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Statistical modeling on mechanism elucidation of financial crises and fluctuation structures of the world economy

Research Project

Project/Area Number 25330044
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Statistical science
Research InstitutionMeiji University

Principal Investigator

Tanokura Yoko  明治大学, 先端数理科学研究科, 特任准教授 (60425832)

Co-Investigator(Kenkyū-buntansha) 佐藤 整尚  東京大学, 大学院経済学研究科(経済学部), 准教授 (60280525)
Co-Investigator(Renkei-kenkyūsha) KITAGAWA Genshiro  情報・システム研究機構, 機構長 (20000218)
TSUDA Hiroshi  同志社大学, 理工学部, 教授 (90450163)
Project Period (FY) 2013-04-01 – 2017-03-31
Project Status Completed (Fiscal Year 2016)
Budget Amount *help
¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000)
Fiscal Year 2016: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2015: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2013: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Keywords金融危機 / 時系列解析 / 信用リスク / 分布フリーインデックス / 時変分散 / パワー寄与率 / 経済リスク / 金融リスク / 統計的モデリング / リスクの計量化 / 構造変化 / 情報が不十分な現象
Outline of Final Research Achievements

We developed a practical method for constructing a distribution-free index of prices of a financial asset with skewed and heavy-tailed distributions. By applying the method to the CDSs which are regarded as a measure of credit risk, the spillover effects of financial crises are examined. Moreover, by applying the method to the real GDP growths of countries, we detected the trends of regional economies and the global trend of the world economy. Analyzing both regional sovereign CDS distribution-free indices and regional GDP growth distribution-free indices, regional sovereign risks led reginal economies during the global economic crisis. We confirmed the effectiveness of the distribution-free index by applying various financial markets and economic indicators.

Report

(5 results)
  • 2016 Annual Research Report   Final Research Report ( PDF )
  • 2015 Research-status Report
  • 2014 Research-status Report
  • 2013 Research-status Report
  • Research Products

    (21 results)

All 2017 2016 2015 2014 2013 Other

All Journal Article (7 results) (of which Int'l Joint Research: 1 results,  Peer Reviewed: 3 results,  Open Access: 1 results,  Acknowledgement Compliant: 1 results) Presentation (8 results) (of which Invited: 1 results) Book (3 results) Remarks (3 results)

  • [Journal Article] 粒子フィルタを用いた最適ポートフォリオの構築2017

    • Author(s)
      中野 雅史、佐藤 整尚、高橋 明彦、高橋聡一郎
    • Journal Title

      経済学論集

      Volume: 81-2

    • NAID

      130008144628

    • Related Report
      2016 Annual Research Report
  • [Journal Article] Measuring Credit Risk of Individual Corporate Bonds in US Energy Sector2016

    • Author(s)
      Kariya, T., Tanokura,Y., Takada H. and Yamamura,Y.
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: 23 Issue: 3 Pages: 229-262

    • DOI

      10.1007/s10690-016-9217-7

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Estimating Style Weights of Mutual Funds by Monte Carlo Filter with Generalized Simulated Annealing2016

    • Author(s)
      Takaya Fukui, Seisho Sato, Akihiko Takahashi
    • Journal Title

      CARF working paper CARF-F-383

      Volume: -

    • Related Report
      2016 Annual Research Report
  • [Journal Article] Using the ensemble Kalman filter for electricity load forecasting and analysis2016

    • Author(s)
      Hisashi Takeda, Yoshiyasu Tamura, Seisho Sato
    • Journal Title

      Energy

      Volume: 104 Pages: 184-198

    • DOI

      10.1016/j.energy.2016.03.070

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed
  • [Journal Article] ビッグデータ時代の統計解析技術2016

    • Author(s)
      北川源四郎
    • Journal Title

      実験医学増刊

      Volume: 34 Pages: 100-104

    • Related Report
      2016 Annual Research Report
  • [Journal Article] Credit Risk Analysis on Euro Government Bonds - Term Structures of Default Probabilities2015

    • Author(s)
      Kariya, T., Yamamura,Y., Tanokura,Y. and Wang, Z.
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: 22 Issue: 4 Pages: 397-427

    • DOI

      10.1007/s10690-015-9202-6

    • Related Report
      2015 Research-status Report 2014 Research-status Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] Index Development for a Market with Heavy-tailed Distributions2013

    • Author(s)
      Tanokura, Y., H. Tsuda, S. Sato and G. Kitagawa
    • Journal Title

