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Examination of East Asian Economic and Financial Cooperation by Using Nonlinear Time Series Models

Research Project

Project/Area Number 22530205
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionTohoku University

Principal Investigator

TSUKUDA Yoshihiko  東北大学, 大学院・経済学研究科, 教授 (10091836)

Co-Investigator(Kenkyū-buntansha) HIOKI Shiro  東北大学, 大学院・経済学研究科, 教授 (80312528)
CHIGIRA Hiroaki  東北大学, 大学院・経済学研究科, 准教授 (30447122)
Project Period (FY) 2010 – 2012
Project Status Completed (Fiscal Year 2012)
Budget Amount *help
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2012: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2011: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2010: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Keywords計量経済学 / 東アジア金融協力 / 非線形時系列モデル / 多変量 GARCH モデル / 東アジア債券市場 / 東アジア債権市場 / 共和分 / 非定常時系列 / 共変動 / パネルデータ分析 / 東アジア産業構造 / 東アジア経済協力 / 東アジア金融市場
Research Abstract

This study analyzes the East Asian bond markets by using the multivariate GARCH model by Engle (2002). Though the bond markets are greatly enhanced during the first decade of the 21st century, the present status in this region is diverse among the countries. The results indicate that the countries are classified into three groups: the yields of bonds are highly correlated with those of the advanced countries of USA and Japan in the first group (Hong Kong and Singapore), the yields are moderately correlated in the second group (Korea, Malaysia, and Thailand) and less correlated in the third group (Indonesia and Philippine). In other words, Hong Kong and Singapore are deeply integrated with the world markets, but other countries are not.

Report

(4 results)
  • 2012 Annual Research Report   Final Research Report ( PDF )
  • 2011 Annual Research Report
  • 2010 Annual Research Report
  • Research Products

    (41 results)

All 2013 2012 2011 2010 Other

All Journal Article (14 results) (of which Peer Reviewed: 10 results) Presentation (16 results) Book (11 results)

  • [Journal Article] Term Structure Forecating of Government Bond Yields with Latent and macroeconomic Factors2013

    • Author(s)
      Waliullah, Tsukuda,Y. Matsuda,Y.
    • Journal Title

      Journal of Forecating

      Volume: 32 Pages: 100-135

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] The Impact of the IMF-supported Structural Reform Program on Asian Stock MarketEfficiency2012

    • Author(s)
      Miyakoshi, T., Tsukuda, Y., and Shimada, J
    • Journal Title

      The Singapore Economic Review

      Volume: 4 Pages: 1-21

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] The Effect of Estimating Parameters onLong-Term Forecasts for CointegratedSystems2012

    • Author(s)
      Chigira, H. and Taku, Y
    • Journal Title

      Journal of Forecasting

      Volume: Vol. 31, No.4 Issue: 4 Pages: 344-360

    • DOI

      10.1002/for.1230

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] 長江デルタの産業集積2012

    • Author(s)
      日 置史郎
    • Journal Title

      し、日本貿易振興機構・アジア経済研 究所『アジ研ワールドトレンド』

      Volume: No.197 Pages: 12-15

    • Related Report
      2012 Final Research Report
  • [Journal Article] Impact of the IMF-supported Structural Reform Program on Asian Stock Market Efficiency2012

    • Author(s)
      Miyakoshi,T. Tsukuda,Y. Shimada,J.
    • Journal Title

      Sinagpore Economic Review

      Volume: 57 Pages: 1-21

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] The Effect of Estimating Parameters on Long-term Forecasts for Cointegrated Systems2012

    • Author(s)
      Chigira,H. Yamamoto,T.
    • Journal Title

      Journal of Forecating

      Volume: 31 Pages: 344-360

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 長江デルタの産業集積2012

    • Author(s)
      日置史郎
    • Journal Title

      アジ研ワールドトレンド

      Volume: 197 Pages: 12-15

    • Related Report
      2012 Annual Research Report 2010 Annual Research Report
  • [Journal Article] Impact of the IMF-supported Structural Reform Program on Asian Stock Market Efficiency2012

    • Author(s)
      Yoshihiko Tsukuda
    • Journal Title

      Singapore Economic Review

      Volume: (forthcoming)

    • Related Report
      2011 Annual Research Report 2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Migrant Labor Shortages in Mainland China2012

    • Author(s)
      Shiro HIOKI
    • Journal Title

      The Keizaigaku (Tohoku University)

      Volume: Vol.72, No.3/4 Pages: 81-85

    • Related Report
      2011 Annual Research Report 2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 長江デルタの産業集積2012

    • Author(s)
      日置史郎
    • Journal Title

      アジ研ワールドトレント

      Volume: No.197 Pages: 12-15

    • Related Report
      2011 Annual Research Report
  • [Journal Article] Econometric Analysis of Fiscal Policy Budget Constraints in Endogenous Growth Models2010

