2014 Fiscal Year Final Research Report
Expectations Heterogeneity and Economic Policy
| Project/Area Number |
24730253
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic policy
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| Research Institution | Hosei University |
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Principal Investigator |
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Keywords | 期待 / 株価 / 生産 / 連動性 / 経済政策 |
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| Outline of Final Research Achievements |
I conduct research on asset prices from different angles, given the fact that expectations are heterogeneous. First, Japanese stock market professionals use either fundamental or trend-following strategies and they switch between them over time. This strategy switching can be key in understanding the persistent deviation of the stock prices from the fundamentals. Second, I examine the properties of house price fluctuations across eighteen advanced economies. House price synchronization is mainly determined by global interest rate shocks and uncertainty shocks. Third, I investigate the effects of cross-border capital flows in financial markets on pairwise excess stock return comovements in Emerging Asia. Increased comovements are explained not by bilateral capital flows between Asian countries but by capital flows from the G7 countries.
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| Free Research Field |
応用経済学
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