Time series analysis of liquidity foctors:Cause and effect among financial/economic index explaining default numbers

2017 Fiscal Year Final Research Report

• Project/Area Number: 15H03373
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Management
• Research Institution: University of Tsukuba
• Principal Investigator: Ono Tadashi 筑波大学, ビジネスサイエンス系, 教授 (10527930)
• Co-Investigator(Renkei-kenkyūsha): TSUBAKI Hiroe 独立行政法人統計センター, 理事長 (30155436) ; YAMASHITA Satoshi 情報システム研究機構統計数理研究所, データ科学研究系, 教授 (50244108)
• Research Collaborator: YOSHIBA Yoshinao 日本銀行 ; TAKIGAWA Yozo 三井住友銀行, 常勤監査役 ; SUZUKI Ryo 三井住友銀行, 執行役員米州副本部長 ; INOUE Takayuki 三井住友銀行, 理事国際審査部長
• Project Period (FY): 2015-04-01 – 2018-03-31
• Keywords: 流動性リスク / 倒産 / 時系列

Outline of Final Research Achievements

This study aims to develop a multi-regression model for predicting default　numbers in Japan by using sixteen years data. In the single regression analysis, we determine 10 variable candidates (financial/economic index) to have relatively strong predicting power. Using these 10 candidates, we derive a multi-regression model with five explanatory variables: TIBOR-Call spread, Yield curve spread, CP-Call spread, TIBOR-TB spread, and Stock market crash.　This model has strong explanatory power (Adj. R2 = 0.881). In a Granger’s causality analysis of the 8 candidates and dependent default number, we find the cause and effect chain in the liquidity crisis starting from yield curve spread to default number. This research helps supervising authority and financial institutions' risk management section to monitor the signs of liquidity crisis.

Free Research Field

ファイナンス