| Project/Area Number |
22500270
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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 |
Statistical science
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| Research Institution | Meiji University (2012)
The Institute of Statistical Mathematics (2010-2011) |
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Principal Investigator |
TANOKURA Yoko 明治大学, 大学院・先端数理科学研究科, 特任准教授 (60425832)
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| Co-Investigator(Kenkyū-buntansha) |
SATO Seisho 統計数理研究所, モデリング研究系, 准教授 (60280525)
KITAGAWA Genshiro 情報・システム研究機構, 新領域融合研究センター, センター長 (20000218)
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| Co-Investigator(Renkei-kenkyūsha) |
TSUDA Hiroshi 同志社大学, 理工学部, 教授 (90450163)
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| Project Period (FY) |
2010 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2011: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2010: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
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| Keywords | 信用リスク / 金融危機 / 時系列モデル / 時変分散 / 経済リスク / 時系列モデリング / インフレ率 / パワー寄与率 / Box-Cox変換 |
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| Research Abstract |
We developed a method of construction of a price distribution dependent index in order to measure regional sovereign risks. By analyzing five regional sovereign risk indices constructed by our method, the contagion effects of the financial crises were detected. Taking the results into account, we investigated the relationship between financial crises and economic indicators such as inflation rate and GDP. High inflations can often be seen for the emerging countries after their defaults. Moreover, we found the significant structural changes of the world economy since the occurrence of the US subprime crisis.
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