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International financial system, financial stability and monetary policy

Research Project

Project/Area Number 24330104
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypePartial Multi-year Fund
Section一般
Research Field Public finance/Monetary economics
Research InstitutionWakayama University

Principal Investigator

NABIL Maghrebi  和歌山大学, 経済学部, 教授 (20283947)

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)
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.
Project Period (FY) 2012-04-01 – 2015-03-31
Project Status Completed (Fiscal Year 2014)
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)
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
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).

Report

(5 results)
  • 2014 Annual Research Report   Final Research Report ( PDF )
  • 2013 Annual Research Report
  • 2012 Annual Research Report
  • Products Report
  • Research Products

    (10 results)

All 2015 2014 2013 2012 Other

All Journal Article (3 results) (of which Peer Reviewed: 3 results) Presentation (4 results) Book (1 results) Remarks (2 results)

  • [Journal Article] Reconsidering the role of Tobin’s Q: nonlinearities and the adjustment of investment expenditure2015

    • Author(s)
      Mark J. Holmes and Nabil Maghrebi
    • Journal Title

      Studies in Economics and Finance

      Volume: vol. 32

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Financial Instability and the Short-Term Dynamics of Volatility Expectations2014

    • Author(s)
      Nabil Maghrebi, Mark J. Holmes and Kosuke Oya
    • Journal Title

      Applied Financial Economics

      Volume: Vol. 24, No. 6 Issue: 6 Pages: 377-395

    • DOI

      10.1080/09603107.2014.881966

    • Related Report
      2013 Annual Research Report Products Report
    • Peer Reviewed
  • [Journal Article] Nonlinear Adjustments of Volatility Expectations to Forecast Errors: Evidence from Markov-Regime Switches in Implied Volatility2012

    • Author(s)
      Kazuhiko Nishina
    • Journal Title

      Review of Pacific Basin Financial Markets and Policies

      Volume: 15 Issue: 03 Pages: 1-23

    • DOI

      10.1142/s0219091512500075

    • Related Report
      2013 Annual Research Report 2012 Annual Research Report Products Report
    • Peer Reviewed
  • [Presentation] Volatility expectations and forward guidance about monetary policy at the zero-lower bound2014

    • Author(s)
      Nabil Maghrebi, Moo Sung Kim and Kazuhiko Nishina
    • Organizer
      Perspectives on the relation between monetary policy and market expectations, Wakayama University Economic Society Seminar Series
    • Place of Presentation
      Wakayama University, Japan
    • Year and Date
      2014-06-12
    • Related Report
      2014 Annual Research Report
  • [Presentation] Conceptual analysis of Islamic home-financing models2013

    • Author(s)
      Nabil Maghrebi
    • Organizer
      Islamic Econoomics Institute Seminars
    • Place of Presentation
      King AbdulAziz University, Jeddah, Kingdom of Saudi Arabia
    • Year and Date
      2013-02-23
    • Related Report
      2012 Annual Research Report
  • [Presentation] Conceptual analysis of Islamic home-financing models2013

    • Author(s)
      Nabil Maghrebi
    • Organizer
      INCEIF Industry Talk Seminar Series
    • Place of Presentation
      International Centre for Education in Islamic Finance, Kuala Lumpur, Malaysia
    • Year and Date
      2013-02-18
    • Related Report
      2012 Annual Research Report
  • [Presentation] Understanding the values and attitudes in Islamic finance and banking2012

    • Author(s)
      Koji Muto, Nabil Maghrebi and Abdullah Q. Turkistani
    • Organizer
      University of Cambridge Gulf Research Center GRM Meeting 2012
    • Place of Presentation
      University of Cambridge, Cambridge, United Kingdom
    • Related Report
      2012 Annual Research Report
  • [Book] Islamic Finance (chapter in volume 1), editors Mehmet Asutay and Abdullah Q. Turkistani2014

    • Author(s)
      Koji Muto, Nabil Maghrebi and Abdullah Q. Turkistani
    • Publisher
      Gerlach Press, Berlin, Germany
    • Related Report
      2014 Annual Research Report
  • [Remarks] 大阪大学・金融保険教育研究センター

    • URL

      http://www-csfi.sigmath.es.osaka-u.ac.jp/structure/activity/vxj.php

    • Related Report
      2014 Annual Research Report
  • [Remarks] 研究プロジェクトBとCの研究成果に関連するインプライド・ボラティリティ指数Bolatility Index Japan(VXJ index)の寺家列は、大阪大学・金融保険教育研究センター(CSFIのURL )において公開されている.VXJボラティリティ指数の斯うかいの目的は、教育または個人使用への情報提供といった社会的貢献にある.

    • URL

      http://www-cshi.sigmath.es.osaka-u.ac.jp/structure/activity/vxj.php

    • Related Report
      2012 Annual Research Report

URL: 

Published: 2012-04-24   Modified: 2021-04-07  

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