Analysis of the long-run and one-way causality between macroeconomic index
| Project/Area Number |
15530143
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Kagawa University |
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Principal Investigator |
YAO Feng Kagawa University, Faculty of Economics, Professor, 経済学部, 教授 (90284348)
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| Project Period (FY) |
2003 – 2005
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| Project Status |
Completed (Fiscal Year 2005)
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| Budget Amount *help |
¥2,700,000 (Direct Cost: ¥2,700,000)
Fiscal Year 2005: ¥700,000 (Direct Cost: ¥700,000)
Fiscal Year 2004: ¥900,000 (Direct Cost: ¥900,000)
Fiscal Year 2003: ¥1,100,000 (Direct Cost: ¥1,100,000)
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| Keywords | ECM / VAR model / Causal relationship / Cointegration / Econometrics / International trade / Finance and money / Japan-China economy / 計量分析プログラミング / マクロ経済 / 日中経済統計分析 / 計量分析プログラム / 日米中経済関係 |
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| Research Abstract |
In term of the project, we get the following results.
1.Succeeded in transferred the program code written by the author at supper computer SX4 to personal computer (PC). Based on PC, we developed some programs by witch the calculation of one-way causal measures can be easily conducted.
2.Based on cointegrated time series model, we showed the calculation algorithm of the one-way effect measures at time domain and at frequency domain. The proposed new method can contributed to reduce the cost of simulation.
3.The calculation algorithms of long-run and short-run (local) one-way effects are made clearly. In addition, we developed the necessary calculation program based on Pro Fortran. By the use of these programs, it is possible to investigate the complex causal relationships in details.
4.To apply the approach of one-way effect causal measures to the analysis of high frequency financial time series based on PC, the algorithm is made cleared
5.To make use of the timely data published at internet, especially Chinese financial and market data, the way of transforming the date base file to text format is made cleared. By this way, we renew our time series data base of America and Japan as well as China.
6.To conduct the project, we reported our research results at internal and international conferences and also have had made oversea researches.
7.In this three years period, we published 5 research papers and reported 4 times at conference. Some of the new results will be reported at the 2006 Far Eastern Meeting of the Econometric Society which will be held in Tsinghua University, Beijing, China, on July 9-12, 2006.
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Report
(4 results)
Research Products
(29 results)
