
㻤㻥㻑
㻤㻤㻑
㻤㻡㻑
㻤㻜㻑
㻣㻠㻑

ୈ9ষ

औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ Iɿ ςΟοΫɾαΠζͷҧ͍ʹΑΔऔҾࢢ৔ؒ‫ڝ‬૪䏓㻼㻭䠈σ 㼠㻌䛸ྲྀᘬᕷሙ䠝㻌㻡㻜㻜Ⴀᴗ᪥ᚋ䝅䜵䜰䛾㛵ಀ㻌䏓㻼㻮㻩㻜㻚㻜㻜㻜㻝㻑䛾ሙྜ㻌
㻝㻜㻜㻑
㻤㻜㻑
㻢㻜㻑
㻜㻚㻝㻜㻑
㻠㻜㻑

㻝㻚㻜㻜㻜㻜㻑

㻜㻚㻝㻜㻜㻜㻑

σ㼠㻜㻚㻜㻝㻜㻜㻑

㻝㻛㻝㻜σ 㼠㻜㻚㻜㻜㻝㻜㻑

㻜㻚㻜㻝㻑㻜㻚㻜㻜㻜㻝㻑

㻞㻜㻑ྲྀᘬᕷሙ䠝㻌
㻡㻜㻜Ⴀᴗ᪥ᚋ䝅䜵䜰㻌

㻝㻚㻜㻜㻑

σ 㼠㻌

184

㻜㻑

䏓㻼㻭㻌
σ 㼠㻌㻔ᕥ㍈㻕㻌ਤ 9.4ྲྀᘬᕷሙ䠝㻌㻡㻜㻜Ⴀᴗ᪥ᚋ䝅䜵䜰㻌㻔ྑ㍈㻕㻌

ΔPA Λ༷ʑʹม͑ͨͱ͖ͷɼ1 ςΟοΫ͝ͱͷಅམ཰ͷඪ४ภࠩ σt ɼ500 Ӧ‫ۀ‬೔‫ޙ‬ͷऔҾࢢ৔ A ͷग़དྷߴγΣΞɽ

185

9.3 γϛϡϨʔγϣϯ݁ՌV t < ԥPA
ྲྀᘬᕷሙA
䛷ྲྀᘬ䛷䛝
䛺䛔㡿ᇦ

ྲྀᘬ
౯᱁

ྲྀᘬᕷሙA
䝔䜱䝑䜽
䝃䜲䝈
᫬㛫
ྲྀᘬᕷሙA䛾ฟ␒䛜䛺䛔→ ྲྀᘬᕷሙ䠞䜈䛾㧗䛔Ⓨὀ⋡э ⣲᪩䛟ྲྀᘬᕷሙ䠞䛜䝅䜵䜰䜢ዣ䛖

1/10 V t > ԥPA
ྲྀᘬᕷሙB
䛾ᚲせᛶ
䛜ⷧ䛔

ྲྀᘬ
౯᱁

ྲྀᘬᕷሙA
䝔䜱䝑䜽
䝃䜲䝈

᫬㛫
э 䝅䜵䜰䛜ື䛛䛺䛔
ਤ 9.5

ςΟοΫɾαΠζͱ 1 ςΟοΫ͝ͱͷಅམ཰ͷඪ४ภࠩͷؔ܎ͷ·ͱΊɽ

186

ୈ9ষ

औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ Iɿ ςΟοΫɾαΠζͷҧ͍ʹΑΔऔҾࢢ৔ؒ‫ڝ‬૪

9.4 ࣮ূ෼ੳͱͷൺֱγϛϡϨʔγϣϯ݁ՌͰ͋Δਤ 9.4 ͱൺֱͰ͖ΔΑ͏ͳ࣮ূ෼ੳΛɼ೔ຊͷ‫ࢢࣜג‬৔ͷσʔλΛ༻͍ͯߦͬͨɽ༻͍ͨσʔλͷ‫ؒظ‬͸ɼ2012 ೥ͷ 1 ೥ؒͷશӦ‫ۀ‬೔Ͱ͋Δɽ෼ੳର৅ͷ໏ฑ͸ɼσʔλͷ‫ؒظ‬Λ௨ͯ͡ TOPIX500 ࢦ਺*7 ʹ࠾༻͞Ε͍͔ͯͯͭɼ౰֘
‫ؒظ‬ͷ͢΂ͯͷ݄࣍ऴ஋Ͱͷ‫ݺ‬஋ͷࠁΈ͕ಉҰͰ͋Γ͔ͭɼશӦ‫ۀ‬೔Ͱ 1 ౓Ҏ্औҾ͕੒
ཱͨ͠ 439 ໏ฑΛର৅ͱͨ͠ɽ
ਤ 9.6 ͸ɼԣ࣠ʹ౦‫݊ূژ‬औҾॴͰͷ֤໏ฑͷςΟοΫɾαΠζਫ४ ΔP Λɼࡾ֯఺͸໏ฑ͝ͱͷ 10 ඵ͝ͱͷಅམ཰ͷඪ४ภࠩ σt Λࣔͨ͠*8 ɽ‫఺ؙ͍‬͸໏ฑ͝ͱͷPTS(Proprietary Trading System) ͷചങ਺ྔγΣΞΛࣔ͢ɽΔP ,σt ͷࢉग़ʹ͸౦‫ূژ‬݊औҾॴ͕อ༗͢ΔςΟοΫσʔλΛ༻͍ͨɽΔP ͸౰֘‫ؒظ‬ͷશͯͷ݄࣍ऴ஋ͷฏ‫ۉ‬஋Ͱɼ‫ݺ‬஋ͷࠁΈΛআͨ͠΋ͷΛ༻͍ͨɽσt ͸ɼ‫د‬Γ෇͖ͷσʔλΛআ͍ͨ 1 Ӧ‫ۀ‬೔಺ͷσʔλͰ֤Ӧ‫ۀ‬೔ͷ஋Λࢉग़͠ɼͦΕΒ֤Ӧ‫ۀ‬೔ͷ஋ͷฏ‫ۉ‬஋Λ༻͍ͨɽPTS ͷγΣΞ
͸ɼBloomberg ΑΓऔಘͨ͠औҾॴࢢ৔ʢ౦‫݊ূژ‬औҾॴɼେࡕূ݊औҾॴɼ໊‫ݹ‬԰ূ݊औҾॴɼ෱Ԭূ݊औҾॴɼࡳຈূ݊औҾॴɼJASDAQʣ‫ͼٴ‬ɼPTS ࢢ৔ʢδϟύϯωΫε
τ PTS J-MarketɼδϟύϯωΫετ PTS X-MarketɼνϟΠΤοΫεɾδϟύϯ PTSʣͷ౰֘‫ؒظ‬ͷചങ਺ྔ߹‫ܭ‬Λ༻͍ͯɼPTS ࢢ৔ͷചങ਺ྔ߹‫ܭ‬/(औҾॴࢢ৔ͱ PTS ࢢ৔ͷചങ਺ྔ߹‫*ͨ͠ࢉܭͰ )ܭ‬9 ɽͳ͓ɼਤ 9.4 ͱൺֱ͠΍͍͢Α͏ʹγΣΞΛࣔ͢ӈͷॎ࣠͸ɼ্Լ‫ͨ͠ʹٯ‬ɽσt = σt Λ఺ઢͰɼΔPA = σt ΛഁઢͰࣔͨ͠ɽ
ਤ 9.6 ͕ࣔ͢Α͏ʹ΄ͱΜͲͷ఺͕ ΔP > σt ͱͳ͍ͬͯΔɽΔP ্͕ঢ͢Δͱ σt ্͕ঢ͓ͯ͠Γɼਤ 4 ͷ݁Ռͱࣅͨ܏޲Ͱ͋ΔɽPTS ͷγΣΞΛ‫ݟ‬Δͱɼશମతʹ ΔP ͕૿͑ΔʹͭΕɼPTS ͷγΣΞ͕૿Ճ (ӈ‫ݞ‬Լ͕Γ) ͱͳ͍ͬͯΔɽΔP ͕େ͖͘ͳΔͱ PTS
΁γΣΞ͕ҠΓ΍͘͢ɼΔP > σt ͷ৔߹ σt ্͕ঢ܏޲ʹ͋Δ͜ͱ͕ࣔ͞Εͨɽ*7 ౦‫݊ূژ‬औҾॴࢢ৔ୈҰ෦໏ฑͷத͔Βɼ࣌Ձ૯ֹ‫ྲྀͼٴ‬ಈੑͷߴ͍ 500 ໏ฑͰߏ੒͞ΕΔࢦ਺Ͱ͋Γɼ

TOPIX Core 30ɼTOPIX Large 70 ‫ ͼٴ‬TOPIX Mid400 Λ‫ؚ‬Ή
*8 γϛϡϨʔγϣϯ݁Ռͷ෼ੳͰ͸ςΟοΫ͝ͱͷಅམ཰Λ༻͍ͨͷʹର͠ɼ͜͜Ͱ͸ 10 ඵ͝ͱͷಅམ཰Λ༻͍ͨɽ࣮ࡍͷςΟοΫσʔλʹ͓͍ͯ͸ɼ1 ͭͷ஫จ͕ 2 ͭҎ্ͷ஫จʹର౰ͯ͠ 2 ςΟοΫҎ্Ձ֨มಈ͢Δ৔߹͕͋Δɽ͜ͷ৔߹ɼςΟοΫ͝ͱͷσʔλΛ༻͍ΔͱɼςΟοΫσʔλ͕ 2 ͭʹ෼͔Ε 1ςΟοΫͣͭͷՁ֨มಈΛࣔ͢͜ͱͱͳΓɼ1 ͭͷ஫จͰ 2 ςΟοΫ෼ͷՁ֨มಈ͕͋ͬͨ஫จͱ͍͏ࣄ
࣮Λද͞ͳ͘ͳΔɽͦ͜Ͱ͜͜Ͱ͸؆қతʹɼ10 ඵ͝ͱͷಅམ཰Λ༻͍ͨɽ*9 ਖ਼֬ʹ͸ɼ‫ͨ͠ࡌه‬औҾॴࢢ৔ɼPTS ࢢ৔Ҏ֎ʹ͓͍ͯ΋औҾ͕ߦΘΕ͍ͯΔͨΊɼશऔҾதͷ PTS
γΣΞΛਖ਼֬ʹදͨ͠΋ͷͰ͸ͳ͍ɽ

187

9.4 ࣮ূ෼ੳͱͷൺֱ䏓㻼㻭䠈σ 㼠㻌䛸㻼㼀㻿䛾ฟ᮶㧗䝅䜵䜰䛾㛵ಀ㻞㻜㻝㻞ᖺ䛾ᐇド䝕䞊䝍

㻥㻑

㻜㻚㻜㻝㻑

㻝㻞㻑
䏓㻼

㻝㻜㻚㻜㻜㻑

㻜㻚㻝㻜㻑

㻝㻚㻜㻜㻑

㻢㻑

㻜㻚㻝㻜㻑

㻝㻚㻜㻜㻑

㻜㻚㻜㻡㻑

㻟㻑

σ 㼠㻌㻔ᕥ㍈㻕
σ 㼠㻩㻜㻚㻜㻡㻑㻼㼀㻿ฟ᮶㧗䝅䜵䜰㻌㻔ྑ㍈㻕
ਤ 9.6ςΟοΫɾαΠζͱಅམ཰ͷඪ४ภࠩɼPTS ͷγΣΞͱͷؔ܎ͷ࣮ূ෼ੳɽ

㻼㼀㻿ฟ᮶㧗䝅䜵䜰

㻜㻑㻝㻜㻚㻜㻜㻑㻜㻚㻜㻝㻑σ㼠㻝㻜㻜㻚㻜㻜㻑

188

ୈ9ষ

औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ Iɿ ςΟοΫɾαΠζͷҧ͍ʹΑΔऔҾࢢ৔ؒ‫ڝ‬૪

9.5 ·ͱΊຊষͰ͸ɼୈ 5 ষͰड़΂ͨϕʔεϞσϧʹࡉ͔͍मਖ਼ΛՃ͑ͯϚʔέοτɾϚΠΫϩɾετϥΫνϟʔΛ࠶‫͠ݱ‬ɼ̎ͭͷऔҾࢢ৔͕ଘࡏ͢Δ৔߹΋ϞσϧԽͨ͠ɽ͜ͷਓ޻ࢢ৔ϞσϧΛ༻͍ͯγϛϡϨʔγϣϯΛߦ͍ɼςΟοΫɾαΠζͱॳ‫ظ‬ͷग़དྷߴγΣΞͷΈ͕ҟͳΔ 2 ͭͷऔҾࢢ৔͕͋Δ৔߹ʹɼͲͷΑ͏ͳ৚݅ͷ৔߹ʹγΣΞ͕ҠΓมΘΔͷ͔ௐ΂ͨɽऔҾࢢ৔ A ͷςΟοΫɾαΠζ ΔPA ͕ɼςΟοΫɾαΠζ͕े෼খ͍͞ͱ͖ͷ 1 ςΟοΫ͝ͱͷಅམ཰ͷඪ४ภࠩɼσt ఔ౓ΑΓେ͖͍৔߹ (ਤ 9.5 ͷ্)ɼ΋͠औҾࢢ৔ B ͷςΟοΫɾαΠζ ΔPB ͕ ΔPA ΑΓখ͚͞Ε͹ɼΔPA ͷ಺ଆͰଟ͘ͷऔҾ͕ߦΘΕऔҾࢢ৔ B ͷΈͰͷऔҾ͕ଟ͘ͳΓɼग़དྷߴγΣΞ͕औҾࢢ৔ B ʹ‫ٸ‬଎ʹҠΔɽҰํɼΔPA͕ 1/10σt ఔ౓ΑΓখ͍͞৔߹ (ਤ 9.5 ͷԼ) ͸ɼΔPB ͕͍͘Βখͯ͘͞΋ɼΔPA Λ·͙ͨऔҾ͕ଟ͍ͷͰɼऔҾࢢ৔ B ͚ͩͰऔҾ͞ΕΔ͜ͱ͸ଟ͘͸ͳΒͣɼग़དྷߴγΣΞ͸΄ͱΜͲಈ͔ͳ͍ɽͦͷؒͷ৔߹ɼ(ΔPA = 1/10σt ʙσt )ɼग़དྷߴγΣΞ͸Ώͬ͘ΓҠΓมΘ͍ͬͯ͘͜ͱͱͳΔɽ
·ͨɼ࣮ূ෼ੳ΋ߦ͍ɼγϛϡϨʔγϣϯ݁Ռͱͷൺֱ΋ߦͬͨɽ͜ΕΒͷ෼ੳ͸ɼͦ΋ͦ΋औҾࢢ৔͕ಋೖ͢΂͖ςΟοΫɾαΠζ͸ͲΕ͘Β͍ͳͷ͔ͱ͍͏ఆྔతͳٞ࿦
ΛɼॳΊͯՄೳͱͨ͠ͱߟ͑ΒΕΔɽ

