International financial system, financial stability and monetary policy
| Project/Area Number |
24330104
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Partial Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Wakayama University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
NISHINA Kazuhiko 明治学院大学, 経済学研究科, 教授 (30094311)
ABE Shujiro 和歌山大学, 経済学部, 准教授 (90292193)
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| Research Collaborator |
HOLMES Mark J. Waikato University, New Zealand, Waikato Management School, Prof. Dr.
KIM MooSung Pusan National University, Korea, College of Business Administration, Prof. Dr.
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥14,820,000 (Direct Cost: ¥11,400,000、Indirect Cost: ¥3,420,000)
Fiscal Year 2014: ¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2013: ¥4,940,000 (Direct Cost: ¥3,800,000、Indirect Cost: ¥1,140,000)
Fiscal Year 2012: ¥5,200,000 (Direct Cost: ¥4,000,000、Indirect Cost: ¥1,200,000)
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| Keywords | 国際金融システム / 金融安定性 / 金融市場ボラティリティ指数 / 金融政策 / 経済変動 / financial stability / risk sharing / VXJ volatilty index / ボラティリティ指数 / vxj index / volatility expectations / forward guidance / 金融危機 / 国際金融市場 / Volatility Expectations / Implied Volatility Index / VXJ index / 金融市場 |
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| Outline of Final Research Achievements |
This research program provides new evidence on financial stability, market volatility and monetary policy. There is empirical evidence about the short-term dynamics of volatility expectations during periods of financial instability (Maghrebi-Holmes-Oya, AFE 2014) and impact of forward guidance on volatility expectations around monetary policy meetings (Maghrebi-Kim-Nishina, under journal review). The focus is also made on Islamic finance as part of the international financial system and the values and attitudes toward Islamic banking (Muto-Maghrebi-Turkistani, University of Cambridge GRM 2012, Gerlach Press 2014). Based on risk-sharing, new perspectives are provided on the relation between payment and ownership-transfer rates (Maghrebi, ISRA-IJIF 2013). This linkage between the financial sector and real economy is also examined using non-linearity tests of Tobin Q and regime-dependent adjustment toward long-run equilibrium based on investment expenditure (Holmes & Maghrebi, SEF 2015).
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Report
(5 results)
Research Products
(10 results)
