Multivariate econometric analysis of time series data of foreign exchange rates and domestic prices in the presence of structural breaks

• Project/Area Number: 26380349
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic policy
• Research Institution: Fukuoka University
• Principal Investigator: Kurita Takamitsu 福岡大学, 経済学部, 教授 (20454928)
• Research Collaborator: Han Gwang Choo Sejong University, Department of Economics and Trade ; Almaas Synne S. NTNU, Department of Economics
• Project Period (FY): 2014-04-01 – 2019-03-31
• Project Status: Completed (Fiscal Year 2018)
• Budget Amount: ¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000); Fiscal Year 2017: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2016: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2015: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2014: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
• Keywords: 経済政策 / 為替レート・物価 / 時系列データ / 時系列分析

Outline of Final Research Achievements

I conducted various empirical analyses of macroeconomic and financial time series data subject to structural breaks in order to reveal the underlying interdependent relationships between foreign exchange rates and domestic prices. I utilized a class of newly developed multivariate econometric techniques as well as the formerly established ones for the purpose of achieving the aforementioned objective. The research project was broken down into the following three stages: (1) developing required mathematical econometric theories, (2) conducting a series of Monte Carlo simulation analyses and (3) modeling and analyzing real-life time series data. From these three stages a set of research papers on econometric methodology and empirical applications was developed. I presented the outcome of the research at various conferences and seminars. I also submitted the research papers to academic peer-reviewed journals; some of the papers have been accepted and published in these journals.

Academic Significance and Societal Importance of the Research Achievements

構造変化に配慮した多変量時系列分析手法の開発とそれを用いた様々な実証研究により、金融政策をはじめとしたマクロ経済政策に関してデータに基づく知見を得ることができ、開放経済における今後のマクロ経済政策の決定等において有益な定量的研究を行うことができた。