189

ୈ 10 ষ

औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ IIɿ μʔΫɾϓʔϧग़‫ݱ‬ͷӨ‫ڹ‬10.1 ͸͡Ίʹ‫ࢢࣜג‬৔ʹ͓͍ͯɼ஫จΛެ։ͤͣʹ஫จΛ෇͖߹ΘͤΔɼμʔΫɾϓʔϧͱ͍͏औҾࢢ৔͕ී‫͍͖ͯͯ͠ٴ‬Δ [SEC 10, ਗ਼ਫ 13]ɽμʔΫɾϓʔϧ͸ଞͷ౤ࢿՈʹࣗ෼ͷ஫จΛ‫ͤݟ‬Δඞཁ͕ͳ͍ͨΊɼେྔͷചങΛߦ͍͍ͨ౤ࢿՈ͕ɼࣗΒͷେྔͷചങ஫จʹΑͬͯࢢ৔Ձ֨Λมಈͤͯ͞͠·͏͜ͱʢϚʔέοτɾΠϯύΫτʣΛආ͚ͯചങ͕Ͱ͖Δɽ͜ͷΑ͏ͳେ‫ޱ‬౤ࢿՈʹΑΔେ͖ͳϚʔέοτɾΠϯύΫτΛࢢ৔ʹ΋ͨΒ͢͜ͱΛগͳ
͘͢ΔͨΊɼࢢ৔ͷ҆ఆԽʹͭͳ͕Δͱ‫ݴ‬ΘΕ͍ͯΔ [Johnson 10]ɽ͔͠͠ͳ͕Βɼ͜ΕҎ্μʔΫɾϓʔϧ͕ී‫͢ٴ‬Δͱɼࢢ৔ͷՁ֨ൃ‫ػݟ‬ೳ͕௿Լ͠ɼ
ࢢ৔͕ෆ҆ఆʹͳΔ‫ڪ‬Ε͕͋Δͱ͍͏൷൑΋͋Δ [EC 10, Ye 12]ɽͦͷͨΊɼྫ͑͹ԤभͰ͸ɼμʔΫɾϓʔϧ΁ͷചങ୅ۚΩϟοϓ‫ڧ੍ن͍ͨͬͱ੍ن‬Խ΋‫ݕ‬౼͞Ε͍ͯ
Δ [Urrutia 13, Bowley 14]ɽҰํͰɼ[Zhu 13] ͸ղੳతͳϞσϧΛ༻͍ͯɼμʔΫɾϓʔϧ͕ଘࡏ͢Δ৔߹ͷํ͕Ή͠ΖɼՁ֨ൃ‫ػݟ‬ೳ͕޲্͢ΔՄೳੑΛࢦఠͨ͠ɽ
μʔΫɾϓʔϧ͕ࠓҎ্ʹී‫ͨ͠ٴ‬৔߹ɼࢢ৔ͷ҆ఆԽʹ‫د‬༩͢Δͷ͔Ͳ͏͔ɼϚʔέοτɾΠϯύΫτΛԡ͑͞ΔޮՌ͕͋Δͷ͔Ͳ͏͔ɼ࣮ূ‫Ͱڀݚ‬෼ੳ͢Δ͜ͱ͸೉͍͠ɽͱ͍͏ͷ΋ɼμʔΫɾϓʔϧ͕ࠓҎ্ʹී‫ͱͨ͜͠ٴ‬͸ա‫ʹڈ‬ແ͍͏͑ɼՁ֨‫ܗ‬੒ʹ͸͞·͟·ͳཁҼ͕ෳࡶʹؔΘ͓ͬͯΓ࣮ূ‫Ͱڀݚ‬͸μʔΫɾϓʔϧͷޮՌ͚ͩΛऔΓग़͢͜ͱ͕ࠔ೉͔ͩΒͰ͋Δɽ͜ͷΑ͏ͳٞ࿦Λ͢ΔͨΊʹ͸ɼਓ޻ࢢ৔γϛϡϨʔγϣϯ͕༗ޮͰ͋Δ [࿨ઘ 03, LeBaron 06, Chen 12, ࿨ઘ 12b, Cristelli 14]ɽୈ 9 ষͰड़΂ͨΑ͏ʹɼऔҾࢢ৔ͷબ୒͸ɼ਺ϛϦඵɼ਺ϚΠΫϩඵͱ͍ͬͨɼߴස౓ʹൃ஫Λߦ͏ΞϧΰϦζϜɾτϨʔυͳͲͰࣗಈతʹߦΘΕΔ͜ͱ͕ଟ͍ɽͦͷͨΊɼऔҾࢢ৔ͷબ୒ʹ͍ͭͯ෼ੳΛߦ͏ͨΊͷਓ޻ࢢ৔Ϟσϧ͸ɼ໿ఆ݅਺΍Ωϟϯηϧ཰ɼ1 ςΟοΫ͝ͱͷಅ

190

ୈ 10 ষ औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ IIɿ μʔΫɾϓʔϧग़‫ݱ‬ͷӨ‫ڹ‬མ཰ͷඪ४ภࠩͳͲɼߴස౓ͳ࣌ؒεέʔϧͰͷੑ࣭ʢϚʔέοτɾϚΠΫϩɾετϥΫνϟʔ [ଠా 11]ʣΛ࠶‫͢ݱ‬Δඞཁ͕͋Δͱߟ͑ΒΕΔɽμʔΫɾϓʔϧΛਓ޻ࢢ৔Ͱ෼
ੳͨ͠‫[ ͯ͠ͱڀݚ‬Mo 13] ͕͋Δɽ͔͠͠ɼ࣮ࡍͷ‫ג‬ՁΛࢀর͍ͯ͠ΔͳͲ͍ͯ͠ΔͨΊɼ͜Ε·ͰҎ্ʹμʔΫɾϓʔϧ͕ී‫ͨ͠ٴ‬৔߹ͳͲɼա‫Ͳ͕ڥ؀͍ͳʹڈ‬ͷΑ͏ʹͳ
Δ͔͸෼ੳ͍ͯ͠ͳ͍ɽ
ຊষͰ͸ɼୈ 9 ষͱಉ༷ʹɼୈ 5 ষͰड़΂ͨϕʔεϞσϧʹࡉ͔͍मਖ਼ΛՃ͑ͯϚʔέοτɾϚΠΫϩɾετϥΫνϟʔΛ࠶‫͠ݱ‬ɼ̍ͭͷϦοτࢢ৔ʢ஫จ৘ใ͕ެ։͞Εͯ
͍Δ௨ৗͷࢢ৔ʣͱ̍ͭͷμʔΫɾϓʔϧ͕ଘࡏ͢ΔϞσϧΛߏஙͨ͠ɽ͜ͷਓ޻ࢢ৔ϞσϧΛ༻͍ͯɼμʔΫɾϓʔϧͷී‫ࢢ͕ٴ‬৔Λ҆ఆԽͤ͞Δͷ͔Ͳ͏͔ௐ΂ͨɽ͞Βʹɼങ͍஫จͷΈΛߦ͏ΞϧΰϦζϜɾΤʔδΣϯτΛಋೖ͠ɼͦͷങ͍஫จʹΑΔϚʔέοτɾΠϯύΫτΛ‫ܭ‬ଌ͢Δ͜ͱʹΑΓɼμʔΫɾϓʔϧ͕ϚʔέοτɾΠϯύΫτΛ௿Լͤ͞Δͷ͔Ͳ͏͔Λௐ΂ͨɽ͜ΕΒͷௐࠪΛɼμʔΫɾϓʔϧ͕ࠓ·ͰҎ্ʹී‫ͨ͠ٴ‬৔߹΋‫ؚ‬Ίͯ෼ੳΛߦͬͨɽ

10.2 ਓ޻ࢢ৔Ϟσϧ191

10.2 ਓ޻ࢢ৔Ϟσϧୈ 5 ষͰड़΂ͨϕʔεϞσϧʹࡉ͔͍मਖ਼ΛՃ͑ͯϚʔέοτɾϚΠΫϩɾετϥΫνϟʔΛ࠶‫͠ݱ‬ɼ̍ͭͷϦοτࢢ৔ʢ஫จ৘ใ͕ެ։͞Ε͍ͯΔ௨ৗͷࢢ৔ʣͱ̍ͭͷμʔΫɾϓʔϧ͕ଘࡏ͢ΔϞσϧΛߏஙͨ͠ɽ

10.2.1 ϚʔέοτɾϚΠΫϩɾετϥΫνϟʔͷ࠶‫ݱ‬ͷͨΊͷमਖ਼
ୈ 9 ষͱಉ༷ͷमਖ਼Λߦͬͨɽ͢ͳΘͪɼୈ 5 ষͰड़΂ͨϕʔεϞσϧͷ͏ͪɼ஫จtttͷܾఆʹमਖ਼ΛՃ͑ͨɽ஫จՁ֨ Po,j͸ฏ‫ ۉ‬Pe,jɼඪ४ภࠩ Pσ ͷਖ਼‫ن‬෼෍ཚՁ֨ Po,j਺ͰܾΊΔɽ͜͜ͰɼPσ ͸ఆ਺Ͱ͋ΓɼPσ = 30 ͱͨ͠ɽ·ͨɼ஫จͷΩϟϯηϧ࣌ؒtc Λ 1 Ӧ‫ۀ‬೔ʹ͋ΘͤΔͨΊɼtc = 20, 000 ͱ஋ͷमਖ਼Λߦͬͨɽͦͯ͠ɼσ = 0.06 ͱमਖ਼ͨ͠ɽ·ͨγϛϡϨʔγϣϯ͸ 500 Ӧ‫ۀ‬೔ʹ૬౰͢Δ࣌ࠁ t = 10, 000, 000 ·Ͱߦͬͨɽͦͷଞͷύϥϝʔλ͸ୈ 5 ষͰड़΂ͨϕʔεϞσϧͱಉ͡Ͱ͋Δɽ

10.2.2 Ϧοτࢢ৔ͱμʔΫɾϓʔϧຊϞσϧͰ͸ɼ̍ͭͷϦοτࢢ৔ʢ஫จ৘ใ͕ެ։͞Ε͍ͯΔ௨ৗͷࢢ৔ʣͱ̍ͭͷμʔΫɾϓʔϧ (஫จΛެ։ͤͣʹ஫จΛ෇͖߹ΘͤΔࢢ৔) ͕ଘࡏ͢ΔɽϦοτࢢ৔ͰͷՁܾ֨ఆϝΧχζϜ͸ɼୈ 5 ষͰड़΂ͨϕʔεϞσϧͱ·ͬͨ͘ಉ͡Ͱ͋ΔɽμʔΫɾϓʔϧͷऔҾՁ֨ͷܾఆํ๏ʹ͸͞·͟·ͳํ๏͕͋Δ͕ɼຊষͰ͸࣮ࡍͷ‫ג‬ࣜࢢ৔Ͱ޿͘༻͍ΒΕ͍ͯΔɼϦοτࢢ৔Ͱͷ࠷΋ߴ͍ങ͍஫จՁ֨ͱ࠷΋͍҆ചΓ஫จՁ֨ͷฏ‫ۉ‬ΛऔҾՁ֨ͱ͢ΔํࣜΛ༻͍ͨ [Johnson 10]ɽμʔΫɾϓʔϧ΁ͷ஫จͰ͸Ձ֨Λࢦఆ͠ͳ͍ɽ̍୯Ґͷങ͍ʢചΓʣ஫จΛग़ͨ͠৔߹ɼ΋͠૬ର͢ΔചΓʢങ͍ʣ஫จ͕͢Ͱʹ͋Ε͹ɼଈ࠲ʹചങ͕੒ཱ͢ΔɽऔҾՁ֨͸ɼϦοτࢢ৔ͷ࠷΋ߴ͍ങ͍஫
จՁ֨ͱ࠷΋͍҆ചΓ஫จՁ֨ͷฏ‫͢ͱۉ‬Δɽ૬ର͢ΔചΓʢങ͍ʣ஫จ͕ͳ͍৔߹͸ɼ஫จΛ࢒͠૬ର͢Δ஫จΛ଴ͭ͜ͱʹͳΔɽϦοτࢢ৔ಉ༷ʹ࢒͞Εͨ஫จ͕Ωϟϯηϧ
࣌ؒ tc ͚ͩ‫ܦ‬աͯ͠΋औҾ͕੒ཱ͠ͳ͔ͬͨ৔߹͸ɼΩϟϯηϧ͞ΕΔɽμʔΫɾϓʔϧͰ͸ɼങ͍·ͨ͸ചΓͷͲͪΒ͔ҰํͷΈͷ஫จ͔͠࢒͞Εͳ͍͜ͱͱͳΔɽ

10.2.3 ϊʔϚϧɾΤʔδΣϯτຊϞσϧͰ͸ɼϊʔϚϧɾΤʔδΣϯτͱΞϧΰϦζϜɾΤʔδΣϯτͱ͍͏ 2 छྨͷΤʔδΣϯτΛಋೖ͢ΔɽϊʔϚϧɾΤʔδΣϯτ͸ୈ 5 ষͰड़΂ͨϕʔεϞσϧͰͷΤʔδΣϯτͱύϥϝʔλ΋‫ؚ‬Ί·ͬͨ͘ಉ͡Ͱ͋Δɽ

192

ୈ 10 ষ औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ IIɿ μʔΫɾϓʔϧग़‫ݱ‬ͷӨ‫ڹ‬

10.2.4 ΞϧΰϦζϜɾΤʔδΣϯτͱϚʔέοτɾΠϯύΫτ
ΞϧΰϦζϜɾτϨʔυΛϞσϧԽͨ͠ΞϧΰϦζϜɾΤʔδΣϯτΛಋೖ͢ΔɽΞϧΰϦζϜɾΤʔδΣϯτ͸ɼ‫ن‬ଇతʹങ͍஫จ͚ͩΛߦ͏ɽΞϧΰϦζϜɾΤʔδΣϯτ͕ϑΝϯμϝϯλϧՁ֨ Pf ΑΓͲΕ͔ͩߴ͍Ձ֨Ͱങͬͨͷ͔ΛϚʔέοτɾΠϯύΫτͱఆٛͯ͠ɼ͜ΕΛଌఆ͢ΔͨΊʹಋೖͨ͠ɽ
શΤʔδΣϯτ਺ n ͷ͏ͪɼna ମͷΞϧΰϦζϜɾΤʔδΣϯτ͕ଘࡏ͢ΔɽΞϧΰϦζϜɾΤʔδΣϯτ͸௨ৗɼϦοτࢢ৔ʹ 1 ୯Ґͷ੒ߦͷങ͍஫จΛೖΕΔɽda ͷ֬཰ͰμʔΫɾϓʔϧ΁ͷ 1 ୯Ґͷങ͍஫จΛೖΕΔ৔߹ͱɼsa ͷ֬཰ͰϦοτࢢ৔΁΋ͬͱ΋ߴ͍ങ͍஫จͱಉ͡Ձ֨ͷ 1 ୯Ґͷࢦ஋஫จΛߦ͏৔߹ͱΛௐ΂ΔɽϚʔέοτɾΠϯύΫτ M I ͸ɼbpjb − Pf
1 ɼnb j=1 PfnMI =(10.1)

ͱఆٛͨ͠ɽ͜͜Ͱɼnb ͸γϛϡϨʔγϣϯશ‫ؒظ‬Λ௨ͯ͠ͷ͢΂ͯͷΞϧΰϦζϜɾjΤʔδΣϯτ͕ങͬͨ਺ྔʢങ͍஫จ͕੒ཱͨ͠୯Ґ਺ʣɼpb ͸֤ʑͷ੒ཱͨ͠஫จͷങͬͨՁ֨Ͱ͋ΔɽΞϧΰϦζϜɾΤʔδΣϯτ͕ଘࡏ͠ͳ͍৔߹ͷऔҾՁ֨ P t ͷฏ‫ۉ‬͸ Pf ͱ΄΅ಉ͡ʹͳΔ͜ͱ͕෼͔͍ͬͯΔɽͦͷͨΊɼϚʔέοτ΁ͷΠϯύΫτ͕ͳ͚Ε͹ M I = 0 ͱͳΓɼ͜ͷ஋͕େ͖͘ͳΕ͹ͳΔ΄Ͳɼࢢ৔΁େ͖ͳΠϯύΫτΛ༩͑ͨ͜ͱΛҙຯ͢Δɽ

193

10.3 γϛϡϨʔγϣϯ݁Ռ

10.3 γϛϡϨʔγϣϯ݁Ռଥ౰ੑ෼ੳʹؔͯ͠͸ୈ 9 ষͷϞσϧͱ·ͬͨ͘ಉ͡ύϥϝʔλΛ༻͍ΔͨΊɼୈ 9 ষͷଥ౰ੑ෼ੳͰࡁΜͰ͍Δɽ

10.3.1 μʔΫɾϓʔϧͷࢢ৔҆ఆԽޮՌ·ͣɼϊʔϚϧɾΤʔδΣϯτͷΈ͕ଘࡏ͢Δ৔߹ʹɼμʔΫɾϓʔϧͷ࢖༻཰ͱࢢ৔
ͷ҆ఆੑͷؔ܎Λௐ΂ͨɽਤ 10.1 ͸ϊʔϚϧɾΤʔδΣϯτͷμʔΫɾϓʔϧ΁ͷൃ஫֬཰ dn ͱɼϘϥςΟϦςΟʢ10 ‫ͱؒ͝ظ‬ͷࢢ৔Ձ֨ͷಅམ཰ͷඪ४ภࠩʣɼ͓Αͼ 10‫ͱؒ͝ظ‬ͷࢢ৔Ձ֨ͷಅམ཰ͷઑ౓*1 ͷؔ܎Λࣔͨ͠ɽdn ্͕ঢ͢ΔʹͭΕϘϥςΟϦ
ςΟ͕௿Լ͠ɼࢢ৔͕҆ఆԽ͍ͯ͠Δ͜ͱ͕෼͔ΔɽҰํͰɼઑ౓͸্ঢ͓ͯ͠ΓɼΑΓϑΝοτɾςʔϧ͕‫͍ͯͬͳ͘ڧ‬Δ͜ͱ͕෼͔ΔɽμʔΫɾϓʔϧͷී‫ʹٴ‬ΑΓ‫ج‬ຊతʹࢢ৔͕҆ఆԽ͞ΕΔ͕ɼී‫͕ٴ‬ਐΈ͗͢Δͱɼਖ਼‫ن‬෼෍Ͱ͸૝ఆ͞Εͳ͍େ͖ͳಅམ͕ൺ
ֱత૿Ճ͢Δ͜ͱ΋ࣔ͞Εͨɽ

