| Budget Amount *help |
¥18,200,000 (Direct Cost: ¥14,000,000、Indirect Cost: ¥4,200,000)
Fiscal Year 2020: ¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
Fiscal Year 2019: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2018: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2017: ¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000)
Fiscal Year 2016: ¥5,200,000 (Direct Cost: ¥4,000,000、Indirect Cost: ¥1,200,000)
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| Outline of Final Research Achievements |
We conducted research on statistical methods for detecting potential risk events in financial markets, and research on how shocks caused by such risk events affect other economic variables. Regarding the research on the statistical detection of potential risk events, it was shown that the sequential test method developed for macroeconomic variables observed at monthly and daily frequencies can be applied to high-frequency data. Regarding the research on risk propagation, we proposed the development of a statistical method for frequency wise decomposition of causality and impulse responses, which are statistical inference methods for multivariate time series models, and a robust model construction method.
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