| Project/Area Number |
24730255
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic policy
|
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| Research Institution | Kyoto Sangyo University (2013-2014)
Ritsumeikan University (2012) |
|---|
Principal Investigator |
AONO Kohei 京都産業大学, 経営学部, 准教授 (20513146)
|
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| Project Period (FY) |
2012-04-01 – 2015-03-31
|
| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000)
Fiscal Year 2014: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2013: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2012: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | 金融政策 / ファイナンス / 株式市場 / 家計調査 / 資産価格モデル / 時系列分析 / 債券市場 |
|---|
| Outline of Final Research Achievements |
To analyze the effects of monetary policy, we need to distinguish “expected” monetary policy with market participants from “unexpected”. In this study, we distinguish “expected” from “unexpected” monetary policy focusing on the difference in information between futures interest rate (that is, Tomorrow Next call rate) and regular interest rate (that is, Call Rate). We analyze the effects of Japanese monetary policy using these “expected” and “unexpected” monetary policy variables. In full sample data, “unexpected” monetary policy has a significant positive influence on market rates (that is, LIBOR rate). Moreover, not only “unexpected” monetary policy but “expected” has a certain significant positive influence on market rates in the quantitative easing policy sample data.
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