10.3.2 ΞϧΰϦζϜɾΤʔδΣϯτʹΑΔϚʔέοτɾΠϯύΫτ
࣍ʹɼΞϧΰϦζϜɾΤʔδΣϯτ͕༩͑ΔϚʔέοτɾΠϯύΫτͷ‫ج‬ຊతͳಛੑΛௐ΂ΔͨΊɼ·ͣϦοτࢢ৔ͷΈͷ৔߹Λௐ΂ͨɽਤ 10.2 ͸ɼΞϧΰϦζϜɾΤʔδΣϯτͷଘࡏൺ཰ na /n ͱϚʔέοτɾΠϯύΫτͷؔ܎Λௐ΂ͨɽΞϧΰϦζϜɾΤʔδΣϯτ͕શͯ̍୯Ґͷ੒ߦങ͍஫จΛೖΕͨ৔߹ͱɼ̍୯Ґͷ࠷ྑͷങ͍஫จՁ֨Ͱࢦ஋஫
จͨ͠৔߹Λௐ΂ͨɽna /n ͕૿͑ΔʹͭΕɼϚʔέοτɾΠϯύΫτ͕େ͖͘ͳ͍ͬͯ
Δɽ·ͨɼશͯࢦ஋஫จͷ৔߹ͷํ͕ɼϚʔέοτɾΠϯύΫτ͕খ͍͕͞ɼθϩͰ͸ͳ͍͜ͱ͸஫໨ʹ஋͢Δɽࢦ஋஫จ͸ࢢ৔Ձ֨ΛมԽͤ͞ͳ͍ͨΊ௚઀औҾՁ֨Λԡ্͛͠ͳ͍͕ɼؒ઀తʹϚʔέοτɾΠϯύΫτΛ༩͑Δ͜ͱ͕஌ΒΕ͍ͯΔɽຊϞσϧͰ͸͜ͷޮՌ΋࠶‫͍͖ͯͰݱ‬Δ͜ͱΛ‫ڧ‬ௐ͍ͨ͠ɽ

10.3.3 μʔΫɾϓʔϧʹΑΔϚʔέοτɾΠϯύΫτ௿‫ޮݮ‬Ռ࣍ʹɼμʔΫɾϓʔϧʹΑΔϚʔέοτɾΠϯύΫτͷ௿‫ޮݮ‬ՌΛௐ΂ΔɽҎ‫ޙ‬ɼ

na /n = 1% ʹ‫ݻ‬ఆͨ͠ɽਤ 10.3 ͸ɼϊʔϚϧɾΤʔδΣϯτͷμʔΫɾϓʔϧ΁ͷൃ஫*1 ͜͜Ͱͷઑ౓ͷఆٛ͸ɼਖ਼‫ن‬෼෍Ͱ 0 ͱͳΔఆٛͰ͋Δɽ͢ͳΘͪɼn ‫ݸ‬ͷσʔλ xi (i = 1, , , n) ͕͋Δnͱ͖ɼxi ͷฏ‫ۉ‬Λ X ɼඪ४ภࠩΛ S ͱ͢Δͱઑ౓ K ͸ɼK = 1/(nS 4 ) ×(x − X)4 − 3ɼͱ
i=1 i



͢ΔఆٛΛ࢖༻ͨ͠ɽ

194

ୈ 10 ষ औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ IIɿ μʔΫɾϓʔϧग़‫ݱ‬ͷӨ‫ڹ‬֬཰ dn = 30% ʹ‫ݻ‬ఆ͠ɼΞϧΰϦζϜɾΤʔδΣϯτ͕֬཰ da ͰμʔΫɾϓʔϧʹൃ஫ͨ͠৔߹ͱɼ֬཰ sa ͰϦοτࢢ৔΁࠷ྑͷങ͍஫จՁ֨Ͱࢦ஋஫จͨ͠৔߹ͷɼϚʔέοτɾΠϯύΫτ͓Αͼɼ໿ఆ཰ʢ஫จ͕Ωϟϯηϧ͞Εͣʹ͍ͣΕ੒ཱͨ͠཰ʣΛࣔͨ͠ɽࢦ஋஫จΛ༻͍ͨ৔߹ΑΓ΋ɼμʔΫɾϓʔϧΛ࢖༻ͨ͠΄͏͕ϚʔέοτɾΠϯύΫτΛ௿‫ͤ͞ݮ‬Δ͜ͱ͕Ͱ͖Δ͜ͱ͕෼͔Δɽ͔͠΋ɼࢦ஋஫จΛ͍͘Βଟͯ͘͠΋ϚʔέοτɾΠϯύΫτΛθϩʹͰ͖ͳ͍ͷʹରͯ͠ɼμʔΫɾϓʔϧΛଟ͘࢖༻͢Ε͹ϚʔέοτɾΠϯύΫτΛθϩʹͰ͖Δ͜ͱ͕෼͔Δɽ͔͠͠ͳ͕Βɼda ͕େ͖͘ͳΔ
ͱɼ໿ఆ཰͕Θ͔ͣͳ͕Β௿Լ͍ͯ͠Δ͜ͱ΋෼͔ΔɽμʔΫɾϓʔϧ΁Ͳͷఔ౓ൃ஫Λ͢Δ͔͸ɼ࣌ؒΛ༏ઌ͢Δ͔Ձ֨Λ༏ઌ͢Δ͔ʹґଘ͢Δ͜ͱ͕෼͔Δɽ
ਤ 10.4 ͸ɼΞϧΰϦζϜɾΤʔδΣϯτ͕μʔΫɾϓʔϧ΁ͷൃ஫Λߦ͏৔߹ͷɼda͝ͱͷ dn ͱϚʔέοτɾΠϯύΫτͷؔ܎Λɼਤ 10.5 ͸ΞϧΰϦζϜɾΤʔδΣϯτ͕Ϧοτࢢ৔΁ࢦ஋஫จΛߦ͏৔߹ͷɼsa ͝ͱͷ dn ͱϚʔέοτɾΠϯύΫτͷؔ܎Λࣔͨ͠ɽda ·ͨ͸ sa ͕ 60%, 90% ͷͱ͖ͷ dn = 90% ͷ਺஋͸ɼϚʔέοτɾΠϯύΫτ
͕େ͖͗͢Ͱࢼߦ͕҆ఆ͠ͳ͔ͬͨͨΊল͍ͨɽ͍ͣΕͷ৔߹΋ɼdn ͕ 70% Λ௒͑ͨ͋ͨΓ͔ΒɼϚʔέοτɾΠϯύΫτ͕େ͖͘ͳ͍ͬͯΔɽͭ·ΓɼμʔΫɾϓʔϧ͕ 70%
Λ௒͑ΔΑ͏ͳେ͖ͳചങ୅ۚγΣΞΛ࣋ͭΑ͏ʹͳΔͱɼΞϧΰϦζϜɾΤʔδΣϯτ͕༩͑ΔϚʔέοτɾΠϯύΫτ͕େ͖͘ͳͬͯ͠·͏͜ͱ͕෼͔Δɽ͜ΕΛճආ͢ΔͨΊʹ͸ɼਤ 10.4 ͷ da = 90% ͷ৔߹͸།ҰϚʔέοτɾΠϯύΫτ্͕ঢ͍ͯ͠ͳ͍͜ͱ
͕ࣔ͢Α͏ʹɼϊʔϚϧɾΤʔδΣϯτͱಉ౳͔ͦΕҎ্ʹΞϧΰϦζϜɾΤʔδΣϯτ͕μʔΫɾϓʔϧΛ࢖༻͠ͳ͚Ε͹ͳΒͳ͍͜ͱ͕෼͔Δɽਤ 10.3 ͕ࣔͨ͠Α͏ʹ da ͷ্ঢ͸໿ఆ཰ͷ௿ԼΛটͨ͘Ίɼ໿ఆʹ͕͔͔࣌ؒΔɽ͜ΕΒͷ݁Ռ͸ɼ͋·Γʹ΋μʔΫɾϓʔϧ͕ී‫͢ٴ‬ΔͱϦοτࢢ৔ͷࢦ஋஫จ͕͋·Γʹ΋গͳ͘ͳͬͯ͠·͍ɼϦοτࢢ৔΁ͷ੒ߦ஫จ͕େ͖ͳϚʔέοτɾΠϯύΫτΛ༩͑ͯ͠·͏Α͏ʹͳͬͯ͠·͏͜ͱ͕ࣔࠦ͞ΕΔɽͦͷͨΊɼ࣌ؒ༏ઌͰങ͍ਐΊΔΞϧΰϦζϜऔҾͳͲͰ͸ɼϚʔέοτɾΠϯύΫτ͕େ͖͘ͳͬͯ͠·͏‫ڪ‬Ε͕͋Δɽ

10.3.4 ςΟοΫɾαΠζ͕େ͖͍৔߹
࠷‫ʹޙ‬Ϧοτࢢ৔ͷςΟοΫɾαΠζͷӨ‫ڹ‬Λௐ΂Δɽ͜͜ͰςΟοΫɾαΠζ͸ɼՁ֨ͷมԽ෯ͷ࠷খ୯Ґ ΔP ͱϑΝϯμϝϯλϧՁ֨ Pf Λ༻͍ͯɼΔP/Pf ͱఆٛ͢Δɽ͜͜·ͰɼΔP = 0.1 Ͱ‫ݻ‬ఆ͓ͯ͠ΓɼςΟοΫɾαΠζ͸ 0.001% Ͱ͋ͬͨɽਤ 10.6
͸ɼςΟοΫɾαΠζΛɼ0.001%, 0.1%, 1% ͱมߋͨ͠৔߹ͷਤ 1 ͱಉ༷ʹϘϥςΟϦ
ςΟΛࣔͨ͠ɽ͢ͳΘͪɼΞϧΰϦζϜɾΤʔδΣϯτ͕ଘࡏ͠ͳ͍ͱ͖ͷɼdn ͱϘϥςΟϦςΟͷؔ܎Ͱ͋ΔɽςΟοΫɾαΠζ͕ 0.1% ͷ৔߹͸ 0.001% ͷ৔߹ͱ΄ͱΜͲϘϥςΟϦςΟ͕มΘΒͳ͍͕ɼ1% ʹͳΔͱ‫ʹܹٸ‬ϘϥςΟϦςΟ্͕ঢ͢Δ͜ͱ͕෼

10.3 γϛϡϨʔγϣϯ݁Ռ

195

͔ΔɽͦͷҰํͰɼ1% ͷ৔߹͸ dn ͷ্ঢʹΑΓɼΑΓ‫ݦ‬ஶʹϘϥςΟϦςΟ͕௿‫͞ݮ‬Εɼࢢ৔ͷ҆ఆԽ͕ͳ͞ΕΔ͜ͱ͕෼͔Δɽ
ਤ 10.7 ͸ɼςΟοΫɾαΠζ͕ 1% ͷ৔߹ͷਤ 3 ͱಉ༷ʹ໿ఆ཰Λࣔͨ͠ɽ͢ͳΘͪɼdn = 30% ͷ৔߹ͷɼda ·ͨ͸ sa ͱ໿ఆ཰ͷؔ܎Ͱ͋ΔɽςΟοΫɾαΠζ͕େ͖͍৔
߹ɼࢦ஋஫จͩͱ໿ఆ཰͕େ͖͘௿Լ͢Δ͜ͱ͕෼͔ΔɽҰํɼμʔΫɾϓʔϧΛ࢖༻͢Δͱ໿ఆ཰ͷ௿Լ͸େ͖͘ͳ͍ɽͭ·ΓɼϦοτࢢ৔ͷςΟοΫɾαΠζ͕େ͖͍৔߹
͸ɼࢦ஋஫จΛ༻͍ͨϚʔέοτɾΠϯύΫτͷճආΛߦ͏ͱ໿ఆ཰͕௿Լͯ͠ࢥͬͨΑ͏ʹങ͍ਐΊΒΕͳ͍‫ڪ‬Ε͕͋Δ͕ɼμʔΫɾϓʔϧΛ࢖༻͢Δͱߴ͍໿ఆ཰Λҡ࣋ͯ͠ങ͍ਐΊΔ͜ͱ͕Ͱ͖Δ͜ͱΛ͍ࣔࠦͯ͠Δɽ

196

ୈ 10 ষ औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ IIɿ μʔΫɾϓʔϧग़‫ݱ‬ͷӨ‫ڹ‬

㻝㻞

㻜㻚㻝㻜㻑

㻝㻜

㻜㻚㻜㻤㻑

㻤
䝪䝷䝔䜱䝸䝔䜱㻌
ᑤᗘ㻌

㻜㻚㻜㻢㻑

㻢

㻥㻜㻑

㻤㻜㻑

㻣㻜㻑

㻢㻜㻑

㻜

㻡㻜㻑

㻜㻚㻜㻜㻑

㻠㻜㻑

㻞
㻟㻜㻑

㻜㻚㻜㻞㻑
㻞㻜㻑

㻠

㻝㻜㻑

㻜㻚㻜㻠㻑

ᑤᗘ㻌

㻜㻚㻝㻞㻑

㻜㻑

䝪䝷䝔䜱䝸䝔䜱㻌

䝎䞊䜽䞉䝥䞊䝹䜈䛾Ⓨὀ⋡䛸䝪䝷䝔䜱䝸䝔䜱䠈ᑤᗘ㻌䝜䞊䝬䝹䞉䜶䞊䝆䜵䞁䝖㻌䝎䞊䜽䞉䝥䞊䝹Ⓨὀ⋡㻌㼐㼚㻌
ਤ 10.1ϘϥςΟϦςΟ͓Αͼಅམ཰ͷઑ౓ͷɼϊʔϚϧɾΤʔδΣϯτͷμʔΫɾϓʔϧ΁ͷൃ஫֬཰ dn ґଘੑɽ

197

10.3 γϛϡϨʔγϣϯ݁Ռ䜰䝹䝂䝸䝈䝮䞉䝖䝺䞊䝗䛻䜘䜛䝬䞊䜿䝑䝖䞉䜲䞁䝟䜽䝖㻌㻜㻚㻟㻑䝬䞊䜿䝑䝖䞉䜲䞁䝟䜽䝖㻌

㻜㻚㻟㻑
㻜㻚㻞㻑

඲䛶ᡂ⾜㻌
඲䛶ᣦ್㻌

㻜㻚㻞㻑
㻜㻚㻝㻑
㻜㻚㻝㻑
㻜㻚㻜㻑

㻝㻑

㻜㻚㻡㻑

㻜㻚㻞㻑

㻙㻜㻚㻝㻑

㻜㻚㻝㻑

㻙㻜㻚㻝㻑

䜰䝹䝂䝸䝈䝮䞉䜶䞊䝆䜵䞁䝖ẚ⋡㻌㼚㼍㻛㼚㻌ਤ 10.2ϚʔέοτɾΠϯύΫτͷΞϧΰϦζϜɾΤʔδΣϯτଘࡏൺ཰ na /n ґଘੑɽ

198

ୈ 10 ষ औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ IIɿ μʔΫɾϓʔϧग़‫ݱ‬ͷӨ‫ڹ‬䝬䞊䜿䝑䝖䞉䜲䞁䝟䜽䝖䛸⣙ᐃ⋡㻌
㻜㻚㻡㻜㻑

