The Effects of Time Difference on International Transactions

• Project/Area Number: 17K18557
• Research Category: Grant-in-Aid for Challenging Research (Exploratory)
• Allocation Type: Multi-year Fund
• Research Field: Economics, Business Administration, and related fields
• Research Institution: The University of Tokyo
• Principal Investigator: Fukuda Shin-ichi 東京大学, 大学院経済学研究科(経済学部), 教授 (00221531)
• Project Period (FY): 2017-06-30 – 2023-03-31
• Project Status: Completed (Fiscal Year 2022)
• Budget Amount: ¥5,850,000 (Direct Cost: ¥4,500,000、Indirect Cost: ¥1,350,000); Fiscal Year 2019: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000); Fiscal Year 2018: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000); Fiscal Year 2017: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
• Keywords: 時差 / 高頻度データ / 貨幣サーチモデル / 非伝統的金融政策 / 資産価格 / 貨幣のサーチ理論 / 金融政策 / 貨幣理論 / 高頻度の金融データ / 金融取引 / 国際金融市場 / 波及効果 / グローバル化

Outline of Final Research Achievements

This study had two purposes. One was to develop a new theoretical framework for how trading takes place at different time zones of the day and what economic effects (and sometimes market disruptions) this has. The other was to conduct an empirical analysis of how actual asset prices are formed at different time zones of the day and to derive its policy implications. The analysis first reconstructed a theoretical framework that applied the search theory of money to the field of international finance. Based on the results of the theoretical analysis, it then conducted an empirical analysis of the impact of unconventional monetary policy on intra-daily asset prices using Japanese high-frequency financial data.

Academic Significance and Societal Importance of the Research Achievements

先行研究では、地域間で時差が存在していることを考慮した上で、国際金融市場において資産価格がどのように形成されているかを分析した研究はほとんど行われていない。本研究は、そうしたこれまで顧みられなかった問題意識に基づいて、地域間で時差が存在することが国際金融市場の取引のあり方にいかなる影響を与えるのかを、斬新な視点から理論的・実証的に明らかにし、その政策的なインプリケーションを導いた。特にコロナ危機時を分析の対象期間とすることで、危機時の政策的な含意を考察した。

