| Project/Area Number |
21K13288
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| Research Category |
Grant-in-Aid for Early-Career Scientists
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| Allocation Type | Multi-year Fund |
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| Review Section |
Basic Section 07040:Economic policy-related
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| Research Institution | Akita International University |
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Principal Investigator |
DU Wenti 国際教養大学, 国際教養学部, 助教 (80815233)
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| Project Period (FY) |
2021-04-01 – 2025-03-31
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| Project Status |
Granted (Fiscal Year 2023)
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| Budget Amount *help |
¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
Fiscal Year 2023: ¥520,000 (Direct Cost: ¥400,000、Indirect Cost: ¥120,000)
Fiscal Year 2022: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2021: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | news model / survey data / exchange rate / uncertainty |
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| Outline of Research at the Start |
理論上、為替レートは、現在のすべての利用可能なファンダメンタルズの将来予想値に依存する。したがって、「ニュース」は、予測不能な予期せぬ事態を明らかにすることによって、為替レートをそのファンダメンタルズから逸脱させ、投資家のファンダメンタルズに対する予測を変える要因となる。
本研究は、為替レートに対する様々なニュースの影響を調査することである。また、調査データテストを用いて合理的期待仮説の検証を行いたい。
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| Outline of Annual Research Achievements |
To improve the data, survey data on foreign exchange forecasts about USD/JPY and EUR/JPY collected by the Japan Center for International Finance was purchased for the following periods: January 2002 to May 2009 and January 2018 to March 2023. Then, the two foreign exchange forecast series (Consensus Economics and Japan Center for International Finance) were compared and tested for differences. Moreover, policy uncertainty data for Japan, the US, selected Eurozone countries, and the world was extended to March 2023. To test the survey data, the expectations formation hypothesis was employed, such as the adaptive expectation test, extrapolative expectation test, regressive expectation test, and rational expectation test.
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| Current Status of Research Progress |
Current Status of Research Progress
3: Progress in research has been slightly delayed.
Reason
I was selected by the Margaret Thatcher Japan Foundation as the sixth visiting fellow to conduct a new research project at the University of Buckingham from March to August 2023.
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| Strategy for Future Research Activity |
Improve the preliminary work based on comments and feedback received at conferences. Then, the revised work will be presented at domestic
and international conferences to receive further comments from scholars in this field of study. Afterwards, have the final version ready to be submitted to an international peer-reviewed journal for publication.
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