| Budget Amount *help |
¥17,420,000 (Direct Cost: ¥13,400,000、Indirect Cost: ¥4,020,000)
Fiscal Year 2015: ¥5,460,000 (Direct Cost: ¥4,200,000、Indirect Cost: ¥1,260,000)
Fiscal Year 2014: ¥5,460,000 (Direct Cost: ¥4,200,000、Indirect Cost: ¥1,260,000)
Fiscal Year 2013: ¥6,500,000 (Direct Cost: ¥5,000,000、Indirect Cost: ¥1,500,000)
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| Outline of Final Research Achievements |
Before and after the Lehman crisis, there have been notable developments in financial markets. Among them are the introduction of commodity futures indexes and the arrival of the zero-interest rate monetary policy. We empirically analyzed the connection between those developments and the structure of returns for major asset markets and the behavior of macro variables. We do so by utilizing time-series techniques that allow for structural changes in the short and long runs and also a portfolio-choice theory with uncertain parameters. The returns we analyzed are for commodity futures, government bonds, Japanese stocks and stock mutual funds.
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