|Budget Amount *help
¥26,910,000 (Direct Cost : ¥20,700,000、Indirect Cost : ¥6,210,000)
Fiscal Year 2006 : ¥7,540,000 (Direct Cost : ¥5,800,000、Indirect Cost : ¥1,740,000)
Fiscal Year 2005 : ¥7,020,000 (Direct Cost : ¥5,400,000、Indirect Cost : ¥1,620,000)
Fiscal Year 2004 : ¥6,500,000 (Direct Cost : ¥5,000,000、Indirect Cost : ¥1,500,000)
Fiscal Year 2003 : ¥5,850,000 (Direct Cost : ¥4,500,000、Indirect Cost : ¥1,350,000)
First, the very short-run exchange rate fluctuations were investigated, theoretically and empirically, with market microstructure approach. The academic conventional wisdom is that the exchange rate is unpredictable and follows a random walk process. However, private financial institutions spent millions of dollars in an effort to predict the exchange rate. The obvious puzzle is solved as new information to the market has to be digested within several hours, during the period financial institutions with better interpretation of new information can predict the direction of the movements. The research shows that such activities are feasible, and also volatility persists for some time.
Second, the currency crisis contagion to another country without obvious macroeconomic weakness is analyzed for possible linkage of the countries. It was shown that trade linkage is important in the strength of contagion from one country to another.
Third, foreign exchange interventions were believed to be ineffective if interventions were sterilized. However, the research shows that interventions are effective under a certain set of conditions, even when they are sterilized. Moreover, it was shown that the monetary authorities tend to intervene when the rate is away from the long-run equilibrium and moving away from the longrun equilibrium quickly.