Research Products

• [Journal Article] Self-fulfilling Lockdowns in a Simple SIR-Macro Model (2022)
  • Author(s): Shin-ichi Fukuda
  • Journal Title: 東京大学日本経済国際共同研究センター Discussion Paper Volume: CIRJE-F-1183 Pages: 1-24
• [Journal Article] Economic Geography and a Theory of International Currency: Implications of a Random Matching Model (2022)
  • Author(s): Shin-ichi Fukuda and Mariko Tanaka
  • Journal Title: 東京大学日本経済国際共同研究センター Discussion Paper Volume: CIRJE-F-1184 Pages: 1-32
• [Journal Article] The Effects of Large-scale Equity Purchases during the Coronavirus Pandemic (2022)
  • Author(s): Shin-ichi Fukuda and Mariko Tanaka
  • Journal Title: 東京大学日本経済国際共同研究センター Discussion Paper Volume: CIRJE-F-1186 Pages: 1-29
• [Journal Article] The aging society, savings rates, and regional flow of funds in Japan (2021)
  • Author(s): Fukuda Shin-ichi、Okumura Koki
  • Journal Title: Journal of the Japanese and International Economies Volume: 62 Pages: 101165-101165
  • DOI: 10.1016/j.jjie.2021.101165
  • NAID: 210000172723
  • Peer Reviewed
• [Journal Article] Evaluation of Japan’s Macro-Fiscal Policy and its Challenges (2021)
  • Author(s): FUKUDA Shin-ichi, SOMA Naoto
  • Journal Title: Public Policy Review Volume: 17 Pages: 1-27
  • Open Access
• [Journal Article] マクロ財政政策の評価と課題 (2021)
  • Author(s): 福田慎一、相馬尚人
  • Journal Title: フィナンシャル・レビュー Volume: 通巻第 144 号 Pages: 156-180
• [Journal Article] Financial Spillovers in Asian Emerging Economies (2020)
  • Author(s): Fukuda Shin-ichi, Tanaka Mariko
  • Journal Title: Asian Development Review Volume: 37 Issue: 1 Pages: 93-118
  • DOI: 10.1162/adev_a_00142
  • Peer Reviewed / Open Access / Int'l Joint Research
• [Journal Article] Regional convergence under declining population: The case of Japan (2020)
  • Author(s): Fukuda Shin-ichi、Okumura Koki
  • Journal Title: Japan and the World Economy Volume: 55 Pages: 101023-101023
  • DOI: 10.1016/j.japwor.2020.101023
  • Peer Reviewed / Open Access
• [Journal Article] 人口減少社会・高齢化と地域間の資金フロー (2020)
  • Author(s): 福田慎一
  • Journal Title: 証券アナリストジャーナル Volume: 第58巻第4号 Pages: 16-27
• [Journal Article] Inflation target and anchor of inflation forecasts in Japan (2019)
  • Author(s): Fukuda Shin-ichi、Soma Naoto
  • Journal Title: Journal of the Japanese and International Economies Volume: - Pages: 154-170
  • DOI: 10.1016/j.jjie.2019.01.002
  • Peer Reviewed
• [Journal Article] Spillover Effects of Asian Financial Markets on the Global Markets (2019)
  • Author(s): Fukuda Shin-ichi、Tanaka Mariko
  • Journal Title: Public Policy Review Volume: 15 Pages: 151-174
  • Open Access
• [Journal Article] The Effects of Japan’s Unconventional Monetary Policy on Asian Stock Markets (2019)
  • Author(s): Fukuda Shin-ichi
  • Journal Title: Public Policy Review Volume: 15 Pages: 1-19
  • Open Access
• [Journal Article] 異次元の金融政策と新興国経済 (2019)
  • Author(s): 福田慎一
  • Journal Title: フィナンシャル・レビュー Volume: 137 Pages: 4-22
  • Open Access
• [Journal Article] アジア新興国が国際金融市場に与えるインパクトについて (2019)
  • Author(s): 田中茉莉子・福田慎一
  • Journal Title: フィナンシャル・レビュー Volume: 137 Pages: 137-155
  • Open Access
• [Journal Article] Financial Spillovers in Asian Emerging Economies (2019)
  • Author(s): Fukuda Shin-ichi, Tanaka Mariko
  • Journal Title: Asian Development Review Volume: 印刷中
  • Peer Reviewed / Open Access
• [Journal Article] Impacts of Japan’s negative interest rate policy on Asian financial markets (2018)
  • Author(s): Fukuda Shin-ichi
  • Journal Title: Pacific Economic Review Volume: 23 Issue: 1 Pages: 67-79
  • DOI: 10.1111/1468-0106.12253
  • Peer Reviewed
• [Journal Article] he Role of Corporate Governance in Japanese Unlisted Companies (2018)
  • Author(s): Shin-ichi Fukuda, Munehisa Kasuya, Jouchi Nakajima
  • Journal Title: Japan and the World Economy Volume: 印刷中 Pages: 27-39
  • DOI: 10.1016/j.japwor.2018.03.006
  • Peer Reviewed
• [Journal Article] Entrepreneurship and capital investment: another explanation for the slump in capital investment under deflation (2018)
  • Author(s): Fukuda Shin-ichi、 Kasuya Munehisa, Keida Masayuki
  • Journal Title: Public Policy Review Volume: 14 Pages: 489-510