    • Author(s)
      Tsukuda,Y. and Miyakoshi, T
    • Journal Title

      Economics Bulletin

      Volume: Vol. 30, No.4 Pages: 2284-2294

    • NAID

      120005261182

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Econometric Notes on Public Expenditure Composition and Economic Growth: Application of Ridge Regression2010

    • Author(s)
      Tsukuda,Y. and Miyakoshi, T
    • Journal Title

      The Empirical Economics Letters

      Volume: Vol. 30, No. 4 Pages: 1-9

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Economic growth and Public Expenditure Composition: Optimal Adjustment Using the Gradient Method2010

    • Author(s)
      Miyakoshi, T., Tsukuda, Y., Kono, T., and Koyanagi, M
    • Journal Title

      The Japanese EconomicReview

      Volume: Vol.61, No.3 Pages: 320-340

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] 無形資産投資効果の持続性:日本企業における持続性2010

    • Author(s)
      緒方勇、佃良彦
    • Journal Title

      『研究年報』山形大学

      Volume: Vol.7 Pages: 101-120

    • Related Report
      2012 Final Research Report
  • [Presentation] Term Structure Forecating of Government Bond Yields with Latent and Macroeconomic Factors2013

    • Author(s)
      Tsukuda,Y
    • Organizer
      International Conference on Credit Risks
    • Place of Presentation
      明治大学
    • Year and Date
      2013-03-15
    • Related Report
      2012 Final Research Report
  • [Presentation] Lee-Carter予測に関する時系列分析の理論的な長所と短所の解明と代替的予測法の提案2012

    • Author(s)
      千木良弘朗,山本拓
    • Organizer
      研究集会「経済統計・政府統計の数理的基礎と応用2012」
    • Place of Presentation
      青森公立大学
    • Year and Date
      2012-09-28
    • Related Report
      2012 Final Research Report
  • [Presentation] China's Economic Growth: An ECM Approach2012

    • Author(s)
      Tsukuda,Y
    • Organizer
      The Second Tohoku-SEU Joint Symposium
    • Place of Presentation
      東北大学
    • Year and Date
      2012-04-14
    • Related Report
      2012 Final Research Report
  • [Presentation] Size of Market Inefficiency : Trading System and Price Bubble2011

    • Author(s)
      Yoshihiko Tsukuda
    • Organizer
      International Economic Association 16th World Congress
    • Place of Presentation
      Tsinghua University, Beijing
    • Year and Date
      2011-07-06
    • Related Report
      2011 Annual Research Report 2010 Annual Research Report
  • [Presentation] Size of Market Inefficiency: Trading System and Price Bubble2011

    • Author(s)
      Miyakoshi, T., Tsukuda, Y., and Shimada, J
    • Organizer
      the International Economic Association 16th World Congress
    • Place of Presentation
      Tsinghua University, Beijing, China
    • Year and Date
      2011-07-04
    • Related Report
      2012 Final Research Report
  • [Presentation] 中国の産業集積の集積要因:浙江省の繊維・アパレル産地の事例から2011

    • Author(s)
      日置史郎・黄磊
    • Organizer
      中国経済学会第10回全国大会
    • Place of Presentation
      日本大学
    • Year and Date
      2011-06-19
    • Related Report
      2012 Final Research Report
  • [Presentation] 中国の産地企業からみた産業集積の利便性:浙江省北部繊維・服装産地の調査に基づいて2011

    • Author(s)
      日置史郎・黄磊
    • Organizer
      比較経済体制学会第51回全国大会の自由論題
    • Place of Presentation
      神戸大学
    • Year and Date
      2011-06-04
    • Related Report
      2012 Final Research Report
  • [Presentation] 中国長江デルタの産業集積に関する一考察:集積度、利便性、生産性2011

    • Author(s)
      日置史郎
    • Organizer
      六甲台フォーラム
    • Place of Presentation
      神戸大学
    • Year and Date
      2011-04-21
    • Related Report
      2012 Final Research Report
  • [Presentation] 中国の産業集積をめぐって:集積度、利便性、生産性2011

    • Author(s)
      日置史郎
    • Organizer
      日中経済事情をめぐる実証研究講演会
    • Place of Presentation
      中国人民大学商学院、中国北京市
    • Year and Date
      2011-03-10
    • Related Report
      2012 Final Research Report
  • [Presentation] Two Financial Tsunamis hitting in Japan2010

    • Author(s)
      Yoshihiko, T., Shimada, J., Takahashi, T., Miyakoshi, T
    • Organizer
      The 18th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management
    • Place of Presentation
      Graduate University of Chinese Academy of Sciences, Beijing, China
    • Year and Date
      2010-07-06
    • Related Report
      2012 Final Research Report
  • [Presentation] Asian Bond Market Development2010

