2019 Fiscal Year Final Research Report
Dynamic relationships between different financial markets: Empirical studies with copulas
| Project/Area Number |
16K03746
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Osaka Prefecture University |
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Principal Investigator |
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| Project Period (FY) |
2016-04-01 – 2020-03-31
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| Keywords | コピュラ / 株価 / 為替レート / 国債 / 避難通貨 / テイル依存係数 / 動学的依存関係 / 実証分析 |
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| Outline of Final Research Achievements |
This research project has investigated the dynamic relationships between different financial markets such as stock, foreign exchange and government bond markets by using copula modeling. The findings are as follows. First, different stock markets have different safe-haven and hedge currencies. Second, ignoring the co-movement of international stock markets leads to a biased estimate for the relationship between domestic stock and currency markets. Third, US and UK government bonds have played a primary role of safe-haven assets during stock market downturns.
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| Free Research Field |
金融・ファイナンス
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| Academic Significance and Societal Importance of the Research Achievements |
コピュラの手法は変数間の関係を柔軟にモデリングできる点にその特徴がある。従来のコピュラを用いた研究では、同一種類の市場を対象としたものが多く見られるものの、異なる種類の市場間を横断して分析している研究は少ない。本研究課題は、後者の分野の研究を積み上げた点で学術的な意義がある。また本研究課題の研究成果は、政策担当者や投資家に対して国際金融市場に関するより詳細な情報を提供している点で社会的意義があるといえる。
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