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Challenges to East Asain macroeconomic and financial staability in changing global economic environment

Research Project

Project/Area Number 18K01610
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Review Section Basic Section 07040:Economic policy-related
Research InstitutionKobe University

Principal Investigator

KINKYO Takuji  神戸大学, 経済学研究科, 教授 (50527637)

Project Period (FY) 2018-04-01 – 2022-03-31
Project Status Completed (Fiscal Year 2021)
Budget Amount *help
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2021: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2020: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2019: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2018: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Keywords通貨金融危機 / システミックリスク / スピルオーバー / 為替レート / アジア金融統合 / 預金保険 / アジア通貨市場 / アジア株式市場 / 確率ボラティリティモデル / ウェーブレット解析 / 人民元 / 為替レートの連動 / ボラティリティ・ショックの波及 / ビットコイン / 通貨危機予測 / 企業倒産予測 / 機械学習 / 金融ストレス・ショック波及 / 為替レート変動ショック波及 / 東アジア / マクロ経済 / 金融システム / 地域金融協力
Outline of Final Research Achievements

The major research results can be summarized as follows. First, the method of machine learning has been employed to develop effective forecast models for currency crises and corporate failures, which help to visualize the underlying vulnerabilities of East Asian economies. Second, the cross-border impacts of financial spillovers originating from the US financial system have been analyzed in depth using the bank-level financial statement data. Furthermore, the role of deposit insurance system in mitigating systemic risk has been investigated. Third, time series and wavelet analyses have been applied to analyze the progress of financial market integration in East Asia and identified the complex nature of interdependence in foreign exchange markets.

Academic Significance and Societal Importance of the Research Achievements

存在感を増すアジア経済の安定と持続的発展は、日本はもとより世界経済にとっても重要である。本研究は、国際経済環境の変化が、東アジアのマクロ経済や金融システムの安定性に及ぼす影響について包括的に検証することを目的として、経済危機予測モデルの構築と潜在的脆弱性の可視化、金融ショックの国際的波及と預金保険制度の効果の分析、アジア金融統合の実態の解明等の学術的貢献を行なっており、政策課題解決の糸口を見出すことで社会的貢献を行なっている。

Report

(5 results)
  • 2021 Annual Research Report   Final Research Report ( PDF )
  • 2020 Research-status Report
  • 2019 Research-status Report
  • 2018 Research-status Report
  • Research Products

    (17 results)

All 2022 2021 2020 2019 2018 Other

All Int'l Joint Research (1 results) Journal Article (14 results) (of which Int'l Joint Research: 6 results,  Peer Reviewed: 14 results,  Open Access: 2 results) Presentation (1 results) Remarks (1 results)

  • [Int'l Joint Research] Jinan University(中国)

    • Related Report
      2018 Research-status Report
  • [Journal Article] The intermediating role of the Chinese renminbi in Asian currency markets: Evidence from partial wavelet coherence2022

    • Author(s)
      Kinkyo Takuji
    • Journal Title

      The North American Journal of Economics and Finance

      Volume: 59 Pages: 101598-101598

    • DOI

      10.1016/j.najef.2021.101598

    • Related Report
      2021 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Not all bank systemic risks are alike: Deposit insurance and bank risk revisited2021

    • Author(s)
      Chen Wang、Zhang Zhiwen、Hamori Shigeyuki、Kinkyo Takuji
    • Journal Title

      International Review of Financial Analysis

      Volume: 77 Pages: 101855-101855

    • DOI

      10.1016/j.irfa.2021.101855

    • Related Report
      2021 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Region-wide connectedness of Asian equity and currency markets2021

    • Author(s)
      Kinkyo Takuji
    • Journal Title

      The North American Journal of Economics and Finance

      Volume: 58 Pages: 101515-101515

    • DOI

      10.1016/j.najef.2021.101515

    • Related Report
      2021 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Continuous wavelet analysis of Chinese renminbi: Co-movement and lead-lag relationship between onshore and offshore exchange rates2021

    • Author(s)
      Xu Lei.、Hamori Shigeyuki、Kinkyo Takuji
    • Journal Title

      The North American Journal of Economics and Finance

      Volume: 56 Pages: 101360-101360

    • DOI

      10.1016/j.najef.2021.101360

    • Related Report
      2020 Research-status Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Hedging capabilities of Bitcoin for Asian currencies2020

