Contagion effects : evidence from the foreign exchange market risk
| Project/Area Number |
21530206
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Applied economics
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| Research Institution | University of Tsukuba |
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Principal Investigator |
NAGAYASU Jun 筑波大学, システム情報系, 准教授 (30375422)
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| Research Collaborator |
BYRNE Joseph グラスゴー大学, 経済研究科, 上級講師
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| Project Period (FY) |
2009 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
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| Budget Amount *help |
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2011: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2010: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2009: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
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| Keywords | 外国為替レート / リスク / 伝播効果 / ファクター・モデル / 為替相場 / ファクターモデル |
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| Research Abstract |
This project attempts to clarity the relative importance of common risks factors in foreign exchange markets. We provide evidence of the relative importance of common factors in all counties. Their importance is underlined particularly in small countries, unveiling the vulnerability of these countries in response to exogenous shocks. Furthermore, regardless of their geographical location, these common factors are found to be influenced largely by economic developments in the USA. And finally, during recent crisis periods non-stationary elements in the risks are reported to be more significant.
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Report
(4 results)
Research Products
(12 results)
