2018 Fiscal Year Research-status Report
Economic Integration of Asia Pacific Region and the Role of Japan
| Project/Area Number |
18K01618
|
|---|
| Research Institution | Nihon University |
|---|
Principal Investigator |
才木 あや子 日本大学, 経済学部, 准教授 (40288022)
|
|---|
| Co-Investigator(Kenkyū-buntansha) |
浦田 秀次郎 早稲田大学, 国際学術院(アジア太平洋研究科), 教授 (10185085) [Withdrawn]
|
|---|
| Project Period (FY) |
2018-04-01 – 2022-03-31
|
| Keywords | アジア経済 / 経済統合 / 金融市場 |
|---|
| Outline of Annual Research Achievements |
Published from the refereed journal:
Saiki Ayako, 2018. "Business Cycle Synchronization and Vertical Trade Integration: A Case Study of the Eurozone and East Asia," Global Economy Journal, De Gruyter, vol. 18(1), pages 1-15
I show that business cycle synchronization is rapidly progressing in East Asia, due to the increasing vertical trade integration in the backdrop of the rapid development of the global supply chain in the region. This is a stark contrast with the Eurozone, where adopting a common currency was expected to increase the trade and thereby cause (endogenously) the synchronization of the business cycle.
|
| Current Status of Research Progress |
Current Status of Research Progress
2: Research has progressed on the whole more than it was originally planned.
Reason
First, I am analyzing the exchange rate movement behavior to see the degree of the co-movement of various Asian currencies with the US Dollar, Japan, and the Euro. The study is supervised by Prof. Jeffrey Frankel at Harvard University. We found that, when VIX (so-called "fear-index" of the financial market) is high, Asian countries tend to strengthen their peg to the dollar. This is also relevant to the de-facto and de-jure exchange rate. Asian currencies are still closely tied to the US dollar. Second, by using high-frequency portfolio flow data from EPFR, I am structuring "gravity model" including "major country dummies (China, Japan, and the US)," to see how Asian financial market is integrating, and if the center of gravity in the financial market in Asia is shifting. Third, I am looking at the financial cycle correlation among Asian countries, and the difference between real business cycle correlation. So far, I find that they are different, but I still have to control the "Lehman shock" effect.
|
| Strategy for Future Research Activity |
- Exchange rate co-movement: I use different numeraire (right now I am using Swiss Franc, but I will try SDR)
- Portfolio flow data: Analyzing the data using the gravity model. And the change of coefficient on "big country dummies" over time.
- Financial cycle: Given the large volume of investment of China in Africa, I am planning to include Africa to see if Africa's financial cycle correlation (as well as the real business cycle) started showing an increase.
|
| Causes of Carryover |
外国のベンダーからデータを買ったが、ドル建ての為、円高で安く購入できたため。
|
Research Products
(1 results)