㻝㻜㻜㻑

㻥㻜㻑

䝎䞊䜽౑⏝㻦䝬䞊䜿䝑䝖䞉䜲䞁䝟䜽䝖㻌ᣦ್㻦䝬䞊䜿䝑䝖䞉䜲䞁䝟䜽䝖㻌䝎䞊䜽౑⏝㻦⣙ᐃ⋡㻌ᣦ್㻦⣙ᐃ⋡㻌䝬䞊䜿䝑䝖䞉䜲䞁䝟䜽䝖㻌

㻜㻚㻠㻜㻑

㻜㻚㻟㻡㻑
㻜㻚㻟㻜㻑

㻤㻜㻑

㻣㻜㻑
㻢㻜㻑

㻜㻑

㻝㻜㻜㻑

㻜㻚㻜㻜㻑

㻥㻜㻑

㻝㻜㻑

㻤㻜㻑

㻜㻚㻜㻡㻑

㻣㻜㻑

㻞㻜㻑

㻢㻜㻑

㻜㻚㻝㻜㻑

㻡㻜㻑

㻟㻜㻑

㻠㻜㻑

㻜㻚㻝㻡㻑

㻟㻜㻑

㻠㻜㻑

㻞㻜㻑

㻜㻚㻞㻜㻑

㻝㻜㻑

㻡㻜㻑

㻜㻑

㻜㻚㻞㻡㻑

䜰䝹䝂䝸䝈䝮䞉䜶䞊䝆䜵䞁䝖䛾䝎䞊䜽䞉䝥䞊䝹Ⓨὀ⋡㻌㼐㼍㻌䜎䛯䛿ᣦ್⋡㻌㼟㼍㻌
ਤ 10.3ΞϧΰϦζϜɾΤʔδΣϯτ͕֬཰ da ͰμʔΫɾϓʔϧʹൃ஫ͨ͠৔߹ͱɼ

֬཰ sa ͰϦοτࢢ৔΁࠷ྑͷങ͍஫จՁ֨Ͱࢦ஋஫จͨ͠৔߹ͷɼϚʔέοτɾΠϯύΫτ͓Αͼ໿ఆ཰ɽdn = 30% ʹ‫ݻ‬ఆɽ⣙ᐃ⋡㻌㻔ὀᩥᡂ❧⋡㻕㻌

㻜㻚㻠㻡㻑

199

10.3 γϛϡϨʔγϣϯ݁Ռ䝎䞊䜽䝥䞊䝹Ⓨὀ⋡䛸䝬䞊䜿䝑䝖䞉䜲䞁䝟䜽䝖㻌䜰䝹䝂䝸䝈䝮䞉䜶䞊䝆䜵䞁䝖䛜䝎䞊䜽䞉䝥䞊䝹౑⏝᫬㻌㻞㻚㻜㻑䝬䞊䜿䝑䝖䞉䜲䞁䝟䜽䝖㻌㼐㼍㻩㻜㻑㼐㼍㻩㻟㻜㻑
㼐㼍㻩㻢㻜㻑
㼐㼍㻩㻥㻜㻑

㻝㻚㻡㻑
㻝㻚㻜㻑

㻥㻜㻑

㻤㻜㻑

㻣㻜㻑

㻢㻜㻑

㻡㻜㻑

㻠㻜㻑

㻟㻜㻑

㻞㻜㻑

㻜㻚㻜㻑

㻝㻜㻑

㻜㻚㻡㻑

䝜䞊䝬䝹䞉䜶䞊䝆䜵䞁䝖㻌䝎䞊䜽䝥䞊䝹Ⓨὀ⋡㻌㼐㼚㻌
ਤ 10.4ΞϧΰϦζϜɾΤʔδΣϯτ͕μʔΫɾϓʔϧ΁ͷൃ஫Λߦ͏৔߹ͷɼϚʔέοτɾΠϯύΫτͷ da ͓Αͼ dn ґଘੑɽ

200

ୈ 10 ষ औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ IIɿ μʔΫɾϓʔϧग़‫ݱ‬ͷӨ‫ڹ‬㼟㼍㻩㻜㻑㼟㼍㻩㻟㻜㻑
㼟㼍㻩㻢㻜㻑
㼟㼍㻩㻥㻜㻑

䝬䞊䜿䝑䝖䞉䜲䞁䝟䜽䝖㻌㻞㻚㻜㻑䝎䞊䜽䝥䞊䝹Ⓨὀ⋡䛸䝬䞊䜿䝑䝖䞉䜲䞁䝟䜽䝖㻌䜰䝹䝂䝸䝈䝮䞉䜶䞊䝆䜵䞁䝖䛜䝸䝑䝖ᕷሙ䜈ᣦ್ὀᩥ౑⏝᫬㻌

㻝㻚㻡㻑
㻝㻚㻜㻑

㻥㻜㻑

㻤㻜㻑

㻣㻜㻑

㻢㻜㻑

㻡㻜㻑

㻠㻜㻑

㻟㻜㻑

㻞㻜㻑

㻜㻚㻜㻑

㻝㻜㻑

㻜㻚㻡㻑

䝜䞊䝬䝹䞉䜶䞊䝆䜵䞁䝖㻌䝎䞊䜽䝥䞊䝹Ⓨὀ⋡㻌㼐㼚㻌
ਤ 10.5ΞϧΰϦζϜɾΤʔδΣϯτ͕Ϧοτࢢ৔΁ࢦ஋஫จΛߦ͏৔߹ͷɼϚʔέοτɾΠϯύΫτͷ da ͓Αͼ dn ґଘੑɽ

201

10.3 γϛϡϨʔγϣϯ݁Ռ䝔䜱䝑䜽䝃䜲䝈䛤䛸䛾㻌䝎䞊䜽䝥䞊䝹Ⓨὀ⋡䛸䝪䝷䝔䜱䝸䝔䜱㻌㻜㻚㻢㻜㻑䝔䜱䝑䜽䝃䜲䝈㻌㻜㻚㻜㻜㻝㻑㻌㻜㻚㻡㻜㻑䝔䜱䝑䜽䝃䜲䝈㻌㻜㻚㻝㻑㻌䝪䝷䝔䜱䝸䝔䜱㻌

䝔䜱䝑䜽䝃䜲䝈㻌㻝㻑㻌

㻜㻚㻠㻜㻑
㻜㻚㻟㻜㻑
㻜㻚㻞㻜㻑

㻥㻜㻑

㻤㻜㻑

㻣㻜㻑

㻢㻜㻑

㻡㻜㻑

㻠㻜㻑

㻟㻜㻑

㻞㻜㻑

㻝㻜㻑

㻜㻚㻜㻜㻑

㻜㻑

㻜㻚㻝㻜㻑

䝜䞊䝬䝹䞉䜶䞊䝆䜵䞁䝖㻌䝎䞊䜽䝥䞊䝹Ⓨὀ⋡㻌㼐㼚㻌
ਤ 10.6

ςΟοΫɾαΠζ͝ͱ (0.001%, 0.1%, 1%) ͷɼϘϥςΟϦςΟͷ dn ґଘੑɽ

202

ୈ 10 ষ औҾࢢ৔ؒ‫ڝ‬૪ͷ෼ੳ IIɿ μʔΫɾϓʔϧग़‫ݱ‬ͷӨ‫ڹ‬䝔䜱䝑䜽䝃䜲䝈㻌㻝㻑㻌䝬䞊䜿䝑䝖䞉䜲䞁䝟䜽䝖䛸⣙ᐃ⋡㻌㻤㻜㻑㻢㻜㻑䝎䞊䜽౑⏝㻦⣙ᐃ⋡㻌㻠㻜㻑ᣦ್㻦⣙ᐃ⋡㻌

㻝㻜㻜㻑

㻥㻜㻑

㻤㻜㻑

㻣㻜㻑

㻢㻜㻑

㻡㻜㻑

㻠㻜㻑

㻟㻜㻑

㻞㻜㻑

㻜㻑

㻝㻜㻑

㻞㻜㻑
㻜㻑

⣙ᐃ⋡㻌㻔ὀᩥᡂ❧⋡㻕㻌㻝㻜㻜㻑䜰䝹䝂䝸䝈䝮䞉䜶䞊䝆䜵䞁䝖䛾䝎䞊䜽䞉䝥䞊䝹Ⓨὀ⋡㻌㼐㼍㻌䜎䛯䛿ᣦ್⋡㻌㼟㼍㻌
ਤ 10.7

ςΟοΫɾαΠζ͕ 1% ͷͱ͖ͷɼΞϧΰϦζϜɾΤʔδΣϯτ͕֬཰ da ͰμʔΫɾϓʔϧʹൃ஫ͨ͠৔߹ͱɼ֬཰ sa ͰϦοτࢢ৔΁࠷ྑͷങ͍஫จՁ֨Ͱࢦ஋
஫จͨ͠৔߹ͷ໿ఆ཰ɽdn = 30% ʹ‫ݻ‬ఆɽ

10.4 ·ͱΊ

203

10.4 ·ͱΊຊষͰ͸ɼୈ 9 ষͱಉ༷ʹɼୈ 5 ষͰड़΂ͨϕʔεϞσϧʹࡉ͔͍मਖ਼ΛՃ͑ͯϚʔέοτɾϚΠΫϩɾετϥΫνϟʔΛ࠶‫͠ݱ‬ɼ̍ͭͷϦοτࢢ৔ʢ஫จ৘ใ͕ެ։͞Εͯ
͍Δ௨ৗͷࢢ৔ʣͱ̍ͭͷμʔΫɾϓʔϧ͕ଘࡏ͢ΔϞσϧΛߏஙͨ͠ɽ͜ͷਓ޻ࢢ৔ϞσϧΛ༻͍ͯɼμʔΫɾϓʔϧͷී‫ࢢ͕ٴ‬৔Λ҆ఆԽͤ͞Δͷ͔Ͳ͏͔ௐ΂ͨɽΞϧΰϦζϜɾΤʔδΣϯτ͕ϚʔέοτɾΠϯύΫτΛ༩͑Δ͜ͱΛ֬ೝ͠ɼ͢΂ͯࢦ஋஫จͰ͋ͬͨͱͯ͠΋ؒ઀తʹϚʔέοτɾΠϯύΫτΛ༩͑Δ͜ͱΛϞσϧ͕࠶‫ݱ‬Ͱ͖ͨɽμʔΫɾϓʔϧ΁ͷൃ஫Λ૿΍͢΄ͲϚʔέοτɾΠϯύΫτΛ͓͑͞Δ͜ͱ͕
෼͔ͬͨɽͨͩ͠ɼμʔΫɾϓʔϧ΁ͷൺ཰͕ଟ͗͢Δͱ໿ఆ཰͕গ͠௿Լ͢Δ͜ͱ͕෼͔ͬͨɽ͞ΒʹɼϊʔϚϧɾΤʔδΣϯτ͕μʔΫɾϓʔϧΛ֓Ͷ 70% Ҏ্ͱଟ͘࢖༻
͍ͯ͠Δঢ়‫ͱͩگ‬ɼΞϧΰϦζϜɾΤʔδΣϯτ͸ͦΕҎ্ʹμʔΫɾϓʔϧΛ࢖༻͠ͳ͍ͱϚʔέοτɾΠϯύΫτΛԡ͑͞ΒΕͳ͍͜ͱ͕෼͔ͬͨɽ
Ϧοτࢢ৔ͷςΟοΫɾαΠζ͕େ͖͍৔߹ɼΞϧΰϦζϜɾΤʔδΣϯτ͸ࢦ஋஫จʹΑΔϚʔέοτɾΠϯύΫτͷճආΛߦ͓͏ͱ͢Δͱ໿ఆ཰͕େ͖͘௿Լ͢Δ͜ͱ͕෼͔ͬͨɽ͜ͷ৔߹Ͱ΋μʔΫɾϓʔϧΛ༻͍Ε͹໿ఆ཰ͷ௿Լ͸΄ͱΜͲͳ͘ϚʔέοτɾΠϯύΫτͷ௿‫͖Ͱ͕ݮ‬Δ͜ͱ͕෼͔ΓɼϦοτࢢ৔ͷςΟοΫɾαΠζ͕େ͖͍ͱ
͖͸ΑΓμʔΫɾϓʔϧͷ༗༻ੑ͕ߴ͍ՄೳੑΛࣔͤͨɽҎ্ͷΑ͏ʹɼ͋Δఔ౓·Ͱͷී‫͋Ͱٴ‬Ε͹ɼμʔΫɾϓʔϧ͸ࢢ৔Λ҆ఆԽͤ͞ɼ
ϚʔέοτɾΠϯύΫτΛ௿‫ͤ͞ݮ‬ΔޮՌΛ΋ͭ͜ͱ͕ࣔࠦ͞Εͨɽී‫ͨ͗͢͠ٴ‬৔߹ʹ͸͞·͟·ͳѱӨ‫͕ࠦࣔ͞ڹ‬Ε͕ͨɼͦͷѱӨ‫Ͱ͕ڹ‬͸͡ΊΔී‫཰ٴ‬͸ 70% ͘Β͍Ͱ͋Γɼ࣮ࡍͷۚ༥ࢢ৔Ͱͷ‫ࡏݱ‬ͷμʔΫɾϓʔϧͷී‫཰ٴ‬΍ϤʔϩούͰͷ‫ݕ‬౼͞Ε͍ͯΔ
ചങ୅ۚΩϟοϓ‫੍͢ن੍͕ن‬Δී‫͋Ͱ཰ٴ‬Δ 10% ఔ౓ [Urrutia 13, Bowley 14] ΑΓɼ͔ͳΓߴ͍ɽ͔͠͠ɼσϝϦοτ͕ग़࢝ΊΔී‫཰ٴ‬ͷఆྔతͳ෼ੳ͸ຊ‫Ͱڀݚ‬͸ෆे෼Ͱ͋Γࠓ‫ޙ‬ͷ՝୊Ͱ͋Δɽ

205

݁࿦
ຊ‫Ͱڀݚ‬͸ɼ·ͣɼ࣮ࡍͷۚ༥ࢢ৔Ͱٞ࿦͞Ε͍ͯΔ‫੍ن‬ɾ੍౓ͷಋೖͷੋඇ΍ઃ‫ܭ‬ͷٞ࿦ͷࢀߟʹͳΔ෼ੳΛߦ͏ͨΊͷਓ޻ࢢ৔ϞσϧΛߏங͢ΔͨΊɼਓ޻ࢢ৔Ϟσϧͷઃఆʹؔͯ͠‫ݸ‬ผͷཁҼʹؔ͢Δৄࡉͳٞ࿦Λ͠ɼ֤ઃఆ͕ͲͷΑ͏ͳ෼ੳͷ৔߹ʹඞཁͳͷ͔Λٞ࿦ͨ͠ɽͦͯ͠ɼ͜ΕΒͷٞ࿦Λ͏͚ɼ‫ͳͱݩ‬ΔϕʔεϞσϧΛߏஙͨ͠ɽ

