International financial system, financial stability and monetary policy

2014 Fiscal Year Final Research Report

• Project/Area Number: 24330104
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Partial Multi-year Fund
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Wakayama University
• Principal Investigator: NABIL Maghrebi 和歌山大学, 経済学部, 教授 (20283947)
• Co-Investigator(Kenkyū-buntansha): NISHINA Kazuhiko 明治学院大学, 経済学研究科, 教授 (30094311) ; ABE Shujiro 和歌山大学, 経済学部, 准教授 (90292193)
• Research Collaborator: HOLMES Mark J. Waikato University, New Zealand, Waikato Management School, Prof. Dr. ; KIM MooSung Pusan National University, Korea, College of Business Administration, Prof. Dr.
• Project Period (FY): 2012-04-01 – 2015-03-31
• Keywords: 国際金融システム / 金融安定性 / 金融市場ボラティリティ指数 / 金融政策 / 経済変動 / financial stability / risk sharing / VXJ volatilty index

Outline of Final Research Achievements

This research program provides new evidence on financial stability, market volatility and monetary policy. There is empirical evidence about the short-term dynamics of volatility expectations during periods of financial instability (Maghrebi-Holmes-Oya, AFE 2014) and impact of forward guidance on volatility expectations around monetary policy meetings (Maghrebi-Kim-Nishina, under journal review). The focus is also made on Islamic finance as part of the international financial system and the values and attitudes toward Islamic banking (Muto-Maghrebi-Turkistani, University of Cambridge GRM 2012, Gerlach Press 2014). Based on risk-sharing, new perspectives are provided on the relation between payment and ownership-transfer rates (Maghrebi, ISRA-IJIF 2013). This linkage between the financial sector and real economy is also examined using non-linearity tests of Tobin Q and regime-dependent adjustment toward long-run equilibrium based on investment expenditure (Holmes & Maghrebi, SEF 2015).

Free Research Field

社会科学　経済学・財政学・金融論