Research Products

• [Int'l Joint Research] NTNU(ノルウェー)
• [Int'l Joint Research] University of Oxford(英国)
• [Int'l Joint Research] Han Gwang Choo/Department of Economics and Trade/Sejong University(韓国)
• [Int'l Joint Research] Synne S. Almaas/Department of Economics/NTNU(Norway)
• [Int'l Joint Research] Han Gwang Choo/Department of Economics and Trade/Sejong University(韓国)
• [Journal Article] Modelling the real yen-dollar rate and inflation dynamics based on international parity conditions (2019)
  • Author(s): Almaas, S. S. and Kurita, T.
  • Journal Title: Journal of Asian Economics Volume: 61 Pages: 51-64
  • DOI: 10.1016/j.asieco.2019.02.003
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks (2019)
  • Author(s): Castle, J. L. and Kurita, T.
  • Journal Title: Department of Economics Discussion Paper, University of Oxford Volume: Ref: 866 Pages: 1-35
  • Open Access / Int'l Joint Research
• [Journal Article] Partial cointegrated vector autoregressive models with structural breaks in deterministic terms (2018)
  • Author(s): Kurita, T. and Nielsen, B.
  • Journal Title: Nuffield College Economics Discussion Paper, University of Oxford Volume: 2018-W03 Pages: 1-38
  • Open Access / Int'l Joint Research
• [Journal Article] A note on potential one-way policy instruments in cointegrated VAR systems (2018)
  • Author(s): Takamitsu Kurita
  • Journal Title: Economic Analysis and Policy Volume: 58 Pages: 55-59
  • DOI: 10.1016/j.eap.2017.12.004
  • Peer Reviewed
• [Journal Article] Modelling the real yen-dollar rate and inflation dynamics based on international parity conditions (2018)
  • Author(s): Synne S. Almaas; Takamitsu Kurita
  • Journal Title: CAES Working Paper WP-2018-001, Fukuoka University Volume: 1 Pages: 1-16
  • Open Access / Int'l Joint Research
• [Journal Article] Modeling the dynamics of US monetary policy and inflation over the past quarter century (2016)
  • Author(s): Han Gwang Choo; Takamitsu Kurita
  • Journal Title: International Journal of Applied Business and Economic Research Volume: 14 Pages: 373-402
  • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
• [Journal Article] Formulating testable hypotheses on inflation expectations with application to New Zealand's macroeconomic data (2016)
  • Author(s): Han Gwang Choo; Takamitsu Kurita
  • Journal Title: CAES Working Paper WP-2016-006, Fukuoka University Volume: 6 Pages: 1-13
  • Open Access / Int'l Joint Research / Acknowledgement Compliant
• [Journal Article] Markov-switching variance models and structural changes underlying Japanese bond yields: An inquiry into non-linear dynamics (2016)
  • Author(s): Takamitsu Kurita
  • Journal Title: The Journal of Economic Asymmetries Volume: 13 Pages: 74-80
  • DOI: 10.1016/j.jeca.2016.03.001
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] A monetary perspective on inflation dynamics in Norway (2015)
  • Author(s): Han Gwang Choo; Takamitsu Kurita
  • Journal Title: International Journal of Economic Research Volume: 12 Pages: 583-606
  • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
• [Presentation] Likelihood-based tests for parameter constancy in I(2) cointegrated VAR models with an application to fixed-term deposit data (2018)
  • Author(s): Kurita, T.
  • Organizer: Conference on Financial and Macro Economics and Econometrics, London
  • Int'l Joint Research
• [Presentation] Testing parameter constancy in I(2) cointegrated VAR models (2017)
  • Author(s): Takamitsu Kurita
  • Organizer: ISSPSM 2017 (International Seminar on Stability Problems for Stochastic Models 2017)
  • Int'l Joint Research
• [Presentation] Testing parameter constancy in I(2) cointegrated VAR models (2017)
  • Author(s): Takamitsu Kurita
  • Organizer: 東北大学 現代経済学研究会
• [Presentation] Testing for cointgerating rank in VAR systems with smooth non-linear deterministic trends (2017)
  • Author(s): Takamitsu Kurita
  • Organizer: 東京大学 先端研マクロ経済分析研究会
• [Presentation] Testing parameter constancy in I(2) cointegrated VAR models (2017)
  • Author(s): Takamitsu Kurita
  • Organizer: Seminar
  • Place of Presentation: University of Reading, UK
• [Presentation] Testing parameter constancy in I(2) cointegrated VAR models (2017)
  • Author(s): Takamitsu Kurita
  • Organizer: Nuffield / INET Econometric Seminar
  • Place of Presentation: University of Oxford, UK
• [Presentation] Testing parameter constancy in I(2) cointegrated VAR models (2017)
  • Author(s): Takamitsu Kurita
  • Organizer: 2016年度（第24回）関西計量経済学研究会
  • Place of Presentation: 広島大学
• [Presentation] The roles of the term spread in the dynamics of US monetary policy and inflation over the past quarter century (2016)
  • Author(s): Takamitsu Kurita
  • Organizer: Department Seminars, Department of Economics, Norwegian University of Science and Technology
  • Place of Presentation: Norwegian University of Science and Technology, Trondheim, Norway
  • Year and Date: 2016-03-17
• [Presentation] Modeling the nexus of US monetary policy rule and inflation over the past quarter century (2016)
  • Author(s): Takamitsu Kurita
  • Organizer: 2015年度 (第23回) 関西計量経済学研究会
  • Place of Presentation: 東京大学経済学研究科
  • Year and Date: 2016-01-09
• [Presentation] Modeling the nexus of US monetary policy rule and inflation over the past quarter century (2015)
  • Author(s): Takamitsu Kurita
  • Organizer: Economics Macro Seminar, University of Alberta
  • Place of Presentation: University of Alberta, Edmonton, Canada
  • Year and Date: 2015-09-04
• [Presentation] Modeling the nexus of US monetary policy rule and inflation over the past quarter century (2015)
  • Author(s): Takamitsu Kurita
  • Organizer: Nuffield Econometric/INET Seminar
  • Place of Presentation: Oxford, UK
  • Year and Date: 2015-03-20