[Chiarella 02, Chiarella 09] ͷਓ޻ࢢ৔ϞσϧΛϕʔεʹɼՁܾ֨ఆϝΧχζϜ͸‫࣮ݱ‬ͷ‫੍ن‬ɾ੍౓Λ࣮૷͢ΔͨΊɼ‫࣮ݱ‬ͷऔҾࢢ৔Λඞཁͳൣғ಺Ͱ஧࣮ʹ࠶‫͠ݱ‬ɼΤʔδΣϯτ͸෼ੳ໨తΛՌͨͤΔൣғ಺ͰɼͳΔ΂͘γϯϓϧͳϞσϧΛߏஙͨ͠ɽܾఆ͞ΕͨύϥϝʔλΛ༻͍ͯɼ࣮ূ෼ੳͰಘΒΕ͍ͯΔϑΝοτɾςʔϧ΍ϘϥςΟϦςΟɾΫϥελϦϯάͱ͍ͬͨ୅දతͳελΠϥΠζυɾϑΝΫτ͕࠶‫͖Ͱݱ‬Δ͔Ͳ͏͔ɼଥ౰ੑΛ‫ݕ‬౼ͨ݁͠Ռɼଥ౰ͳϞσϧͰ͋Δ͜ͱ͕ࣔ͞Εͨɽ࣍ʹɼϕʔεϞσϧʹֶशաఔΛ௥Ճͨ͠ϞσϧΛ༻͍ͯɼΞϯμʔγϡʔτ΍‫ൃޡ‬஫ʹΑͬͯҾ͖‫͜͞ى‬ΕΔۚ༥‫ʹػة‬ΑΔࠞཚʹରԠ͢Δ‫੍ن‬ɾ੍౓Λٞ࿦ͨ͠ɽ
‫ࣜג‬͸ࢢ৔ͰऔҾ͞Ε͍ͯΔՁ֨ʢࢢ৔Ձ֨ʣͱ͸ผʹɼ‫ࣜג‬Λൃߦ͢Δ‫ࣗۀا‬ମ͕͍࣋ͬͯΔ࣮ଶͷՁ஋ʹ΋ͱ͍ͮͨՁ֨ʢϑΝϯμϝϯλϧՁ֨ʣ͕ଘࡏ͢Δͱߟ͑ΒΕ
͍ͯΔɽฏৗ࣌ʹ૬౰͢ΔϑΝϯμϝϯλϧՁ͕֨Ұఆͷ৔߹ͱɼόϒϧ่յ࣌ʹ૬౰͢ΔϑΝϯμϝϯλϧՁ͕֨‫ٸ‬མͨ͠৔߹ʹ͍ͭͯɼ஋෯੍‫׬ͱݶ‬શۭചΓ‫੍ن‬ɼ͓ΑͼΞοϓςΟοΫɾϧʔϧ͕ɼฏৗ࣌ͱόϒϧ่յ࣌ʹࢢ৔ͷޮ཰ੑΛߴΊΔ͔ɼ·ͨ͸ޮ཰ੑΛԼ͛ͯ͠·͏ͷ͔Λ‫ݕ‬౼ͨ͠ɽͦͷ݁Ռɼ‫͍ͳ੍͕ن‬৔߹ʹόϒϧ่յ͕͓͜Δͱ
ϑΝϯμϝϯλϧՁ֨ΑΓ΋͞ΒʹՁ͕֨Լམ͢Δͱ͍͏Ξϯμʔγϡʔτ͕ൃੜ͢Δ͜
ͱ͕෼͔ͬͨɽҰํɼ‫੍͕͋ن‬Δ৔߹͸Ξϯμʔγϡʔτ͕ൃੜͤͣࢢ৔ͷޮ཰ੑ͕ߴ·Δ͜ͱ͕෼͔ͬͨɽ͔͠͠ɼ‫׬‬શۭചΓ‫ͱ੍ن‬ΞοϓςΟοΫɾϧʔϧ͸ฏৗ࣌ʹɼׂߴͳՁ֨Ͱ͔͠औҾ͞Εͳ͍ͱ͍͏෭࡞༻Λ΋͍ͬͯΔ͜ͱ͕෼͔ͬͨɽ͜ΕΒΛ૯߹͢Δ
ͱɼ஋෯੍‫͕ݶ‬ฏৗ࣌ͷ෭࡞༻΋ແ͘ɼ΋ͬͱ΋ࢢ৔ͷޮ཰ੑΛߴΊΔՄೳੑ͕͋Δ͜ͱ
Λࣔͨ͠ɽ͞Βʹɼ࠷దͳ஋෯੍‫ݶ‬ͷύϥϝʔλΛٞ࿦ͨ͠ɽΞϯμʔγϡʔτΛ๷͗ͭͭɼͳΔ΂͘ૣ͘ϑΝϯμϝϯλϧՁ֨ʹ౸ୡͤ͞Δ஋෯੍‫ݶ‬ͷύϥϝʔλ৚݅ࣜɼ͓Αͼɼ৽͍͠ϑΝϯμϝϯλϧՁ֨ʹऩଋ͢Δ৚݅ࣜΛࣔͨ͠ɽ

206

݁࿦
େ‫ن‬໛‫ൃޡ‬஫͕Ձ֨มಈʹ༩͑ΔӨ‫ڹ‬ͷ෼ੳΛ෼ੳͨ͠ɽେྔͷ‫ൃޡ‬஫͕୹࣌ؒʹूத
͢Δ৔߹ͱɼগྔͷ‫ൃޡ‬஫͕௕‫ʹظ‬ΘͨΔ৔߹Λൺֱ͢Δͱɼ૯‫ൃޡ‬஫‫͕਺ג‬ಉҰͰ͋Δ
ͳΒ͹ɼ྆ऀ͸ಉఔ౓ͷՁ֨ԼམΛಋ͘͜ͱ͕෼͔ͬͨɽ·ͨɼ‫ൃޡ‬஫࣌ͷ஋෯੍‫ݶ‬ͷޮՌΛ෼ੳͨ݁͠Ռɼ‫ൃޡ‬஫͕ଓ͘‫ؒظ‬ΑΓ୹͍‫ؒظ‬ͷಅམ཰Λ੍‫͢ݶ‬Δ஋෯੍‫͕ݶ‬༗ޮͰ
͋Δ͜ͱ͕෼͔ͬͨɽ
͞ΒʹɼϕʔεϞσϧʹࡉ͔͍मਖ਼ΛՃ͑ͯϚʔέοτɾϚΠΫϩɾετϥΫνϟʔΛ࠶‫Ͱ͑͏ͨ͠ݱ‬ɼ৽͍͠औҾࢢ৔ͷ੍౓͕΋ͨΒ͢ࢢ৔ؒ‫ڝ‬૪΁ͷӨ‫ڹ‬Λٞ࿦ͨ͠ɽ
̎ͭͷऔҾࢢ৔͕ଘࡏ͢Δ৔߹΋ϞσϧԽ͠ɼςΟοΫɾαΠζͱॳ‫ظ‬ͷग़དྷߴγΣΞͷΈ͕ҟͳΔ 2 ͭͷऔҾࢢ৔͕͋Δ৔߹ʹɼͲͷΑ͏ͳ৚݅ͷ৔߹ʹγΣΞ͕ҠΓมΘΔͷ͔ௐ΂ͨɽऔҾࢢ৔ A ͷςΟοΫɾαΠζ ΔPA ͕ɼςΟοΫɾαΠζ͕े෼খ͍͞
ͱ͖ͷ 1 ςΟοΫ͝ͱͷಅམ཰ͷඪ४ภࠩɼσt ఔ౓ΑΓେ͖͍৔߹ɼ΋͠औҾࢢ৔ B ͷςΟοΫɾαΠζ ΔPB ͕ ΔPA ΑΓখ͚͞Ε͹ɼΔPA ͷ಺ଆͰଟ͘ͷऔҾ͕ߦΘΕऔҾࢢ৔ B ͷΈͰͷऔҾ͕ଟ͘ͳΓɼग़དྷߴγΣΞ͕औҾࢢ৔ B ʹ‫ٸ‬଎ʹҠΔ͜ͱ͕෼͔ͬ
ͨɽҰํɼΔPA ͕ 1/10σt ఔ౓ΑΓখ͍͞৔߹͸ɼΔPB ͕͍͘Βখͯ͘͞΋ɼΔPA Λ·͙ͨऔҾ͕ଟ͍ͷͰɼऔҾࢢ৔ B ͚ͩͰऔҾ͞ΕΔ͜ͱ͸ଟ͘͸ͳΒͣɼग़དྷߴγΣΞ͸΄ͱΜͲಈ͔ͳ͍͜ͱ͕෼͔ͬͨɽ·ͨɼ࣮ূ෼ੳ΋ߦ͍ɼγϛϡϨʔγϣϯ݁Ռͱͷൺֱ΋ߦͬͨɽ͜ΕΒͷ෼ੳ͸ɼͦ΋ͦ΋औҾࢢ৔͕ಋೖ͢΂͖ςΟοΫɾαΠζ͸ͲΕ͘Β͍ͳͷ͔ͱ͍͏ఆྔతͳٞ࿦ΛɼॳΊͯՄೳͱͨ͠ͱߟ͑ΒΕΔɽ
̍ͭͷϦοτࢢ৔ʢ஫จ৘ใ͕ެ։͞Ε͍ͯΔ௨ৗͷࢢ৔ʣͱ̍ͭͷμʔΫɾϓʔϧʢଞͷ౤ࢿՈʹࣗ෼ͷ஫จΛ‫ͤݟ‬Δඞཁ͕ͳ͍औҾࢢ৔ʣ͕ଘࡏ͢ΔϞσϧΛߏங͠ɼμʔΫɾϓʔϧͷී‫ࢢ͕ٴ‬৔Λ҆ఆԽͤ͞Δͷ͔Ͳ͏͔ௐ΂ͨɽΞϧΰϦζϜɾΤʔδΣϯτ͕ϚʔέοτɾΠϯύΫτ (େྔͷചങΛߦ͏౤ࢿՈ͕ࣗΒͷେྔͷചങ஫จʹΑͬͯࢢ৔Ձ֨Λมಈͤͯ͞͠·͏͜ͱ) Λ༩͑Δ͜ͱΛ֬ೝ͠ɼ͢΂ͯࢦ஋஫จͰ͋ͬͨͱͯ͠
΋ؒ઀తʹϚʔέοτɾΠϯύΫτΛ༩͑Δ͜ͱΛϞσϧ͕࠶‫͖ͨͰݱ‬ɽμʔΫɾϓʔϧ΁ͷൃ஫Λ૿΍͢΄ͲϚʔέοτɾΠϯύΫτΛ͓͑͞Δ͜ͱ͕෼͔ͬͨɽ͞ΒʹɼϊʔϚϧɾΤʔδΣϯτ͕μʔΫɾϓʔϧΛଟ͘࢖༻͍ͯ͠Δঢ়‫ͱͩگ‬ɼΞϧΰϦζϜɾΤʔδΣϯτ͸ͦΕҎ্ʹμʔΫɾϓʔϧΛ࢖༻͠ͳ͍ͱϚʔέοτɾΠϯύΫτΛԡ͑͞ΒΕͳ͍͜ͱ͕෼͔ͬͨɽ͜ͷΑ͏ʹɼ͋Δఔ౓·Ͱͷී‫͋Ͱٴ‬Ε͹ɼμʔΫɾϓʔϧ͸ࢢ৔Λ҆ఆԽͤ͞ɼϚʔέοτɾΠϯύΫτΛ௿‫ͤ͞ݮ‬ΔޮՌΛ΋ͭ͜ͱ͕ࣔࠦ͞Ε͕ͨɼී‫ͨ͗͢͠ٴ‬৔߹ʹ͸͞·͟·ͳѱӨ‫͕͋ڹ‬Δ͜ͱ΋ࣔࠦ͞Εͨɽ࠷‫ʹޙ‬ɼຊ‫͕ڀݚ‬෼ੳΛߦͬͨۚ༥ࢢ৔ͷ‫੍ن‬ɾ੍౓ͷ͏ͪɼ࣮ࡍʹมߋ͕ߦΘΕͨࣄྫΛ͋͛Δɽ
ۚ༥ி͸ 2013 ೥ 3 ݄ 7 ೔ʹۭചΓ‫੍ن‬ͷ؇࿨Λൃද͠ɼΞοϓςΟοΫɾϧʔϧͷৗ࣌ద༻Λ΍ΊɼՁ͕֨େ෯ʹԼམͨ͠৔߹ͷΈʹ‫ݶ‬ఆతʹద༻͢Δͱ͍͏ɼτϦΨʔࣜʹҠߦ͢Δ͜ͱΛ‫ݕ‬౼͢Δ͜ͱΛൃදͨ͠ [ۚ༥ி 13b]ɽઌʹड़΂ͨΑ͏ʹɼΞοϓςΟο

207Ϋɾϧʔϧ͸ຊ‫ڀݚ‬΍ຊ‫ؔ͢ʹڀݚ‬Δൃද࣮੷ [ਫా 13b, Mizuta 13e] ͕ۚ༥ࢢ৔ʹѱӨ‫ڹ‬Λ‫ͱ͢΅ٴ‬ड़΂͍ͯͨ΋ͷͰ͋Δɽͦͷ‫ޙ‬ɼ2013 ೥ 11 ݄ 5 ೔ΑΓɼ࣮ࡍʹɼΞοϓςΟοΫɾϧʔϧ͸τϦΨʔࣜ΁Ҡߦ͠ɼৗ࣌ద༻͸ऴྃͨ͠ [ۚ༥ி 13a]ɽ
·ͨɼ౦‫݊ূژ‬औҾॴ͸ 2013 ೥ 3 ݄ 26 ೔ʹ‫ͼݺ‬஋ͷࠁΈΛஈ֊తʹࡉ͔͘͢Δ͜ͱ
Λൃදͨ͠ [JPX 13]ɽઌʹड़΂ͨΑ͏ʹɼେ͖͗͢Δ‫ͼݺ‬஋ͷࠁΈ͸ຊ‫ڀݚ‬΍ຊ‫ʹڀݚ‬
ؔ͢Δൃද࣮੷ [ਫా 13c, Mizuta 13d] ͕Ձ֨‫ܗ‬੒ʹѱӨ‫ڹ‬Λ‫͠΅ٴ‬ɼଞࢢ৔΁औҾ͕ྲྀग़͢Δ‫ݪ‬ҼͱͳΓಘΔͱड़΂͍ͯͨ΋ͷͰ͋Δɽͦͷ‫ޙ‬ɼ2014 ೥ 1 ݄ 14 ೔ʹɼୈ̍஄ͱ
ͯ͠Ұ෦ͷ໏ฑͷ‫ͼݺ‬஋ͷࠁΈ͕ࡉ͔͘ͳΓɼҎ‫ޙ‬΋ஈ֊తʹ‫ͼݺ‬஋ͷࠁΈ͕ࡉ͔͘ͳΔ
༧ఆͱ͞Ε͍ͯΔ [౦ূ 13]ɽ

209

ँࣙ
ຊ࿦จΛ࡞੒͢Δʹ͋ͨΓɼଟ͘ͷํʑʹ͓ੈ࿩ʹͳΓ·ͨ͠ɽ͜͜ʹਂ͘‫͍ͨ͠ँײ‬·͢ɽࢦಋ‫׭ڭ‬ͷ࿨ઘܿ।‫ڭ‬तʹ͸ɼത࢜՝ఔࡏ੶தͷ̏೥ؒͷΈͳΒͣɼ‫ڞ‬ಉ‫ڀݚ‬Λ࢝Ίͨࡏ੶લΑΓɼ೤৺ͳ͝ࢦಋɼଟ͘ͷ༗ӹͳ͝ॿ‫ݴ‬Λ͍͖ͨͩ·ͨ͠ɽ৺ΑΓ‫͍ͨँײ‬͠·͢ɽࡢ೥౓·Ͱಉ͡‫ࣨڀݚ‬ͷઌੜͰ͋ͬͨ٢ଜ೜‫ڭ‬तʹ͸ɼ༗ӹͰਂ͍ٞ࿦ͱ͝ॿ‫ݴ‬Λ͍͖ͨͩ·ͨ͠ɽ৺ΑΓ‫͢·͍ͨ͠ँײ‬ɽത࢜՝ఔࡏ੶લ͸΋ͱΑΓࡏ੶த΋ษ‫ڧ‬ձͳͲͰଟ͘ͷ༗ӹͳ͝ॿ‫ݴ‬Λ͍͖ͨͩɼͦͯ͠ɼຊ࿦จͷ৹ࠪΛ͍͍ͯͨͩͨ͠ɼௗւෆೋ
෉।‫ڭ‬तʹ৺ΑΓ‫͢·͍ͨ͠ँײ‬ɽେ‫߂ڮ‬஧‫ڭ‬तɼ৽ྖҬ૑੒Պֶ‫ڀݚ‬Պਓؒ‫ֶڥ؀‬ઐ߈ͷԞా༸࢘‫ڭ‬तɼૣҴాେֶ੓࣏‫ֶࡁܦ‬෦‫ֶࡁܦ‬Պͷࢁຊཽࢢ।‫ڭ‬तʹ͸ɼຊ࿦จͷ৹ࠪͱଟ͘ͷ༗ӹͳॿ‫ݴ‬Λ͍͖ͨͩɼ৺ΑΓ‫͢·͍ͨ͠ँײ‬ɽ࿨ઘ‫͞੶ࡏʹࣨڀݚ‬Εɼਓ޻ࢢ৔γϛϡϨʔγϣϯͱ͍͏ಉ͡‫ڀݚ‬ख๏Λ༻͍ͨ‫Ͱڀݚ‬͋ͬͨɼ઒‫ٱ‬อࠤ‫͞ه‬ΜɼԦ‫͞܍‬Μɼ‫׎‬খस͞Μɼ૲ా༟‫͞ل‬Μɼ͓Αͼɼಉ͡‫ڞ‬ಉ‫ڀݚ‬ઌʹԿ౓΋͝Ұॹ͍͍ͤͯͨͩͨ͞‫࡚ٶ‬จ‫͞ޗ‬Μɼ͓Αͼɼ࿨ઘ‫ࣨڀݚ‬ͷօ༷ɼ٢ଜ‫ڀݚ‬ࣨͷօ༷ʹ͸ɼຊ౰ʹଟ͘ͷ༗ӹͳٞ࿦Λ͍͖ͨͩɼ৺ΑΓ‫͢·͍ͨ͠ँײ‬ɽຊ࿦จͷҰ෦͸ɼՊֶٕज़ৼ‫ ߏػڵ‬CREST ‫ྖڀݚ‬Ҭʮϙετϖλεέʔϧߴੑೳ‫ܭ‬ࢉʹࢿ͢ΔγεςϜιϑτ΢ΣΞٕज़ͷ૑ग़ʯͷ‫ڀݚ‬՝୊ʮ௒େฒྻ‫ʹػࢉܭ‬ΑΔࣾձ‫ݱ‬৅γϛϡϨʔγϣϯͷ؅ཧɾ࣮ߦϑϨʔϜϫʔΫʯͷࢧԉΛड͚͍ͯ·͢ɽ͜͜ʹ‫ँײ‬ͷҙΛද͠·͢ɽ
‫ڞ‬ಉ‫ڀݚ‬Λ͍͍͖ͤͯͨͩ͞ɼ࣮຿্ͷ‫͔఺؍‬Βଟ͘ͷ༗ӹͳ͝ॿ‫ݴ‬Λ͍͍ͨͩͨɼ‫ג‬ࣜձࣾେࡕऔҾॴ IT ਪਐࣨͷૣ઒૱͞Μɼ೔ຊऔҾॴάϧʔϓ JPX ϑΝΠφϯε‫ڀݚ‬ձͷօ༷ɼ໺ଜᨽ݊‫ࣜג‬ձࣾΤάθΩϡʔγϣϯɾαʔϏε෦ͷখਿ৴ଠ࿠͞Μɼೇຊ୓໼͞Μɼদຊব͞Μɼ͓Αͼɼ໺ଜᨽ݊‫ࣜג‬ձࣾΤάθΩϡʔγϣϯɾαʔϏε෦ͷօ༷ʹ৺ΑΓ‫͢·͍ͨ͠ँײ‬ɽҎલΑΓ‫ڞ‬ಉ‫ͯ͠ͱऀڀݚ‬ଟ͘ͷ༗ӹͳ͝ॿ‫ݴ‬Λ͍͍ͨͩͨɼਆಸ઒޻Պେֶ৘ใֶ෦
৘ใ޻ֶՊͷീ໦‫܄‬।‫ڭ‬तʹ৺ΑΓ‫͢·͍ͨ͠ँײ‬ɽࢲ͸εύʔΫεɾΞηοτɾϚωδϝϯτ‫ࣜג‬ձࣾͰಇ͖ͳ͕Βത࢜՝ఔ΁ࡏֶ͠·ͨ͠ɽത࢜՝ఔʹਐΉʹ͋ͨΓɼշ͘ঝ୚ͯͩͬͨ͘͠͞ɼಉࣾͷѨ෦मฏࣾ௕ɼ౻Ҫ‫װ‬༤

