Forecasting Exchange Rates using Time-Varying Econometric Models
| Project/Area Number |
17K03809
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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 |
Money/ Finance
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| Research Institution | Keio University |
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Principal Investigator |
Ito Mikio 慶應義塾大学, 経済学部(三田), 教授 (70184695)
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| Co-Investigator(Kenkyū-buntansha) |
野田 顕彦 京都産業大学, 経済学部, 准教授 (80610112)
和田 龍磨 慶應義塾大学, 総合政策学部(藤沢), 教授 (20756580)
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| Project Period (FY) |
2017-04-01 – 2021-03-31
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| Project Status |
Completed (Fiscal Year 2020)
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| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2019: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2018: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2017: ¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
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| Keywords | 外国為替市場 / 為替レート予測 / 構造変化推定 / スパース回帰モデル / バンドスペクトラル回帰 / 市場調整速度 / スパース回帰 / 仮想資産 / 構造変化 / LASSO / 先物プレミアムパズル / ベクトル誤差修正モデル / 時変計量経済モデル / ブートストラップ法 / 金融論 / 経済統計学 |
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| Outline of Final Research Achievements |
This study examines the possibility of improving foreign exchange rate forecast when one adopts the framework of the time-varying error correction model proposed by Ito et al.(2016) to consider how structural changes affect foreign exchange markets. To attain the goal, we applied the model to three countries' foreign exchange rate data that reflects the comovement of foreign exchange markets. Then, we study how fast the markets return to the long-run state, which is a help of forecast if some deviation occurs. As a result, through the period under study, the speed of the market adjustment was increasing.
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| Academic Significance and Societal Importance of the Research Achievements |
外国為替市場は異なる通貨の取引を行う場であり国際的な資金の効率的な配分を本来はもたらす．現実にそうした配分が実現するわけではない．しかし各市場参加者が市場状況に鑑みて自らの利益を高めるような取引を行えば，良く機能する外国為替市場は効率的な資金配分をもたらす．本研究が目指す，外国為替市場の現況の把握，取引者の立場に立つ適切な予測を明らかにすることは国際経済の円滑な運行のために有用であると言える．
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Report
(5 results)
Research Products
(21 results)
