| Project/Area Number |
17K01270
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | International Christian University |
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Principal Investigator |
Kaizoji Taisei 国際基督教大学, 教養学部, 教授 (10265960)
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| Project Period (FY) |
2017-04-01 – 2022-03-31
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| Project Status |
Completed (Fiscal Year 2021)
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| Budget Amount *help |
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2019: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2018: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2017: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | バブル / バブル崩壊 / 株式市場のマクロテイル・リスク / 企業のファンダメンタルズ / リーマンショック / マクロテイルリスク / 粒状仮説 / 市場の効率性 / マクロ経済のテイル・リスク |
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| Outline of Final Research Achievements |
This study used OSIRIS, a corporate financial database of approximately 60,000 listed companies worldwide provided by Bureau van Dijk, to numerically estimate corporate fundamentals from corporate financial data, and showed that stock prices deviated significantly from fundamentals before and after the 2008 global financial crisis. We also showed that most of the global stock market volatility caused by the bursting of the bubble was driven by shocks to the top 100 largest firms. The empirical results obtained in this study indicates that extreme disparities in firm size may have worsened corporate fundamentals through stock market crashes and plunged the macroeconomy into a recession.
The econometric model constructed in this study has a unique theoretical perspective in that it views speculative bubbles and the collapse of bubbles as deviations from corporate fundamentals and may bring new insights into the fields of finance and macroeconomics.
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| Academic Significance and Societal Importance of the Research Achievements |
本研究で構築した計量モデルは、投機的バブルとバブルの崩壊を企業のファンダメンタルズからの乖離として捉える点で、ユニークな理論的視点を持っており、ファイナンス、マクロ経済学の分野に新たな知見をもたらす可能性がある。さらに、本研究で構築した計量モデルを利用することでリーマンショックのような金融市場の大変動がマクロ経済の変動を引き起こす予兆の発見が可能になると考えられ、実用面での有用性が期待できる。
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