210

ँࣙ
෭ࣾ௕ɼ౻ଜ஧߂ӡ༻ௐࠪຊ෦௕ɼۚ༥ࢢ৔ͷఆྔ෼ੳʹ͍ͭͯٞ࿦Λ͍͍ͨͩͨɼϦεΫ؅ཧ΍ΫΦϯπ෼ੳΛ‫ͨ͠ʹڞ‬օ༷ɼͦͯ͢͠΂ͯͷಉ྅ͷօ༷ʹ৺ΑΓ‫͢·͠ँײ‬ɽ࢓ࣄͰഓ࣮ͬͨ຿ͷ஌ࣝɾٕೳ͕ɼຊ࿦จͰॏཁͳ໾ׂΛՌͨͨ͜͠ͱ͸‫Ͱ·͏ݴ‬΋͋Γ
·ͤΜɽ·ͨɼѨ෦मฏࣾ௕͔Β͸ࣗ͝਎͕ա‫ڈ‬Ұॹʹಇ͍ͨ͜ͱ͕͋Δɼδϣʔδɾιϩεࢯͷ࿩Λଟ͘࢕͏‫ػ‬ձ͕͋ΓɼͦΕΛ͖͔͚ͬʹɼ[Soros 03] Λख़ಡ͢Δʹ͍ͨΓ·ͨ͠ɽδϣʔδɾιϩεࢯͷࣗ‫ڧݾ‬Խϓϩηεͷٞ࿦͔ΒɼͦΕ·Ͱͷਓ޻ࢢ৔‫Ͱڀݚ‬ॏཁͰͳ͍ͱ͍͏݁࿦ʹୡͦ͠͏Ͱ͋ͬͨ౤ࢿՈͷֶशաఔ͕ɼࢢ৔ͷॏཁͳಛੑΛ࠶‫͢ݱ‬ΔͷʹඞཁͰ͋Δͱ͍͏ண૝Λಘ·ͨ͠ɽͦͷ෼ੳ͸ຊ࿦จͷॏཁͳ෦෼ͱͳ͍ͬͯ·͢ɽͦͯ͠ɼδϣʔδɾιϩεࢯ͕ࢣͱ‫͍ͨͰ͍ڼ‬Χʔϧɾϙύʔࢯͷॻ੶ [Popper 63]͔Β͸ɼಛʹ “ന͍Χϥε” ͷਂ͍ٞ࿦ʢ‫ʹޙ‬φγʔϜɾλϨϒࢯ͕ [Taleb 10] Ͱ “ϒϥοΫɾεϫϯ” ͱΑΜͩٞ࿦ʣ͔ΒɼՊֶతͳٞ࿦ͱ͸Կͳͷ͔Λֶͼ·ͨ͠ɽ͜Ε͸ଞͷ‫ڀݚ‬ख๏ͱͷൺֱʹ͓͍ͯॏཁͳ‫͘ͳͰ͚ͩͨͬͳͱૅج‬ɼՊֶతʹٞ࿦͢Δͱ͸Ͳ͏͍͏͜ͱͳͷ͔ɼՊֶతͰͳ͍ٞ࿦͕೗Կʹ໰୊Ͱ͋Δ͔Λֶͼ·ͨ͠ɽຊ࿦จ͸ɼ҆ఆͨۚ͠༥ࢢ৔Λ࡞ΔͨΊʹͲͷΑ͏ͳ‫੍ن‬ɾ੍౓ʹ͢Ε͹Α͍͔ΛՊֶతʹٞ࿦͍ͨ͠ɼͱ͍͏ಈ‫·͕࢝ڀݚͰػ‬Γ·ͨ͠ɽ͍Θ͍ΔϦʔϚϯɾγϣοΫ͕ൃੜͨ͠ 2008 ೥ɼࢲ͸‫ࣜג‬ձࣾ೔ຊϚϯύϫʔ͕։ߨ͍ͯͨ͠தখ‫ۀا‬਍அ࢜ొ࿥ཆ੒՝ఔ
ʹ௨͍ͬͯ·ͨ͠ɽ‫ۀا‬਍அ‫ݚ‬मͰ͸ɼຊདྷଞͷ࢈‫ۀ‬ͷࢧ͑ͱͳΔॏཁͳࠇࢠͰ͋Δۚ༥
͕ɼ཰ઌͯ͠ଞͷ࢈‫ۀ‬ͷ଍ΛҾͬு͍ͬͯΔ͔ͷΑ͏ͳঢ়‫گ‬Λ໨ͷલͰ‫ʹͱͨ͜ݟ‬ΑΓɼۚ༥ʹ਎Λ͓͘ਓؒͱͯ͠੹೚Λ‫͕ͱͨ͜͡ײ‬ɼຊ࿦จͷग़ൃ఺ͱͳ͍ͬͯ·͢ɽ͜ͷొ࿥ཆ੒՝ఔͰ͝ࢦಋ͍͍ͨͩͨઌੜํɼଟ͘ͷٞ࿦Λֶ͍͍ͯͨͩͨ͠ੜͷօ༷ɼͦ͠
ͯɼଔ‫ޙۀ‬ͷதখ‫ۀا‬਍அ࢜‫ڠ‬ձͷ‫ڀݚ‬ձͳͲͰɼͦ΋ͦ΋ۚ༥ͱ͸Կͳͷ͔ͳͲΛਂٞ͘࿦͍͍ͨͩͨதখ‫ۀا‬਍அ࢜ͷํʑʹɼ৺ΑΓ‫͢·͍ͨ͠ँײ‬ɽຊ࿦จͰ͸ɼγϛϡϨʔγϣϯ͔ΒϝΧχζϜΛղ໌͢Δͱ͍͏஌ࣝ֫ಘʹॏ఺Λஔ͍ͨ‫ڀݚ‬Λߦ͍·ͨ͠ɽ͜ͷΑ͏ͳࢤ޲ͰγϛϡϨʔγϣϯΛ༻͍Δͱ͍͏͜ͱΛֶͼͦͷ‫ૅج‬తͳٕज़Λ਎ʹ͚ͭͨͷ͸ɼ౦‫ژ‬େֶେֶӃཧֶ‫ڀݚܥ‬Պम࢜՝ఔ͓Αͼɼֶ෦Ͱ͋
Δ‫ؾ‬৅େֶߍʹࡏ੶ͨ࣌͠୅Ͱͨ͠ɽ͜ͷ࣌୅ʹ͝ࢦಋ͍͍ͨͩͨɼ౦‫ژ‬େֶେֶӃཧֶ‫ڀݚܥ‬Պ஍‫ٿ‬࿭੕Պֶઐ߈ͷ੕໺ਅ߂‫ڭ‬तɼ‫ؾ‬৅େֶߍͷ౻ాໜ‫ڭ‬तɼ͓Αͼɼ͜ͷ࣌୅ʹ͓ੈ࿩ʹͳͬͨઌੜํɼ‫ֶʹڞ‬Μֶͩੜͷօ༷ʹɼ৺ΑΓ‫͢·͍ͨ͠ँײ‬ɽ࠷‫ʹޙ‬ɼՈ଒ʹਂ͘‫ँײ‬ਃ্͛͠·͢ɽ฼͸ɼࢲ͕ 6 ࡀͷͱ͖ɼͲͷখֶߍʹߦ͔͘Ͱ͢ΒҰਓͰܾΊͤͯ͘͞ΕΔ΄ͲɼࢲͷܾஅΛ͍ͭ΋ଚॏͯ͘͠Ε·͢ɽ‫Ͱۀا‬ಇ͖ͳ͕Βത࢜՝ఔʹ௨͏ͱ͍͏ܾஅΛଚॏͯ͘͠Εͨ฼ʹ৺ΑΓ‫͢·͍ͨ͠ँײ‬ɽͦͯ͠ɼ20೥લʹଞքͨ͠෕΋ຊ࿦จͷ‫׬‬੒Λ͖ͬͱ‫ت‬ΜͰ͍Δͱࢥ͍·͢ɽ2 ೥൒લɼത࢜՝ఔೖ
ֶ‫·ޙ‬΋ͳ͘ʹੜ·Ε່ͨ͸૸ΓճͬͨΓ‫ݴ‬༿Λ͠Ό΂ͬͨΓͰ͖ΔΑ͏ʹͳΓ·ͨ͠ɽ·ͩट΋ਾΘ͍ͬͯͳ͔ͬͨੜ·Εͨͯͷ͜Ζͱൺ΂ͯɼͱͯͭ΋ͳ͍੒௕Ͱ͢ɽࢲ͸່ͷ‫ͳܹٸ‬੒௕ʹෛ͚ͳ͍͘Β͍ͷ੒௕Λͱɼ͜ͷ̏೥͕ؒΜ͹Δ͜ͱ͕Ͱ͖·ͨ͠ɽ່ʹ

211͸ਂ͘‫͢·͍ࢥͱ͍ͨ͠ँײ‬ɽͦͯ͠࠺͸ɼԿΛ΍͍ͬͯΔͷ͔ྑ͘Θ͔Βͳ͔ͬͨͰ͋
Ζ͏ࢲͷ௅ઓʹɼԿ΋‫ݴ‬ΘͣʹԠԉͯ͘͠Ε·ͨ͠ɽ࠺ͷࢧ͕͑ͳ͚Ε͹ɼຊ࿦จͷ‫׬‬੒͸ແ͔ͬͨͰ͢ɽ৺ΑΓਂ͘‫͢·͍ͨ͠ँײ‬ɽ
ฏ੒ 26 ೥ 8 ݄౦‫۠ߓ౎ژ‬ͷࣗ୐ʹͯ
ਫా޹৴

213

ࢀߟจ‫ݙ‬[Adhami 10] Adhami, A. A.: A Multi Agent System for Real Time Adaptive Smart
Order Routing in Non-Displayed Financial Venues (Dark Pools), School of Informatics University of Edinburgh (2010)[Allen 90] Allen, H. and Taylor, M.: Charts, noise and fundamentals in the London
foreign exchange market, The Economic Journal, Vol. 100, No. 400, pp. 49–59(1990)[Allen 06] Allen, F., Morris, S., and Shin, H.: Beauty contests and iterated expectations in asset markets, Review of Financial Studies, Vol. 19, No. 3, pp. 719–752(2006)[Arthur 91] Arthur, W., Durlauf, S., Lane, D., and Program, S. E.: Money and Financial Markets, pp. 354–368, Blackwell, Cambridge (1991)[Arthur 97] Arthur, W., Durlauf, S., Lane, D., and Program, S. E.: Asset pricing
under endogenous expectations in an articial stock market, The economy as an
evolving complex system II, pp. 15–44, Addison-Wesley Reading, MA (1997)[Benou 03] Benou, G. and Richie, N.: The reversal of large stock price declines: Thecase of large ﬁrms, Journal of Economics and Finance, Vol. 27, No. 1, pp. 19–38(2003)[Bessembinder 03] Bessembinder, H.: Trade execution costs and market quality after
decimalization, Journal of Financial and Quantitative Analysis, Vol. 38, No. 04,
pp. 747–777 (2003)[Bollerslev 86] Bollerslev, T.: Generalized autoregressive conditional heteroskedasticity, Journal of econometrics, Vol. 31, No. 3, pp. 307–327 (1986)[Bowley 14] Bowley, A.: Agreement of MiFID II Reforms, http://www.itg.com/
marketing/ITG_Blotter_JP_Urrutia_MiFID_Review_20130607.pdf (2014)[Bradford 90] Bradford, J., Shleifer, A., Summers, L., and Waldmann, R.: Positive
Feedback Investment Strategies and Destabilizing Rational Speculation, The Jour-214

ࢀߟจ‫ݙ‬

nal of Finance, Vol. 45, No. 2, pp. 379–395 (1990)[Bremer 91] Bremer, M. and Sweeney, R.: The Reversal of Large Stock-Price Decreases, Journal of Finance, Vol. 46, No. 2, pp. 747–754 (1991)[Bremer 97] Bremer, M., Hiraki, T., and Sweeney, R.: Predictable patterns afterlarge stock price changes on the Tokyo Stock Exchange, Journal of Financial andQuantitative Analysis, Vol. 32, No. 03, pp. 345–365 (1997)[Brock 98] Brock, W. A. and Hommes, C. H.: Heterogeneous beliefs and routes tochaos in a simple asset pricing model, Journal of Economic dynamics and Control,Vol. 22, No. 8-9, pp. 1235–1274 (1998)[Carhart 97] Carhart, M. M.: On persistence of mutual fund performance, Journal of
Finance, Vol. 52, No. 1, pp. 57–82 (1997)[CFTC 10] Commodity Futures Trading Commission, and Securities Exchange Commission,, : Findings Regarding the Market Events of May 6, 2010, Report of the
Staﬀs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues. Retrieved May, Vol. 10, p. 2012 (2010)[Chakravarty 04] Chakravarty, S., Wood, R. A., and Van Ness, R. A.: Decimals andLiquidity: A Study of the NYSE, Journal of Financial Research, Vol. 27, No. 1,
pp. 75–94 (2004)[Chan 98] Chan, K., McQueen, G., and Thorley, S.: Are there rational speculative
bubbles in Asian stock markets?, Paciﬁc-Basin Finance Journal, Vol. 6, No. 1-2,
pp. 125–151 (1998)[Chan 01] Chan, L. K., Lakonishok, J., and Sougiannis, T.: The stock market valuation of research and development expenditures, The Journal of Finance, Vol. 56,
No. 6, pp. 2431–2456 (2001)[Chen 12] Chen, S.-H., Chang, C.-L., and Du, Y.-R.: Agent-based economic models
and econometrics, Knowledge Engineering Review, Vol. 27, No. 2, pp. 187–219(2012)[Chiarella 02] Chiarella, C. and Iori, G.: A simulation analysis of the microstructureof double auction markets, Quantitative Finance, Vol. 2, No. 5, pp. 346–353 (2002)[Chiarella 09] Chiarella, C., Iori, G., and Perelló, J.: The impact of heterogeneoustrading rules on the limit order book and order ﬂows, Journal of Economic Dynamics and Control, Vol. 33, No. 3, pp. 525–537 (2009)[Choudhry 13] Choudhry, M.: An Introduction to Value-at-risk, John Wiley & Sons
(2013)[Chung 04] Chung, K. H., Chuwonganant, C., and McCormick, D. T.: Order prefer-

