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2008 Fiscal Year Final Research Report

International Financial Markets Integration and Market Volatility

Research Project

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Project/Area Number 18330069
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionWakayama University

Principal Investigator

MAGHREBI Nabil  Wakayama University, 経済学部, 教授 (20283947)

Co-Investigator(Kenkyū-buntansha) NISHINA Kazuhiko  大阪大学, 大学院・経済学研究科, 教授 (30094311)
Research Collaborator HOLMES Mark j.  Waikato Management School, Waikato University, NEW ZEALAND, Professor and Chairman
KIM Moo sung  College of Business Administration, Pusan National University, KOREA, Associate Professor
Project Period (FY) 2006 – 2008
Keywordsボラティリティ指標 / 金融政策 / Conditional correlation / 実質利子率平価
Research Abstract

本研究は、次のような国際金融市場の重要な側面について考察する. つまり金融・資本市場におけるボラティリティ、そして多国間における実質利子率の長期にわたる収束メカニズムと市場統合化との関係である. 計量的分析と市場ボラティリティモデル化の発展により実証的な証拠が得られた. 金融市場の変動性とリスクの定量化については、日経225オプション価格を用いて、New VIXの計算方法をもとにインプライド・ボラティリティ指標Volatility Index Japan-VXJを推計した. このVXJ指数は、研究・教育・個人投資家のために、大阪大学金融保険教育研究センターによって更新、公開されている.韓国の株価指数であるKospi200の分次データを用いて、予想ボラティリティを推計するためのインプライド・ボラティリティ指標を計算した(Maghrebi and Kim, APJFS 2007). これらのボラティリティ指標を用いて、日本・韓国の中央銀行における金融政策会議後に行う政策発表に対する金融市場の反応を検討した(Maghrebi, OEP 2008, and Maghrebi, Nishina and Kim 2007, 2008). 非線形的な調整過程については、Markov regime-switching modelのもとで定常性ADF検定を行い、G7多国間の実質利子率の長期における調整過程のメカニズムを究明した. ユーロ導入諸国間で名目的には収斂(nominal convergence)していても実質利子の差は存在し続け、名目的な収斂が実質的な収斂を保証しないのである(Holmes and Maghrebi, JIMF 2008).実質利子率平価への調整速度が減少偏差より上昇偏差に対して大きくなる結果も得られた.上昇する名目利子率と減少するインフレ率の状況下で、米国に対する実質利子率平価は成立しないことを究明した (Holmes and Maghrebi, JIFMIM 2006). さらに、株価と為替レートの共分散における非対称性・情報に対する反応を究明した(Maghrebi, Holmes and Pentecost, RPBFMP 2006 ; 本論文は2003年ノーベル経済学賞受賞者Robert Engleの著書"Anticipating Correlations, 2009"に参照)により、これらの結果は経済変数の関係における非線形調整過程および金融政策に対する非対称的な反応の重要性を示す.

  • Research Products

    (18 results)

All 2009 2008 2007 2006 Other

All Journal Article (7 results) Presentation (8 results) Remarks (3 results)

  • [Journal Article] Is there a connection between monetary unification and real economic integration Evidence from regime-switching stationarity tests2008

    • Author(s)
      Mark. J. Holmes and Nabil MAGHREBI
    • Journal Title

      Journal of International Money and Finance Vol.27, No.6

      Pages: 958-970

  • [Journal Article] The Bank of Japan Monetary Policy Meetings and the Behaviour of the Nikkei225 Implied Volatility Index2008

    • Author(s)
      Nabil MAGHREBI
    • Journal Title

      Osaka Economic Papers Vol.57, No.4

      Pages: 84-99

  • [Journal Article] The Nikkei 225 Implied Volatility Index and the Behavior of Volatility Expectations in the Japanese Stock Market2007

    • Author(s)
      Nabil MAGHREBI, Kazuhiko NISHINA and MooSung Kim
    • Journal Title

      Proceedings of the 15th Annual Meeting of the Nippon Finance Association, Keio University, Tokyo, JAPAN

      Pages: 218-227

  • [Journal Article] The Kospi200 Implied Volatility Index : Evidence of Regime Shifts in Expected Volatility2007

    • Author(s)
      Nabil MAGHREBI, MooSung Kim, and Kazuhiko NISHINA
    • Journal Title

      Asia Pacific Journal of Financial Studies Vol.36, No.2

      Pages: 163-187

  • [Journal Article] An Introduction to the Nikkei 225 Implied Volatility Index2007

    • Author(s)
      Nabil MAGHREBI
    • Journal Title

      The Wakayama Economic Review No.336

      Pages: 35-55

  • [Journal Article] Are international real interest rate linkages characterized by asymmetric adjustments2006

    • Author(s)
      Mark. J. Holmes and Nabil MAGHREBI
    • Journal Title

      Journal of International Financial Markets, Institutions & Money Vol.16, No.4

      Pages: 384-396

  • [Journal Article] Are there Asymmetries in the Relationship between Foreign Exchange Fluctuations and Stock Market Volatility in Pacific Basin Contries2006

    • Author(s)
      Nabil MAGHREBI, Mark. J. Holmes and Eric Pentecost
    • Journal Title

      Review of Pacific Basin Financial Markets and Policies Vol.9, No.2

      Pages: 229-256

  • [Presentation] Global Financial Crises and Financial Market Volatility2009

    • Author(s)
      Nabil MAGHREBI
    • Organizer
      BK21 Seminar Series, College of Business Administration, Pusan National University
    • Place of Presentation
      Pusan, KOREA
    • Year and Date
      2009-02-20
  • [Presentation] Estimation of Japanese equity risk with the model-free Nikkei 225 implied volatility index2009

    • Author(s)
      Nabil MAGHREBI
    • Organizer
      Applied Statistics Workshop, The University of Tokyo
    • Place of Presentation
      Tokyo, JAPAN
    • Year and Date
      2009-01-23
  • [Presentation] Market Expectations of Economic Uncertainty around the Bank of Korea Monetary Policy Meetings2008

    • Author(s)
      Nabil MAGHREBI, Kazuhiko NISHINA and MooSung Kim
    • Organizer
      International Conference of the Asia-Pacific Association of Derivatives
    • Place of Presentation
      Pusan, KOREA
    • Year and Date
      20080626-27
  • [Presentation] Measuring Economic Uncertainty with the Model-Free Nikkei 225 Implied Volatility Index2008

    • Author(s)
      Nabil MAGHREBI
    • Organizer
      The 20th Anniversary of the Equity Index Futures Symposium of the Nikkei 225 Futures in Osaka, Organized by Osaka Securities Exchange
    • Place of Presentation
      Osaka University and Nikkei Newspaper Digital Media
    • Year and Date
      2008-09-02
  • [Presentation] The Stochastic Behaviour of the Nikkei 225 Implied Volatility Index2007

    • Author(s)
      Nabil MAGHREBI, Kazuhiko NISHINA and MooSung Kim
    • Organizer
      CSFI Workshop 2007, Center for the Study of Finance and Insurance
    • Place of Presentation
      Osaka University
    • Year and Date
      20071201-02
  • [Presentation] The Nikkei225 Implied Volatility Index and the Behavior of Volatility Expectations in the Japanese Stock Market2007

    • Author(s)
      Nabil MAGHREBI, Kazuhiko NISHINA, and MooSung Kim
    • Organizer
      The 15th Annual Meeting of the Nippon Finance Association, Keio University
    • Place of Presentation
      Tokyo, JAPAN
    • Year and Date
      20070616-17
  • [Presentation] The Kospi200 Implied Volatility Index and the Dynamics of Volatility Expectations in the Korean Stock Market2007

    • Author(s)
      Nabil MAGHREBI, MooSung Kim, and Kazuhiko NISHINA, February 2007
    • Organizer
      BK21 Seminar Series, College of Business, Pusan National University
    • Place of Presentation
      Pusan, KOREA
    • Year and Date
      2007-02-22
  • [Presentation] The Kospi200 Implied Volatility Index : Evidence of Regime Shifts in Expected Volatility2006

    • Author(s)
      Nabil MAGHREBI, MooSung Kim, and Kazuhiko NISHINA
    • Organizer
      The First International Conference on Asia-Pacific Financial Markets
    • Place of Presentation
      Seoul, KOREA
    • Year and Date
      20061208-09
  • [Remarks] Nabil MAGHREBI, Kazuhiko NISHINA and Mark J. Holmes, July 2006, "Are Volatility Expectations Characterized by Regime Shifts Evidence from Implied Volatility Indices", Discussion Papers in Economics and Business No. 06-20, Graduate School of Economics and Osaka School of International Public Policy, Osaka University, JAPAN

    • URL

      http://www2.econ.osaka-u.ac.jp/library/global/dp/0620.pdf

  • [Remarks] Nabil MAGHREBI, Kazuhiko NISHINA and MooSung Kim, March 2006, "Stock Market Volatility and the Forecasting Accuracy of Implied Volatility Indices", Discussion Papers in Economics and Business No. 06-09, Graduate School of Economics and Osaka School of International Public Policy, Osaka University, JAPAN

    • URL

      http://www2.econ.osaka-u.ac.jp/library/global/dp/0609.pdf

  • [Remarks] VXJボラティリティ指数の公開(大阪大学金融保険教育研究センターのホームページ日本語と英語バージョン)

    • URL

      http://www-csfi.sigmath.es.osaka-u.ac.jp/structure/activity/vxj.php

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Published: 2010-06-10   Modified: 2016-04-21  

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