      The proceedings of the 59th International Statistical Institute World Statistics Congress

      Volume: 1 Pages: 3469-3474

    • Related Report
      2013 Research-status Report
  • [Presentation] 金融市場におけるトレンド転換メカニズムの検証2016

    • Author(s)
      田野倉葉子,北川源四郎
    • Organizer
      2016年度統計関連学会連合大会
    • Place of Presentation
      金沢大学角間キャンパス
    • Related Report
      2016 Annual Research Report
  • [Presentation] 極値理論による巨大台風発生リスクの統計解析2016

    • Author(s)
      陳春航,佐藤整尚
    • Organizer
      2016年度統計関連学会連合大会
    • Place of Presentation
      金沢大学角間キャンパス
    • Related Report
      2016 Annual Research Report
  • [Presentation] ソブリンCDSのスプレッドカーブと分布フリーインデックスの分析2015

    • Author(s)
      田野倉葉子,津田博史,佐藤整尚,北川源四郎
    • Organizer
      2015年度統計関連学会連合大会
    • Place of Presentation
      岡山大学津島キャンパス
    • Year and Date
      2015-09-08
    • Related Report
      2015 Research-status Report
  • [Presentation] 社債価格からみた米国エネルギー業界の信用リスク計測2014

    • Author(s)
      田野倉葉子,刈屋武昭,山村能郎,王竹,高田英行
    • Organizer
      2014年度統計関連学会連合大会
    • Place of Presentation
      東京大学本郷キャンパス
    • Year and Date
      2014-09-15
    • Related Report
      2014 Research-status Report
  • [Presentation] Market-Rating Migration and Transition Analysis2014

    • Author(s)
      刈屋武昭,高田英行,田野倉葉子,山村能郎,王竹
    • Organizer
      2014年度統計関連学会連合大会
    • Place of Presentation
      東京大学本郷キャンパス
    • Year and Date
      2014-09-15
    • Related Report
      2014 Research-status Report
  • [Presentation] ソブリンCDSの変動構造と金融・経済指標の分析2014

    • Author(s)
      田野倉葉子,津田博史,佐藤整尚,北川源四郎
    • Organizer
      2014年度統計関連学会連合大会
    • Place of Presentation
      東京大学本郷キャンパス
    • Year and Date
      2014-09-14
    • Related Report
      2014 Research-status Report
  • [Presentation] ソブリンリスクと世界経済の動向の分析2013

    • Author(s)
      田野倉葉子, 津田博史, 佐藤整尚, 北川源四郎
    • Organizer
      2013年度統計関連学会連合大会
    • Place of Presentation
      大阪大学豊中キャンパス
    • Related Report
      2013 Research-status Report
  • [Presentation] Sovereign Credit Risk Analysis through Statistical Modeling2013

    • Author(s)
      Tanokura, Y.
    • Organizer
      International Conference on Mathematical Modeling and Applications
    • Place of Presentation
      Meiji University
    • Related Report
      2013 Research-status Report
    • Invited
  • [Book] 株式の計量分析入門 バリュエーションとファクターモデル2016

    • Author(s)
      津田博史・吉野貴晶
    • Total Pages
      176
    • Publisher
      朝倉書店
    • Related Report
      2016 Annual Research Report
  • [Book] Indexation and Causation of Financial Markets –Nonstationary Time Series Analysis Method-2015

    • Author(s)
      Tanokura, Y. and Kitagawa, G.
    • Total Pages
      103
    • Publisher
      Springer Japan
    • Related Report
      2015 Research-status Report
  • [Book] Indexation and Causation of Financial Markets2015

    • Author(s)
      Tanokura, Y. and Kitagawa, G.
    • Total Pages
      90
    • Publisher
      Springer
    • Related Report
      2014 Research-status Report
  • [Remarks] Statistical Financial Risk Monitor

    • URL

      http://home.mims.meiji.ac.jp/~tanokura/statfirmHomeJ.html

    • Related Report
      2016 Annual Research Report
  • [Remarks] Statistical Financial Risk Monitor (田野倉研究室)

    • URL

      http://home.mims.meiji.ac.jp/~tanokura/statfirmHomeJ.html

    • Related Report
      2015 Research-status Report
  • [Remarks] Statistical Financial Risk Monitor (田野倉研究室)

    • URL

      http://home.mims.meiji.ac.jp/~tanokura/statfirmHomeJ.html

    • Related Report
      2013 Research-status Report

URL: 

Published: 2014-07-25   Modified: 2019-07-29  

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