215
encing and market quality on NASDAQ before and after decimalization, Journalof Financial Economics, Vol. 71, No. 3, pp. 581–612 (2004)[Cont 01] Cont, R.: Empirical properties of asset returns: stylized facts and statisticalissues, Quantitative Finance, Vol. 1, pp. 223–236 (2001)[Cristelli 14] Cristelli, M.: Complexity in Financial Markets, Modeling PsychologicalBehavior in Agent-Based Models and Order Book Models, Springer (2014)[CS 13] Japan, C. S. A.: AES University New Tools in a New Terrain (2013)[Darley 07] Darley, V. and Outkin, A. V.: Nasdaq Market Simulation: Insights on
a Major Market from the Science of Complex Adaptive Systems, World Scientiﬁc
Publishing Co., Inc. (2007)[ग़‫ ޱ‬09] ग़‫߂ޱ‬, ໦ౢ‫ګ‬ҰɿΤʔδΣϯτϕʔεͷࣾձγεςϜՊֶએ‫ݴ‬ʕ஍‫ࣾٿ‬ձͷϦϕϥϧΞʔπΊͯ͟͠ (2009)[EC 10] European Commission And others.: Public Consultation Review of the Markets in Financial Instruments Directive (MiFID), Consultation Report, Vol. 8,(2010)[Fama 92] Fama, E. F. and French, K. R.: The cross-section of expected stock returns,
the Journal of Finance, Vol. 47, No. 2, pp. 427–465 (1992)[Frankel 90] Frankel, J. and Froot, K.: Chartists, fundamentalists, and trading in
the foreign exchange market, The American Economic Review, Vol. 80, No. 2, pp.
181–185 (1990)[Friedman 53] Friedman, M.: The case for ﬂexible exchange rates (1953)[Friedman 93] Friedman, D.: The double auction market institution: A survey, The
Double Auction Market: Institutions, Theories, and Evidence, pp. 3–25 (1993)[ਂ‫ ݟ‬12] ਂ‫ ݟ‬ହ޹ɿ৽ͨͳஈ֊ʹೖͬͨԤभͷऔҾॴؒ‫ڝ‬૪, ূ݊ϨϏϡʔ, Vol. 52,
No. 10, pp. 135–152 (2012)[GS 13] Goldman Sachs India, : Features list of the systems for smart order routing and the applicable terms and conditions, http://www.goldmansachs.com/
worldwide/india/disclosures-docs/sor-terms-conds.pdf (2013)[Gsell 09] Gsell, M.: Assessing the impact of algorithmic trading on markets: a simulation approach (2009)[‫ڮ‬ຊ 08] ‫ڮ‬ຊ จ඙ɿਓ͸, ա‫ڈ‬ͷ‫ג‬Ձ࣌‫Ͳʹྻܥ‬ͷΑ͏ͳະདྷΛ౤Ө͢Δͷ͔?, ୈ 1 ճϑΝΠφϯεʹ͓͚Δਓ޻஌ೳԠ༻‫ڀݚ‬ձ (2008)[ฏ໦ 12] ฏ໦Ұߒ, ෱ӬҰ࿠ɿ࠷ۙͷ VIXʢ‫ڪ‬ාࢦ਺ʣͱ֤ࠃۚ༥ࢢ৔ͷϘϥςΟϦςΟ
ࢦඪ, ೔ۜϨϏϡʔ, Vol. 2, (2012)[Hirota 07] Hirota, S. and Sunder, S.: Price bubbles sans dividend anchors: Evi-

216ࢀߟจ‫ݙ‬

dence from laboratory stock markets, Journal of Economic Dynamics and Control,Vol. 31, No. 6, pp. 1875–1909 (2007)[޿ా 09] ޿ా ਅҰɿόϒϧ͸ͳͥ‫͜ى‬Δͷ͔ʁʵϑΝΠφϯεཧ࿦͔Βͷߟ࡯ʵ, ূ݊ΞφϦετδϟʔφϧ, Vol. 47, No. 5, pp. 6–15 (2009)[Hommes 07] Hommes, C.: Bounded rationality and learning in complex markets,
CeNDEF Working Paper Universiteit van Amsterdam, Vol. 7, (2007)[Ҫ্ 07] Ҫ্ ෢ɿถࠃ‫ࢢࣜג‬৔ؒ‫ڝ‬૪ͷ΋͏Ұͭͷଆ໘, ໺ଜࢿຊࢢ৔ΫΥʔλϦʔ, ౙ߸, pp. 123–135 (2007)[Ҫ্ 09] Ҫ্ ෢ɿ৽ͨͳஈ֊ʹೖͬͨԤभͷऔҾॴؒ‫ڝ‬૪, ໺ଜࢿຊࢢ৔ΫΥʔλϦʔ,ౙ߸, pp. 178–195 (2009)[‫ؠ‬ᖒ 11] ‫ؠ‬ᖒ ੣Ұ࿠, ಺ࢁ ๎‫ن‬ɿւ֎౤ࢿՈɾ‫ݸ‬ਓ౤ࢿՈͷ౤ࢿߦಈͱ೔ຊ‫ג‬ͷʮϘϥςΟϦςΟɾΞϊϚϦʔʯ, ୈ̑ճߦಈ‫ֶࡁܦ‬ձ (2011)[Izumi 96] Izumi, K. and Okatsu, T.: An artiﬁcial market analysis of exchange rate
dynamics, Evolutionary Programming V, pp. 27–36 (1996)[Izumi 99] Izumi, K. and Ueda, K.: Analysis of dealers’ processing ﬁnancial news
based on an artiﬁcial market approach, Journal of Computational Intelligence inFinance, Vol. 7, pp. 23–33 (1999)[࿨ઘ 03] ࿨ઘ ܿɿਓ޻ࢢ৔ɿࢢ৔෼ੳͷෳࡶ‫ܥ‬Ξϓϩʔν, ৿๺ग़൛ (2003)[࿨ઘ 12a] ࿨ઘ ܿɿՄೳੈքϒϥ΢β: ϚογϒσʔλղੳͱΤʔδΣϯτγϛϡϨʔγϣϯ, ୈ 26 ճਓ޻஌ೳֶձશࠃେձ࿦จूਓ޻஌ೳֶձ (2012)[࿨ઘ 12b] ࿨ઘ ܿɿୈ 3 ষ ۚ༥ࢢ৔ – ਓ޻ࢢ৔ͷ‫͔఺؍‬Β, ਿ‫ ݪ‬ਖ਼ᰖʢฤʣ, ‫ࣾͱࢉܭ‬ձ (‫ؠ‬೾ߨ࠲ ‫ࢉܭ‬Պֶ ୈ 6 ‫)ר‬, ‫ؠ‬೾ॻళ (2012)[Johnson 10] Johnson, B.: Algorithmic Trading & DMA: An introduction to directaccess trading strategies, 4Myeloma Press (2010)[JPX 13] ೔ ຊ औ Ҿ ॴ ά ϧ ʔ ϓɿத ‫ ܦ ظ‬Ӧ ‫ ܭ‬ը ʢ2013 ೥ ౓ - 2015 ೥౓ ʣ, http://www.jpx.co.jp/investor-relations/management-information/

midterm-business-plan.html (2013)[Kahneman 79] Kahneman, D. and Tversky, A.: Prospect theory: An analysis ofdecision under risk, Econometrica: Journal of the Econometric Society, pp. 263–
291 (1979)[Kawakubo 13] Kawakubo, S., Izumi, K., and Yoshimura, S.: Impact of delta hedging
on underlying market: Multi-agent model approach, Joint Agent Workshops andSymposium 2013 (2013)[ۚ༥ி 13a] ۚ༥ிɿʮۚ༥঎඼औҾ๏ࢪߦྩͷҰ෦Λվਖ਼͢Δ੓ྩʢҊʣʯ౳ʹର͢ΔύϒϦοΫίϝϯτͷ݁Ռ౳ʹ͍ͭͯ, http://www.fsa.go.jp/news/25/syouken/

217
20130821-3.html (2013)[ۚ༥ி 13b] ۚ༥ிɿۭചΓ‫੍ن‬ͷ૯߹తͳ‫ݟ‬௚͠ʹ͍ͭͯʢҊʣ, http://www.fsa.
go.jp/news/24/syouken/20130307-1.html (2013)[๺໺ 93] ๺໺޺໌ɿҨ఻తΞϧΰϦζϜ: 1, ࢈‫ۀ‬ਤॻ (1993)[Kobayashi 11] Kobayashi, S. and Hashimoto, T.: Beneﬁts and Limits of Circuit
Breaker: Institutional Design Using Artiﬁcial Futures Market, Evolutionary andInstitutional Economics Review, Vol. 7, No. 2, pp. 355–372 (2011)[Kumar 09] Kumar, A.: Who gambles in the stock market?, The Journal of Finance,
Vol. 64, No. 4, pp. 1889–1933 (2009)[૲ా 14] ૲ా ༟‫ل‬, ਫా ޹৴, ૣ઒ ૱, ࿨ઘ ܿ, ٢ଜ ೜ɿਓ޻ࢢ৔γϛϡϨʔγϣϯΛ༻͍ͨϚʔέοτϝʔΧʔͷεϓϨου͕ࢢ৔ग़དྷߴʹ༩͑ΔӨ‫ڹ‬ͷ෼ੳ, JPX ϫʔΩϯάɾϖʔύʔ, No. 5, ೔ຊऔҾॴάϧʔϓ (2014)[LeBaron 06] LeBaron, B.: Agent-based computational ﬁnance, Handbook of computational economics, Vol. 2, pp. 1187–1233 (2006)[Lev 96] Lev, B. and Sougiannis, T.: The capitalization, amortization, and valuerelevance of R&D, Journal of accounting and economics, Vol. 21, No. 1, pp. 107–138(1996)[Lintner 65] Lintner, J.: The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, The review of economics andstatistics, Vol. 47, No. 1, pp. 13–37 (1965)[Lux 99] Lux, T. and Marchesi, M.: Scaling and criticality in a stochastic multi-agent
model of a ﬁnancial market, Nature, Vol. 397, No. February, pp. 498–500 (1999)[Malkiel 70] Malkiel, B. G. and Fama, E. F.: Eﬃcient Capital Markets: A Review Of
Theory And Empirical Work, The journal of Finance, Vol. 25, No. 2, pp. 383–417(1970)[Mandelbrot 63] Mandelbrot, B.: The variation of certain speculative prices, The
journal of business, Vol. 36, No. 4, pp. 394–419 (1963)[Mandelbrot 72] Mandelbrot, B.: Statistical Methodology for Nonperiodic Cycles:
From the Covariance to R/S Analysis, Annals of Economic and Social Measurement, Vol. 1, pp. 259–290, National Bureau of Economic Research, Inc (1972)[Markowitz 52] Markowitz, H.: Portfolio selection*, The journal of ﬁnance, Vol. 7,
No. 1, pp. 77–91 (1952)[McQueen 94] McQueen, G. and Thorley, S.: Bubbles, stock returns, and duration
dependence, Journal of Financial and Quantitative Analysis, Vol. 29, No. 3 (1994)[Menkhoﬀ 07] Menkhoﬀ, L. and Taylor, M.: The obstinate passion of foreign exchange

218ࢀߟจ‫ݙ‬

professionals: technical analysis, Journal of Economic Literature, Vol. 45, No. 4,
pp. 936–972 (2007)[‫ ࡚ٶ‬13] ‫ ࡚ٶ‬จ‫ޗ‬, ࿨ઘ ܿ, ௗւ ෆೋ෉, ߴ‫ྒ ڮ‬ɿࠞ߹Ψ΢εϞσϧΛ༻͍ͨࢢ৔஫จ
ঢ়‫گ‬ͷมԽͷ‫ݕ‬ग़, JPX ϫʔΩϯάɾϖʔύʔ, No. 3, ೔ຊऔҾॴάϧʔϓ (2013)[ਫా 12a] ਫా ޹৴ɿۚ༥ࢢ৔ʹ͓͚Δ࠷৽৘ใٕज़ɿ1. ۚ༥ͷ໾ׂͱ৘ใԽͷਐల-ࢢ৔ͷߴ଎Խͱ՝୊-, ৘ใॲཧ, Vol. 53, No. 9, pp. 892–897 (2012)[ਫా 12b] ਫా ޹৴, ീ໦ ‫܄‬, ࿨ઘ ܿɿ‫࣮ݱ‬ͷՁܾ֨ఆϝΧχζϜΛߟྀͨ͠ਓ޻ࢢ৔
ͷઃఆධՁख๏ͷ։ൃ, ਓ޻஌ೳֶձ࿦จࢽ, Vol. 27, No. 6, pp. 320–327 (2012)[ਫా 13a] ਫా ޹৴, ࿨ઘ ܿ, ീ໦ ‫܄‬, ٢ଜ ೜ɿਓ޻ࢢ৔Λ༻͍ͨେ‫ن‬໛‫ൃޡ‬஫ʹΑΔࢢ৔ࠞཚΛ๷੍͙౓ɾ‫੍ن‬ͷ‫ ূݕ‬ʙτϦΨʔࣜΞοϓςΟοΫɾϧʔϧΛத৺ʹ ʙ,
ୈ 11 ճۚ༥৘ใֶ‫ڀݚ‬ձ, Vol. 11, pp. 1–6 (2013)[ਫా 13b] ਫా ޹৴, ࿨ઘ ܿ, ീ໦ ‫܄‬, ٢ଜ ೜ɿਓ޻ࢢ৔Λ༻͍ͨ஋෯੍‫ݶ‬ɾۭചΓ‫ن‬੍ɾΞοϓςΟοΫϧʔϧͷ‫࠷ͱূݕ‬దͳ੍౓ͷઃ‫ܭ‬, ి‫ֶؾ‬ձ࿦จࢽ ࿦จࢽ C, Vol.

133, No. 9, pp. 1694–1700 (2013)[ਫా 13c] ਫా ޹৴, ૣ઒ ૱, ࿨ઘ ܿ, ٢ଜ ೜ɿਓ޻ࢢ৔γϛϡϨʔγϣϯΛ༻͍ͨऔҾࢢ৔ؒʹ͓͚ΔςΟοΫαΠζͱऔҾྔͷؔ܎ੑ෼ੳ, JPX ϫʔΩϯάɾϖʔύʔ,No. 2, ೔ຊऔҾॴάϧʔϓ (2013)[Mizuta 13d] Mizuta, T., Hayakawa, S., Izumi, K., and Yoshimura, S.: Simulation
Study on Eﬀects of Tick Size Diﬀerence in Stock Markets Competition, in International Workshop on Agent-based Approaches in Economic and Social Complex
Systems 2013, pp. 235–246 (2013)[Mizuta 13e] Mizuta, T., Izumi, K., Yagi, I., and Yoshimura, S.: Design of Financial
Market Regulations against Large Price Fluctuations using by Artiﬁcial Market
Simulations, Journal of Mathematical Finance, Vol. 3, No. 2A, pp. 15–22 (2013)[Mizuta 13f] Mizuta, T., Izumi, K., and Yoshimura, S.: Price Variation Limits andFinancial Market Bubbles: Artiﬁcial Market Simulations with Agents’ Learning
Process, IEEE Symposium Series on Computational Intelligence, Computational
Intelligence for Financial Engineering and Economics (CIFEr), pp. 1–7 (2013)[ਫా 14a] ਫా ޹৴, খਿ ৴ଠ࿠, ೇຊ ୓໼, দຊ ব, ࿨ઘ ܿ, ٢ଜ ೜ɿμʔΫɾϓʔϧ͸ۚ༥ࢢ৔Λ҆ఆԽ͠ϚʔέοτɾΠϯύΫτΛ௿‫ͤ͞ݮ‬Δ͔ʁʙ ਓ޻ࢢ৔γϛϡϨʔγϣϯΛ༻͍ͨ‫ ূݕ‬ʙ, ୈ 12 ճۚ༥৘ใֶ‫ڀݚ‬ձ, Vol. 12, (2014)[Mizuta 14b] Mizuta, T., Izumi, K., Yagi, I., and Yoshimura, S.: Regulations’ Effectiveness for Market Turbulence by Large Mistaken Orders using Multi Agent
Simulation, in Computational Intelligence for Financial Engineering Economics(CIFEr), 2014 IEEE Conference on, pp. 138–143 (2014)

