• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to previous page

Global shocks and financial market correlation structures

Research Project

Project/Area Number 20K01757
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Review Section Basic Section 07060:Money and finance-related
Research InstitutionMeisei University

Principal Investigator

Nakata Hayato  明星大学, 経済学部, 教授 (10366916)

Project Period (FY) 2020-04-01 – 2024-03-31
Project Status Completed (Fiscal Year 2023)
Budget Amount *help
¥3,120,000 (Direct Cost: ¥2,400,000、Indirect Cost: ¥720,000)
Fiscal Year 2022: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2021: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2020: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Keywordsグローバルショック / リスクオフ / 石油価格 / 安全通貨 / 金融政策 / ETF / 株価の連動性 / ETF購入 / GARCH / 株価 / VAR / エネルギー価格 / 資産価格 / Risk off
Outline of Research at the Start

エネルギー価格やアメリカの金融政策などの動きは世界中の資産市場やマクロ経済変数に影響を与えるため、グローバルショックとして経済政策当局や市場関係者に注目されている。他方で、金融市場のRisk off(リスクからの逃避)の際の各国間、または資産間の共変動の上昇は金融市場関係者や経済政策当局に注目されているだけではなく、そのメカニズムの解明がファイナンスや国際金融の研究者にとって課題となっている。
本研究の目的は両者の連関を明らかにすること、すなわちグローバルショックが各国間、または資産間の共変動に与える影響を明らかにすることである。

Outline of Final Research Achievements

(1) Before the Asian currency crisis, the impact of oil fluctuation shocks on the real stock price returns of ASEAN countries was asymmetric. Therefore, oil fluctuation shocks during the same period may have had a certain impact on the correlation between stock price returns in ASEAN countries. (2) The status of the US dollar, Japanese yen, and Swiss franc as safe currencies (currencies that appreciate in a risk-off environment) has fluctuated over time. In particular, the timing of changes in the status of safe-haven currencies often coincided with the timing of global shocks. (3) The Bank of Japan's ETF purchasing policy had pushed Japanese stock prices to higher levels than expected based on stock price fluctuations in other countries.

Academic Significance and Societal Importance of the Research Achievements

地政学的事象や金融危機といったグローバルショックが株式、外国為替など各国間の資産市場の相関関係に少なからず影響を与えていることが明らかになった。政策当局者、金融市場関係者は安定的な資産市場間の関係を前提にせずに意思決定をする必要性がある。また、新興市場国の株式市場のように相関構造が変動した場合、背後にあるメカニズムを慎重に検討することが重要である。

Report

(5 results)
  • 2023 Annual Research Report   Final Research Report ( PDF )
  • 2022 Research-status Report
  • 2021 Research-status Report
  • 2020 Research-status Report
  • Research Products

    (7 results)

All 2024 2023 2022 2021 2020

All Journal Article (4 results) (of which Peer Reviewed: 2 results,  Open Access: 3 results) Presentation (2 results) (of which Int'l Joint Research: 1 results) Book (1 results)

  • [Journal Article] Time-variant safe haven currencies2024

    • Author(s)
      Sato Ayano、Nakata Hayato、Percy Jay
    • Journal Title

      International Review of Economics and Finance

      Volume: 93 Pages: 316-328

    • DOI

      10.1016/j.iref.2024.04.015

    • Related Report
      2023 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Time-Variant Safe Haven Currencies2023

    • Author(s)
      Ayano Sato, Hayato Nakata Jay Percy
    • Journal Title

      SSRN

      Volume: -

    • DOI

      10.2139/ssrn.4355470

    • Related Report
      2022 Research-status Report
    • Open Access
  • [Journal Article] Time-varying safe haven status of major correncies2022

    • Author(s)
      Ayano Sato, Hayato Nakata Jay Percy
    • Journal Title

      Meisei University, Graduate School / School of Economics, Discussion Paper Series

      Volume: -

    • Related Report
      2022 Research-status Report
    • Open Access
  • [Journal Article] Did the Bank of Japan’s Purchases of Exchange-Traded Funds Affect Stock Prices? A Synthetic Control Approach2022

    • Author(s)
      Kohei Aono, Hiroshi Gunji, and Hayato Nakata
    • Journal Title

      Applied Economics Letters

      Volume: - Issue: 20 Pages: 1-5

    • DOI

      10.1080/13504851.2021.1963409

    • Related Report
      2021 Research-status Report
    • Peer Reviewed / Open Access
  • [Presentation] Oil price, exchange rate, and Japanese stock returns2021

    • Author(s)
      Hayato Nakata
    • Organizer
      IAEE 2021 Conference
    • Related Report
      2020 Research-status Report
    • Int'l Joint Research
  • [Presentation] Oil price, exchange rate, and Japanese stock returns2020

    • Author(s)
      中田勇人
    • Organizer
      日本経済学会2020年度春季大会
    • Related Report
      2020 Research-status Report
  • [Book] 東アジア諸国の開放経済 国際マクロ経済、貿易、投資および経済発展に関する実証研究2024

    • Author(s)
      法政大学比較経済研究所/ブー・トウン・カイ編
    • Total Pages
      174
    • Publisher
      日本評論社
    • ISBN
      9784535540828
    • Related Report
      2023 Annual Research Report

URL: 

Published: 2020-04-28   Modified: 2025-01-30  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi