Challenges to East Asain macroeconomic and financial staability in changing global economic environment

2021 Fiscal Year Final Research Report

• Project/Area Number: 18K01610
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Review Section: Basic Section 07040:Economic policy-related
• Research Institution: Kobe University
• Principal Investigator: KINKYO Takuji 神戸大学, 経済学研究科, 教授 (50527637)
• Project Period (FY): 2018-04-01 – 2022-03-31
• Keywords: 通貨金融危機 / システミックリスク / スピルオーバー / 為替レート / アジア金融統合

Outline of Final Research Achievements

The major research results can be summarized as follows. First, the method of machine learning has been employed to develop effective forecast models for currency crises and corporate failures, which help to visualize the underlying vulnerabilities of East Asian economies. Second, the cross-border impacts of financial spillovers originating from the US financial system have been analyzed in depth using the bank-level financial statement data. Furthermore, the role of deposit insurance system in mitigating systemic risk has been investigated. Third, time series and wavelet analyses have been applied to analyze the progress of financial market integration in East Asia and identified the complex nature of interdependence in foreign exchange markets.

Free Research Field

国際金融・アジア経済

Academic Significance and Societal Importance of the Research Achievements

存在感を増すアジア経済の安定と持続的発展は、日本はもとより世界経済にとっても重要である。本研究は、国際経済環境の変化が、東アジアのマクロ経済や金融システムの安定性に及ぼす影響について包括的に検証することを目的として、経済危機予測モデルの構築と潜在的脆弱性の可視化、金融ショックの国際的波及と預金保険制度の効果の分析、アジア金融統合の実態の解明等の学術的貢献を行なっており、政策課題解決の糸口を見出すことで社会的貢献を行なっている。