219[Mizuta 14c] Mizuta, T., Kosugi, S., Kusumoto, T., Matsumoto, W., Izumi, K., andYoshimura, S.: Do Dark Pools make Markets Stable and Reduce Market Impacts?
ʙ Investigations using Multi Agent Simulations ʙ, in Computational Intelligencefor Financial Engineering Economics (CIFEr), 2014 IEEE Conference on, pp. 71–
76 (2014)[Mo 13] Mo, S. Y. K. and Yang, M. P. S. Y.: A Study of Dark Pool Trading using
an Agent-based Model, in Computational Intelligence for Financial Engineering
Economics (CIFEr), 2013 IEEE Symposium Series on Computational Intelligenceon, pp. 19–26 (2013)[Nakada 13] Nakada, T. and Takadama, K.: Analysis on the number of XCS agentsin agent-based computational ﬁnance, in Computational Intelligence for Financial
Engineering Economics (CIFEr), 2013 IEEE Conference on, pp. 8–13 (2013)[தࢁ 13] தࢁ ‫ڵ‬, ౻Ҫ ਸ࢙ɿ‫ࢢࣜג‬৔ʹ͓͚Δߴ଎ɾߴස౓औҾͷӨ‫ڹ‬, ೔ۜϨϏϡʔ,Vol. 2, (2013)[NHK 12] NHK, : Ϛωʔࢿຊओٛʕ๫૸͔Β่յ΁ͷਅ૬ʕ, ৽ைจ‫( ݿ‬2012)[NICM 08] ໺ଜࢿຊࢢ৔‫ॴڀݚ‬ɿαϒϓϥΠϜ໰୊ʹ୺Λൃ͢Δۚ༥‫ػة‬ͷશ๴, ࢿຊࢢ৔ΫΥʔλϦʔळ߸෇ଐࢿྉ (2008)[Oesch 14] Oesch, C.: An Agent-Based Model for Market Impact, in Computational
Intelligence for Financial Engineering Economics (CIFEr), 2014 IEEE Conferenceon, pp. 17–24 (2014)[Ohi 11] Ohi, T., Hashimoto, Y., Chen, Y., and Ohashi, H.: Simulation of Futures
and Spot Markets by Using an Agent-Based Multi-Market Model, JACIII, Vol. 15,
No. 2, pp. 204–211 (2011)[େҪ 13] େҪ ๎ࢠɿΤʔδΣϯτγϛϡϨʔγϣϯΛ༻͍ͨʮՁ֨‫੍ن‬ʯͱʮωΠΩουɾγϣʔτɾηϦϯάͷ‫ࢭې‬ʯͷ༗ޮੑͷ‫ূݕ‬, ۚ༥ிۚ༥‫ڀݚ‬ηϯλʔ FSA ϦαʔνɾϨϏϡʔ, Vol. 7, (2013)[Ohlson 95] Ohlson, J. A.: Earnings, book values, and dividends in equity valuation*,Contemporary accounting research, Vol. 11, No. 2, pp. 661–687 (1995)[ଠా 11] ଠా ࿱, Ӊ໺ ३, ஛‫ۉ ݪ‬ɿ‫ࢢࣜג‬৔ͷྲྀಈੑͱ౤ࢿՈߦಈʕϚʔέοτɾϚΠΫϩετϥΫνϟʔཧ࿦ͱ࣮ূ, தԝ‫( ࣾࡁܦ‬2011)[େ࡚ 12] େ࡚ ః࿨ɿ‫ظ‬଴͞ΕΔ PTS ར༻ͷ֦େ, ۚ༥ IT ϑΥʔΧε, 9 ݄߸, pp. 8–9(2012)[Osler 03] Osler, C.: Currency orders and exchange rate dynamics: an explanation
for the predictive success of technical analysis, The Journal of Finance, Vol. 58,
No. 5, pp. 1791–1820 (2003)

220

ࢀߟจ‫ݙ‬[େ෿ 12] େ෿ ߶࢜ɿ౦ূࢢ৔ʹ͓͚ΔۭചΓͷ࣮ଶ‫ۭͼٴ‬ചΓ‫੍ن‬ͷӨ‫ڹ‬, ౦ূϫʔΩϯάϖʔύʔ, No. 1, ౦‫݊ূژ‬औҾॴ (2012)[Palmer 94] Palmer, R., Brian Arthur, W., Holland, J., LeBaron, B., and Tayler, P.:
Artiﬁcial economic life: a simple model of a stockmarket, Physica D: Nonlinear
Phenomena, Vol. 75, No. 1-3, pp. 264–274 (1994)[Popper 63] Popper, K. R.: Conjectures and refutations, Vol. 28, Routledge & KeganPaul London (1963)[RC 12] ࣮ੈքͱΤʔδΣϯτγϛϡϨʔγϣϯ‫ڠ‬ಉ‫ڀݚ‬ҕһձɿ࣮ੈքͱΤʔδΣϯτγϛϡϨʔγϣϯ, http://www.bookpark.ne.jp/cm/ieej/detail.asp?content_

id=IEEJ-GH1262-PRT (2012)[Sato 12] Sato, A.-H.: Segmentation analysis on a multivariate time series of theforeign exchange rates, arXiv preprint arXiv:1205.0336 (2012)[SEC 10] Securities and Exchange Commission and others.: Concept release on equity
market structure, Federal Register, Vol. 75, No. 13, pp. 3594–3614 (2010)[Sewell 06] Sewell, M.: Characterization of Financial Time Series, http://finance.
martinsewell.com/stylized-facts/ (2006)[Sharpe 64] Sharpe, W. F.: CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*, The journal of ﬁnance,
Vol. 19, No. 3, pp. 425–442 (1964)[Shiller 00] Shiller, R.: Irrational exuberance, Wiley Online Library (2000)[Shiller 02] Shiller, R.: Bubbles, human judgment, and expert opinion, Financial
Analysts Journal, pp. 18–26 (2002)[ਗ਼ਫ 13] ਗ਼ਫ ༿ࢠɿHFTɼPTSɼμʔΫϓʔϧͷॾ֎ࠃʹ͓͚Δಈ޲ʙԤถͰͷূ݊ࢢ৔ؒͷ‫ڝ‬૪΍ٕज़ֵ৽ʹؔ͢Δߟ࡯ʙ, ۚ༥ிۚ༥‫ڀݚ‬ηϯλʔ σΟεΧογϣϯϖʔύʔ (2013)[Soros 03] Soros, G.: The alchemy of ﬁnance, Wiley (2003)[ਿ‫ ݪ‬10] ਿ‫ܚ ݪ‬඙ɿऔҾίετͷ࡟‫ݮ‬Λ८Δࢢ৔ࢀՃऀͷऔ૊ΈɿΞϧΰϦζϜऔҾͱ୅ସࢢ৔ͷ‫༻׆‬, ೔ຊۜߦۚ༥‫ॴڀݚ‬σΟεΧογϣϯɾϖʔύʔɾγϦʔζ, No. J-26

(2010)[ߴా 09] ߴా ༔໼, ‫ڮ‬ຊ ߁߂, ௠ Ϣ, େ‫߂ ڮ‬஧ɿۚ༥ࢢ৔ͷϞσϧԽͱۭചΓ‫੍ن‬ͷޮՌʹ͍ͭͯΤʔδΣϯτϕʔεγϡϛϨʔγϣϯʹΑΔΞϓϩʔν, γεςϜ૑੒ֶ ୈೋճֶज़ߨԋձ Ϧιʔεͷ૑੒ͱྲྀಈ, Vol. 2, pp. 56–60 (2009)[Taleb 10] Taleb, N. N.: The Black Swan:: The Impact of the Highly Improbable
Fragility, Random House Digital, Inc. (2010)[Thurner 12] Thurner, S., Farmer, J., and Geanakoplos, J.: Leverage causes fat tails

221
and clustered volatility, Quantitative Finance, Vol. 12, No. 5, pp. 695–707 (2012)[౦ূ 09] ౦‫݊ূژ‬औҾॴɿarrowhead Քಇ࣌ʹ͓͚Δചങ੍౓ͷ‫ݟ‬௚͠, http://www.
tse.or.jp/rules/stock/arrowhead/trading.html (2009)[౦ূ 10] ౦ ‫ ݊ ূ ژ‬औ Ҿ ॴɿarrowhead(౦ ূ ‫ ࣜ ג‬ച ങ γ ε ς Ϝ) ͷ (1)IT Japan
Award2010 ‫ ۀ ࢈ ࡁ ܦ‬େ ਉ ৆ (ά ϥ ϯ ϓ Ϧ) ड ৆ ‫( ͼ ٴ‬2)arrowhead Ք ಈ ‫ ޙ‬6 ϲ ݄ͷӡసঢ়‫͍ͯͭʹگ‬, http://www.tse.or.jp/news/30/b7gje6000000rmw5-att/

b7gje6000000rrr5.pdf (2010)[౦ূ 11] ౦‫݊ূژ‬औҾॴɿ౦‫݊ূژ‬औҾॴ 2011 ೥ 9 ݄ 27 ೔‫ऀه‬ձ‫ݟ‬ཁࢫ (2011)[౦ূ 12] ౦‫݊ূژ‬औҾॴɿ౦ূެࣜ‫ࣜג‬αϙʔλʔ ‫ࣜג‬औҾฤ ୈ 5 ൛ (2012)[౦ূ 13] ౦‫݊ূژ‬औҾॴɿ‫ݺ‬஋ͷ୯Ґͷஈ֊తͳదਖ਼Խʹ൐͏‫ۀ‬຿‫ن‬ఔ౳ͷҰ෦վਖ਼ʹ͍ͭͯ, http://www.tse.or.jp/rules/regulations/b7gje6000000myd3-att/

b7gje6000003usxk.pdf (2013)[TSE 13] TokyoStockExchange, : Guide to TSE Trading Methodology, http://www.
tse.or.jp/about/books/b7gje60000004q31-att/trading_methodology.pdf(2012)[Ӊ໺ 12] Ӊ໺ ३ɿ‫ࣜג‬औҾͷࢢ৔ؒ‫ڝ‬૪ ʕ্৔‫ג‬औҾͷࢢ৔෼ࢄͱՁ֨‫ܗ‬੒ʕ, ূ݊ΞφϦετδϟʔφϧ, Vol. 50, No. 9, pp. 6–16 (2012)[Urrutia 13] Urrutia, J. P.: Progress in the MiFiD review: Stocktaking at the End of
the Irish Presidency of the European Council, http://www.itg.com/marketing/
ITG_Blotter_JP_Urrutia_MiFID_Review_20130607.pdf (2013)[Wang 13] Wang, C., Izumi, K., Mizuta, T., and Yoshimura, S.: Investigating the
Impact of Trading Frequencies of Market Makers: a Multi-agent Simulation Approach, SICE Jounal of Control,Measument,and System Integration, Vol. 6, No. 3(2013)[Westerhoﬀ 08] Westerhoﬀ, F.: The use of agent-based ﬁnancial market models totest the eﬀectiveness of regulatory policies, Jahrbucher Fur Nationalokonomie Und
Statistik, Vol. 228, No. 2, p. 195 (2008)[Yagi 10] Yagi, I., Mizuta, T., and Izumi, K.: A Study on the Eﬀectiveness of Shortselling Regulation using Artiﬁcial Markets, Evolutionary and Institutional Economics Review, Vol. 7, No. 1, pp. 113–132 (2010)[ീ໦ 11a] ീ໦ ‫܄‬, ਫా ޹৴, ࿨ઘ ܿɿਓ޻ࢢ৔Λར༻ۭͨ͠ചΓ‫੍͕ن‬༩͑Δ‫ࢢࣜג‬৔΁ͷӨ‫ڹ‬෼ੳ, ਓ޻஌ೳֶձ࿦จࢽ, Vol. 26, No. 1, pp. 208–216 (2011)[Yagi 11b] Yagi, I., Mizuta, T., and Izumi, K.: A Study on the Market Impact ofShort-Selling Regulation Using Artiﬁcial Markets, in Bai, Q. and Fukuta, N. eds.,
Advances in Practical Multi-Agent Systems, Vol. 325 of Studies in Computational

222ࢀߟจ‫ݙ‬

Intelligence, pp. 217–231, Springer Berlin Heidelberg (2011)[ീ໦ 12a] ീ໦ ‫܄‬, ਫా ޹৴, ࿨ઘ ܿɿਓ޻ࢢ৔Λ༻͍ͨࢢ৔๫མ‫͚͓ʹޙ‬Δ൓ൃϝΧχζϜͷ෼ੳ, ৘ใॲཧֶձ࿦จࢽ, Vol. 53, No. 11, pp. 2388–2398 (2012)[Yagi 12b] Yagi, I., Mizuta, T., and Izumi, K.: A study on the reversal mechanism
for large stock price declines using artiﬁcial markets, in Computational Intelligencefor Financial Engineering Economics (CIFEr), 2012 IEEE Conference on, pp. 1–7 (2012)[Yamada 09] Yamada, K., Takayasu, H., Ito, T., and Takayasu, M.: Solvable stochastic dealer models for ﬁnancial markets, Physical Review E, Vol. 79, No. 5, p. 051120(2009)[ࢁా 11] ࢁా ݈ଠ, ߴ҆ लथ, ߴ҆ ඒࠤࢠɿ‫ࡁܦ‬෺ཧֶతख๏Λ༻͍ͨΤʔδΣϯτϕʔεϞσϧʹΑΔۚ༥ࢢ৔ͷϞσϧԽͱԠ༻, ୈ 6 ճϑΝΠφϯεʹ͓͚Δਓ޻஌ೳԠ༻‫ڀݚ‬ձ (2011)[ࢁా 13] ࢁా ོࢤɿࣾձγϛϡϨʔγϣϯख๏ʹΑΔۚ༥ࢢ৔੍౓‫ڀݚ‬, ‫ܭ‬ଌͱ੍‫ޚ‬,Vol. 52, No. 7, pp. 635–640 (2013)[ࢁຊ 11] ࢁຊ ཽࢢ, ฏా ӳ໌ɿ೔ຊͷ‫ࢢࣜג‬৔ʹ͓͚Δઓུͷ੾Γସ͑ͷ࣮ূ෼ੳ, ୈ
5 ճߦಈ‫ֶࡁܦ‬ձϓϩγʔσΟϯάε, ߦಈ‫ֶࡁܦ‬ձ (2011)[Yamamoto 13] Yamamoto, R. and Hirata, H.: Strategy switching in the Japanesestock market, Journal of Economic Dynamics and Control, Vol. 37, No. 10, pp.
2010–2022 (2013)[Ye 12] Ye, M.: Price manipulation, price discovery and transaction costs in the
crossing network, Price Discovery and Transaction Costs in the Crossing Network(March 14, 2012) (2012)[‫ ׎‬13] ‫ ׎‬খस, ࿨ઘ ܿ, ٢ଜ ೜ɿՁ֨୯Ґͱߴස౓औҾ͕औҾઓུͷऩӹʹ‫͢΅ٴ‬Ө‫ڹ‬ͷ෼ੳ, ୈ 11 ճۚ༥৘ใֶ‫ڀݚ‬ձ, Vol. 11, (2013)[‫ ׎‬14] ‫ ׎‬খसɿՁ֨୯Ґͱߴස౓औҾ͕औҾઓུͷऩӹʹ‫͢΅ٴ‬Ө‫ڹ‬ͷ෼ੳ, ౦‫ژ‬େֶେֶӃ޻ֶ‫ڀݚܥ‬ՊγεςϜ૑੒ֶઐ߈म࢜࿦จ (2014)[Yeh 10] Yeh, C. and Yang, C.: Examining the eﬀectiveness of price limits in an
artiﬁcial stock market, Journal of Economic Dynamics and Control, Vol. 34, No. 10,
pp. 2089–2108 (2010)[౬ઙ 13] ౬ઙୢ‫ؙ‬, ௗւෆೋ෉, ฏࢁߴ࢚, ӿງ༏, ؒ੉݈ೋɿઓֶུश͕ GARCH ޮՌʹ‫͢΅ٴ‬Ө‫ڹ‬ͷγϛϡϨʔγϣϯͱ෼ੳ, ి‫ֶؾ‬ձ࿦จࢽ ࿦จࢽ C, Vol. 133, No. 9,

pp. 1717–1728 (2013)[Zhao 06] Zhao, X. and Chung, K. H.: Decimal Pricing and Information-Based Trading: Tick Size and Informational Eﬃciency of Asset Price, Journal of Business

223
Finance & Accounting, Vol. 33, No. 5-6, pp. 753–766 (2006)[Zhu 13] Zhu, H.: Do dark pools harm price discovery?, Review of Financial Studies,p. hht078 (2013)