1993 Fiscal Year Final Research Report Summary
Econometric Methods for Financial Markets and Its Applications to Japanese Economy
| Project/Area Number |
04301071
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| Research Category |
Grant-in-Aid for Co-operative Research (A)
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| Allocation Type | Single-year Grants |
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| Research Field |
Economic statistics
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| Research Institution | Faculty of Economics, University of Tokyo |
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Principal Investigator |
KUNITOMO Naoto Faculty of Economics, University of Tokyo, Professor., 経済学部, 教授 (10153313)
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| Co-Investigator(Kenkyū-buntansha) |
TSUKUDA Yoshihiko Faculty of Economics, Tohoku University, Professor, 経済学部, 教授 (10091836)
WAGO Hajime Faculty of Economics, Toyama University, Professor., 経済学部, 教授 (00091934)
SHIBA Tsunemasa Inctitute of Socio-Economic Planning, Tsukuba University, Associate Professor., 社会工学系, 助教授 (90187386)
MORIMUNE Kimio Institute of Economic Research, Kyoto University, Professor., 経済研究所, 教授 (20109078)
TAMAMOTO Taku Faculty of Economics, Hitotsubashi University, Professor., 経済学部, 教授 (50104716)
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| Project Period (FY) |
1992 – 1993
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| Keywords | Econometric Analysis / Time Series Analysis / Non-stationarity / Co-integration / Unit Root Tests / Financial Time Series / Swap Contracts / Asset Prices |
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| Research Abstract |
The main purpose of this project was to re-examine the existing statistical and econometric methods commonly used in analyzing the financial data and develop some new econometric methods. The other purpose of the project was to apply the methods we developed in this project to the financial data in the Japanese economy.
Initially, T.Yamamoto investigated the problem of estimation of the regression model when the regressors follow the non-stationary stochastic processes and explore its relation to the estimation problem of co-integrationg processes. His work has stimulated several members in the project. N.Kunimoto has considered the tests of co-integration and pointed out that the problem is mathematically equivalent to the testing over-identification in econometrics. H.Wago has also developed a test of unit root and the cointegrating relation from the Baysian point of view. He applied his test procedure to the analysis of the Yen-Dollar exchange rate. K.Morimune has investigated the ef
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fects of mis-specification of lags in the multivariate time series analysis when we want to test the hypotheses of unit roots and co-integrating relations.
Some progress has also been made on the analyzes of the financial data in the Japanese economy. M.Ikeda has investigated the valuation problem of swap contracts, which have been enoumously popular recently in the Japanese banking system. Also T.Shiba developed a time series model with seasonal unobservable factors and compare its performance for the purpose of predicting the assets prices in the Japanese economy.
By the financial support from this project, we have held two conferences on the project topic. We have invited a number of distinguished reserachers in the related areas in Japan and exchanged the recent research results as well as research ideas for the future.
In conclusion, we have acomplished the most important objectives of this project. The members participated in this project has written a large number of academic papers and also stimulated a large number of researchers in the related fields through two conferences. We thank The Ministry of Education, Science and Culture for giving the generous support to our ambitious project. Less
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