    • Author(s)
      Kinkyo Takuji
    • Journal Title

      International Journal of Finance & Economics

      Volume: Early View Issue: 2 Pages: 1-16

    • DOI

      10.1002/ijfe.2241

    • Related Report
      2020 Research-status Report
    • Peer Reviewed
  • [Journal Article] Volatility interdependence on foreign exchange markets: The contribution of cross-rates2020

    • Author(s)
      Kinkyo Takuji
    • Journal Title

      The North American Journal of Economics and Finance

      Volume: 54 Pages: 101289-101289

    • DOI

      10.1016/j.najef.2020.101289

    • Related Report
      2020 Research-status Report
    • Peer Reviewed
  • [Journal Article] Time-frequency dynamics of exchange rates in East Asia2020

    • Author(s)
      Kinkyo Takuji
    • Journal Title

      Research in International Business and Finance

      Volume: 52 Pages: 101174-101174

    • DOI

      10.1016/j.ribaf.2019.101174

    • Related Report
      2019 Research-status Report
    • Peer Reviewed
  • [Journal Article] A bi-annual forecasting model of currency crises2019

    • Author(s)
      Kinkyo Takuji
    • Journal Title

      Applied Economics Letters

      Volume: 27 Issue: 4 Pages: 255-261

    • DOI

      10.1080/13504851.2019.1613492

    • Related Report
      2019 Research-status Report
    • Peer Reviewed
  • [Journal Article] Dynamic effects of financial spillovers on bank lending: evidence from local projection-based impulse response analysis2019

    • Author(s)
      Chen Wang、Hamori Shigeyuki、Kinkyo Takuji
    • Journal Title

      Applied Economics Letters

      Volume: 27 Issue: 5 Pages: 400-405

    • DOI

      10.1080/13504851.2019.1619011

    • Related Report
      2019 Research-status Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] ANALYZING INDUSTRY‐LEVEL VULNERABILITY BY PREDICTING FINANCIAL BANKRUPTCY2019

    • Author(s)
      Tanaka Katsuyuki、Higashide Takuo、Kinkyo Takuji、Hamori Shigeyuki
    • Journal Title

      Economic Inquiry

      Volume: 57 Issue: 4 Pages: 2017-2034

    • DOI

      10.1111/ecin.12817

    • Related Report
      2019 Research-status Report
    • Peer Reviewed
  • [Journal Article] Growing influences of the Chinese renminbi on Asian exchange rates: Evidence from a wavelet analysis of dynamic spillovers2019

    • Author(s)
      Kinkyo Takuji
    • Journal Title

      The North American Journal of Economics and Finance

      Volume: - Pages: 101067-101067

    • DOI

      10.1016/j.najef.2019.101067

    • Related Report
      2019 Research-status Report
    • Peer Reviewed
  • [Journal Article] Complexity of financial stress spillovers: Asymmetry and interaction effects of institutional quality and foreign bank ownership2019

    • Author(s)
      Chen Wang、Hamori Shigeyuki、Kinkyo Takuji
    • Journal Title

      The North American Journal of Economics and Finance

      Volume: 48 Pages: 567-581

    • DOI

      10.1016/j.najef.2018.07.015

    • Related Report
      2018 Research-status Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform2018

    • Author(s)
      Xu Lei、Kinkyo Takuji、Hamori Shigeyuki
    • Journal Title

      Journal of Risk and Financial Management

      Volume: 11(4) Issue: 4 Pages: 86-86

    • DOI

      10.3390/jrfm11040086

    • NAID

      120006551684

    • Related Report
      2018 Research-status Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model2018

    • Author(s)
      Katsuyuki Tanaka, Takuji Kinkyo, Shigeyuki Hamori
    • Journal Title

      Sustainability

      Volume: 10(5) Pages: 1-18

    • NAID

      120006488453

    • Related Report
      2018 Research-status Report
    • Peer Reviewed / Open Access
  • [Presentation] Continuous wavelet analysis of Chinese renminbi: Co-movement and lead-lag relationship between onshore and offshore exchange rates2020

    • Author(s)
      徐 磊、羽森 茂之、金京 拓司
    • Organizer
      日本金融学会2020年度秋季大会
    • Related Report
      2020 Research-status Report
  • [Remarks] 金京拓司(researchmap.jp)

    • URL

      https://researchmap.jp/taku_kinkyo_2020/published_papers

    • Related Report
      2019 Research-status Report

URL: 

Published: 2018-04-23   Modified: 2023-01-30  

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