    • Author(s)
      Tsukuda, Y
    • Organizer
      The 13th Science Council of Asia International Symposium
    • Place of Presentation
      Bangkok, Thailand
    • Related Report
      2012 Final Research Report
  • [Presentation] Asian Bond Market Developmentt

    • Author(s)
      Tsukuda, Y.
    • Organizer
      The 13th Science Council of Asia International Symposium
    • Place of Presentation
      Bangkock, Thailand
    • Related Report
      2012 Annual Research Report
  • [Presentation] Term Structure Forecating of Government Bond Yields with Latent and macroeconomic Factors

    • Author(s)
      Tsukuda,Y.
    • Organizer
      International Conference on Credit Risk
    • Place of Presentation
      明治大学
    • Related Report
      2012 Annual Research Report
  • [Presentation] 中国の産業集積の集積要因:浙江省の繊維・アパレル産地の事例から

    • Author(s)
      日置史郎・黄磊
    • Organizer
      中国経済学会第10回全国大会
    • Place of Presentation
      日本大学
    • Related Report
      2012 Annual Research Report
  • [Presentation] LEE-Carte予測に関する時系列分析の理論的な長所と短所の解明

    • Author(s)
      千木良弘朗・山本拓
    • Organizer
      研究集会「経済統計・政府統計の数理的基礎と応用2012」
    • Place of Presentation
      青森公立大学
    • Related Report
      2012 Annual Research Report
  • [Presentation] China's Economic Growth: An ECM Approach

    • Author(s)
      Tsukuda,Y.
    • Organizer
      The Second Tohoku-SEU Joint Symposium
    • Place of Presentation
      東北大学
    • Related Report
      2012 Annual Research Report
  • [Book] 長江デルタの産業集積-集積度と集積要因の分析を中心に-」加藤弘之編著『中国長江デルタの都市化と産業集積2012

    • Author(s)
      日置史郎
    • Publisher
      (神戸大学研究叢書)勁草書房
    • Related Report
      2012 Final Research Report
  • [Book] 中国長江デルタ産業集積地図2012

    • Author(s)
      加藤弘之・日置史郎編著
    • Publisher
      早稲田大学現代中国研究所(WICCSシリーズno.7)
    • Related Report
      2012 Final Research Report
  • [Book] An EmpiricalAnalysis of Japanese Interest Rate Swap Spread2012

    • Author(s)
      Shimada, J., Takahashi, T., Miyakoshi, T., and Tsukuda, Y
    • Publisher
      in "Recent Advances in Financial Engineering 2011" (ed by Nakaoka et al.), World Scientific
    • Related Report
      2012 Final Research Report
  • [Book] "An Empirical Analysis of Japanese Interest Rate Swap Spread,"2011 Recent Advances in Financial Engineering2012

    • Author(s)
      Shimada,J. Takahashi,T. Miyakoshi,T. Tsukuda,Y.
    • Publisher
      World Scientific
    • Related Report
      2012 Annual Research Report
  • [Book] 中国長江デルタ産業集積地図2012

    • Author(s)
      日置史郎編著
    • Total Pages
      301
    • Publisher
      ミネルヴァ書房
    • Related Report
      2012 Annual Research Report
  • [Book] 長江デルタの産業集積:集積度と集積要因を中心に2012

    • Author(s)
      日置史郎
    • Publisher
      頸草書房
    • Related Report
      2012 Annual Research Report
  • [Book] Recent Advances in Financial Engineering 2011 (ed by Nakaoka et al.)2012

    • Author(s)
      Yoshihiko Tsukuda
    • Publisher
      Springer-Verlark(forthcoming)
    • Related Report
      2011 Annual Research Report
  • [Book] 地域開発政策の展開と産業・人口の集積(加藤弘之・上原一慶編著『現代中国経済論』2011

    • Author(s)
      日置史郎
    • Publisher
      ミネルヴァ書房
    • Related Report
      2012 Final Research Report
  • [Book] 動学的パネルデータ分析2011

    • Author(s)
      千木良弘朗,早川和彦,山本拓
    • Total Pages
      325
    • Publisher
      知泉書館
    • Related Report
      2012 Final Research Report
  • [Book] 「サブプライムローン問題の日本への影響」、『金融危機とマクロ経済』(岩井克人・他編集、第2章)2011

    • Author(s)
      宮越龍義、高橋豊靖、島田淳二、佃良彦
    • Publisher
      東京大学出版会
    • Related Report
      2012 Final Research Report
  • [Book] 動学的パネルデータ分析2011

    • Author(s)
      千木良弘明
    • Total Pages
      350
    • Publisher
      知泉書院
    • Related Report
      2010 Annual Research Report

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Published: 2010-08-23   Modified: 2019-07-29  

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