Statistical modeling on mechanism elucidation of financial crises and fluctuation structures of the world economy

2016 Fiscal Year Final Research Report

• Project/Area Number: 25330044
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Statistical science
• Research Institution: Meiji University
• Principal Investigator: Tanokura Yoko 明治大学, 先端数理科学研究科, 特任准教授 (60425832)
• Co-Investigator(Renkei-kenkyūsha): KITAGAWA Genshiro 情報・システム研究機構, 機構長 (20000218) ; TSUDA Hiroshi 同志社大学, 理工学部, 教授 (90450163)
• Project Period (FY): 2013-04-01 – 2017-03-31
• Keywords: 金融危機 / 時系列解析 / 信用リスク / 分布フリーインデックス / 時変分散 / パワー寄与率 / 経済リスク / 金融リスク

Outline of Final Research Achievements

We developed a practical method for constructing a distribution-free index of prices of a financial asset with skewed and heavy-tailed distributions. By applying the method to the CDSs which are regarded as a measure of credit risk, the spillover effects of financial crises are examined. Moreover, by applying the method to the real GDP growths of countries, we detected the trends of regional economies and the global trend of the world economy. Analyzing both regional sovereign CDS distribution-free indices and regional GDP growth distribution-free indices, regional sovereign risks led reginal economies during the global economic crisis. We confirmed the effectiveness of the distribution-free index by applying various financial markets and economic indicators.

Free Research Field

統計科学