  • Open Access
• [Journal Article] Companies’ Financial Surpluses and Cash/Deposit Holdings (2018)
  • Author(s): Fukuda Shin-ichi
  • Journal Title: Public Policy Review Volume: 14 Pages: 369-395
  • Open Access
• [Journal Article] Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from the Australian Dollar and the NZ Dollar (2017)
  • Author(s): Shin-ichi Fukuda and Mariko Tanaka
  • Journal Title: Journal of International Money and Finance Volume: 近刊 Pages: 301-317
  • DOI: 10.1016/j.jimonfin.2017.02.022
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] The Impacts of Emerging Asia on Global Financial Markets (2017)
  • Author(s): Fukuda Shin-ichi、Tanaka Mariko
  • Journal Title: Emerging Markets Finance and Trade Volume: 53 Issue: 12 Pages: 2725-2743
  • DOI: 10.1080/1540496x.2017.1342244
  • Peer Reviewed
• [Presentation] The Effects of Large-scale Equity Purchases during the Coronavirus Pandemic (2022)
  • Author(s): Shin-ichi Fukuda
  • Organizer: IFABS 2022 Naples Conference
  • Int'l Joint Research
• [Presentation] Impacts of International Capital Flows in the Crisis: The Role of the US Monetary Policy (2022)
  • Author(s): Shin-ichi Fukuda
  • Organizer: Korea and the World Economy
  • Int'l Joint Research / Invited
• [Presentation] パンデミック下の為替レートの動向 (2022)
  • Author(s): 福田慎一
  • Organizer: 日本金融学会
  • Invited
• [Presentation] The Effects of Large-scale Equity Purchases during the Coronavirus Pandemic (2021)
  • Author(s): Shin-ichi Fukuda, Mariko Tanaka
  • Organizer: 韓国金融学会学術大会（日韓学術交流協定に基づく日本金融学会からの派遣）
  • Int'l Joint Research
• [Presentation] Economic Geography and a Theory of International Currency: Implications from a Random Matching Model (2020)
  • Author(s): Shin-ichi Fukuda, Mariko Tanaka
  • Organizer: International Atlantic Economic Society
  • Int'l Joint Research
• [Presentation] Financial Spillovers in Asian Emerging Economies (2019)
  • Author(s): Shin-ichi Fukuda, Mariko Tanaka
  • Organizer: 韓国金融学会学術大会
  • Int'l Joint Research
• [Presentation] Economic Geography and a Theory of International Currency: Implications from a Random Matching Model (2019)
  • Author(s): Shin-ichi Fukuda, Mariko Tanaka
  • Organizer: the 15th Annual Conference of the Asia-Pacific Economic Association
  • Int'l Joint Research
• [Presentation] Regional Convergence under Declining Population: The Case of Japan (2019)
  • Author(s): Fukuda Shin-ichi, Kouki Okumura
  • Organizer: International Atlantic Economic Association
  • Int'l Joint Research
• [Presentation] Financial Spillovers in Asian Emerging Economies (2018)
  • Author(s): Fukuda Shin-ichi, Tanaka Mariko
  • Organizer: Asia Pacific Economic Association
  • Int'l Joint Research
• [Presentation] Inflation Target and Anchor of Inflation Forecasts in Japan (2018)
  • Author(s): 福田慎一
  • Organizer: International Atlantic Economic Society
  • Int'l Joint Research
• [Presentation] The Impacts of Asian Financial Markets on Global Economies (2017)
  • Author(s): 福田慎一
  • Organizer: アジア環太平洋経済学会
  • Int'l Joint Research
• [Book] コロナ時代の日本経済 (2022)
  • Author(s): 福田 慎一
  • Total Pages: 280
  • Publisher: 東京大学出版会
  • ISBN: 4130403079
• [Book] コロナ時代の日本経済－パンデミックが突きつけた構造的課題－ (2022)
  • Author(s): 福田慎一
  • Total Pages: 257
  • Publisher: 東京大学出版会
• [Book] 技術進歩と日本経済 (2020)
  • Author(s): 福田 慎一
  • Total Pages: 296
  • Publisher: 東京大学出版会
  • ISBN: 9784130402941
• [Book] 検証 アベノミクス「新三本の矢」 (2018)
  • Author(s): 福田 慎一
  • Total Pages: 246
  • Publisher: 東京大学出版会
  • ISBN: 9784130402842
• [Book] 21世紀の長期停滞論 (2018)
  • Author(s): 福田 慎一
  • Total Pages: 224
  • Publisher: 平凡社
  • ISBN: 4582858635
• [Book] 金融システムの制度設計 (2017)
  • Author(s): 福田 慎一
  • Total Pages: 266
  • Publisher: 有斐閣
  • ISBN: 4641165092
• [Remarks] Discussion paper CIRJE-F-1183
  • URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2022/2022cf1183ab.html
• [Remarks] Discussion paper CIRJE-F-1184
  • URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2022/2022cf1184ab.html
• [Remarks] Discussion paper CIRJE-F-1186
  • URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2022/2022cf1186ab.html